atticus' single-name delta book

I could've picked up another 0.50 in the 30-wide, but waited for it to trade neutral before going in the put fly. Better to be cautious than reckless.

 

At this point it's becoming a random. It could be anywhere between 490
And 550 by Friday.

Oh well. I normally don't get that big. My conviction that the vol is too high remains. I will look at some flies to get more outright short vol.

 

Yeah, we were convinced with vola at 40 (hit 50). Anyway, nobody got hurt in the ticker last week, which is a testament to the benefits of convexity.

 

Out 19.70.

 

I'll post some naked positions, R/R and others to this thread. I am hovering up 4% and change in a month, not satisfactory. I'll update PNL when I get flat, as it's less of a hassle than mining individual PNL with many open (marked) positions. IOW, I can simply look at balance (large # (-) small # / small #)

 

Out all WMT at 2.65 (2.68 with hedge). I am looking to lean on current positions and work some better Jan vola. ATM neutral vega hedged with spot or SSF.

 

Long the GS Jan 120/30/40 fly from 4.00 risk (3.97 mid). Short 3% cash in shares 127.40.

 

Short ES Mar from 40.50, 3% of notional in initial req.

 

Out 41.25 as I am short significant deltas already.

 

Long $532.56 in shares against this put fly. 15% of initial overnight req.