atticus' single-name delta book

Discussion in 'Journals' started by atticus, Nov 8, 2012.

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  1. I'll add more single names as I add some cash to this account. Will also mention some exotics, but with a separate PNL netting.
     
    #311     Dec 13, 2012
  2. newwurldmn

    newwurldmn

    .

    Needless to say, today is unpleasant.
     
    #312     Dec 14, 2012
  3. Down 1.1% impact to the book with the UBS downgrade. IMO too late to sell deltas in spot so I'll wait and see how we close. My guess is that $500 is strong psychological support and may be broken intraday next week, but will hold on a closing basis.

    Best guess for VWAP on the remaining 35 days is 522.80.
     
    #313     Dec 14, 2012
  4. RUT and GOOG both in the black, WMT unch.
     
    #314     Dec 14, 2012
  5. newwurldmn

    newwurldmn

    I tend to agree, except I don't know if I agree with the $500 being broken. But who knows. Anything can happen over the next few days.

    There's a lot of capital gains in this stock that could further downside pressure.

    Vol is pretty bid. If I had ammunition right now, I would probably looking to do more term structure.
     
    #315     Dec 14, 2012
  6. ammo

    ammo

    aapl testing the hns neckline and the fiscal cliff is a non done deal
     
    #316     Dec 14, 2012
  7. From your mouth to God's ears.... just being pragmatic here as it's getting cratered on a 700 price target by UBS. 700 is fantasy; it won't see that handle in 3 years at least, if ever.

    It seemed like a great vol-sale at the 40-line, but it's living up to that number.

    Anyway, I am a bull by necessity, but GOOG is eating their lunch.
     
    #317     Dec 14, 2012
  8. Speaking of GOOG -- I would add here as vola is up again, but won't go beyond the 15% figure.
     
    #318     Dec 14, 2012
  9. newwurldmn

    newwurldmn

    I am long Jan vol and short Dec vol in GOOG to get my gamma flat for now. I'm down a little bit on this trade. About a vol I think.

    RE: AAPL, I agree. 700 is fantasy. The right trade here is long skew. It's flat and vol of vol is pretty high. I can't trade it however as I don't use portfolio margining and thus won't be able to put on the size that will make it interesting for me.

    I cut my Dec Jan 550 calls. So now I just have the Dec Jan 500 puts. This cuts about 1/2 my delta exposure and if the stock does rally, I don't have to worry about Jan vol coming in 5 points (about where it was yesterday) and I take some premium off the table just in case.

    so I went the exact opposite way I had just suggested.
     
    #319     Dec 14, 2012
  10. Long Dec/Jan flattening your gamma? Were you long gamma in GOOG (straddle)?

    Yeah, there are some naked wing-trades that look juicy.
     
    #320     Dec 14, 2012
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