atticus' single-name delta book

Long the SPX Dec20 1400/25/50 fly from 7.50 risk. 10%. Short ES from 14.75. 10:1 flies over futures (per contract).

Edit: bad fill. 7.08 mid.

 

Hedge solved for a break-even at lower-wing in three days.

 

Upped it to 12% at 49.80 average (49.45 mid).

 

Converted my callfly and dec jan putspread to a 500 550 dec jan strangle swap. Flat term and 40 vol. This is in big size for me. 40 vol is crazy with no earnings or any catalysts except for some estimates of ipad sales.

FYI - my local apple store has not sold out of ipad mini's. My local apple store had more people in it than the best buy anchor store.

 

vol starting to come in a bit in aapl, like the jan/ feb feb/march calendars here.

 

Long the NDX Dec13/Dec20 2650 calendar from 11.60 (11.45 mid) in calls. 5%.

 

Dec through Jan vola is running from 45 to 38. I wouldn't want to be in a calendar here. Just IMO.

Edit: I just read new's post about AAPL vola. So yeah it's reaching earnings levels, but flat term structure. Perhaps lose on the vol-line but gain on term structure and gamma.

 

I like the trade with lack of any pre-XMAS event, but I can't pay the headline figure even though it's flat as you say (Dec to Jan).

 

Why not?

I'm going to be sweating this one for sure. I'm about 60% notional on this trade - that's pretty large for me.

 

k thanks risk, this thing is like a wild bronco not sure when it will take a breath, tough sledding last week.