atticus' single-name delta book

Went long the AAPL Jan18 440-640 fly from 54.80 risk (50 mid) at 10% this morning.

 

Performance to date, closed positions; +4.65%

 

Out at 13.00 (20 mid). Performance to date on closed positions: +5.70% in 35 calendar days at <2% PTT DD. Earned 3x draw-down.

 

Yeah I'm out of that one as well.

Nice work.

 

Thanks. Out just in time (SPX dropping another 4).

 

Open pos: GOOG Jan long fly neutral to 700 at 15%; WMT Jan fly neutral to 70 at 10%; AAPL Jan18 fly neutral to 540 at 10%.

 

GOOG is just North of neutral and paying for AAPLs exposure. WMT is ok here and should get a seasonal boost (up on a down SPX). I am at 35% of notional so any added positions will be small (5% or less).

 

Short 5% of notional (cash terms) in WMT shares from 69.24 to lock in some delta-gains on the day. Fly marked to 2.48 mid.

 

I am finally in the black on my AAPL strangle swap but a lot less than I was expecting.

Jan vol coming in cost a lot but carry has been relatively benign as i'm not hedging.

 

Vola up on the day (close to current).