atticus' single-name delta book

10% long in the RUT 780-880 Jan fly from 20.70 risk (40 mid).

Going 10% due to index. Thoughts that VWAP over the hold will be above neutrality. Should see nice gains from vola if correct. Spot 825 last.

 

45% of notional (risking <10% under 1SD VaR).

 

Was referring to inception of the trade (when vol was closer 40).

 

Not for the faint of heart: BBY LBO bid expected to be between 5 and 6Bn (if it happens).
6Bn = $17.6/share
You can sell Jan or Mar 18 strike calls for 70 and 60 vol respectively.

I am doing it against long dec 18 calls that I already had in the book. Either you sell off from here (pnl is unclear but you know upside vol gets crushed) or you rally and vol actually goes to zero.
Worst case is lack of clarity and market believes a bid is iminent - but i think the market feels this is a long short already.

I'm very small in this.

 

What is a strangle swap?

 

short a strangle in one maturity and long a strangle in another (same strikes)

In my case: aapl dec 500 550 vs aapl jan 500 550

 

are you already playing the pre earnings month against the intra earnings month ?

 

No, I was just making an observation as my AAPL fly was getting marked down with spot unch.

 

Ah. I actually made money today (first day since I had the swap on). Otherwise pnl was always flat with the soup of risk offseting.

 

No. flat term structure at a crazy high vol. Nothing to do with earnings.

It started as a Jan callfly and morphed into this. No reason it couldn't have been dec-feb (which would have included earnings).