atticus' single-name delta book

Took GOOG fly up to 15% at 58.30 on the additional units. Average risk of $57.90. Averaging in on the uptick in vola. and reduction in distro.

Done for the day. I am at >40% of net liq in initial req. Var at 1SD is around 4% (down) due to the fly deltas and the ES overwrite.

 

Aren't earnings possibly within the Jan18 cycle?

 

Ugh. I was looking at AAPL's BBG screen with dates and estimates when I put it the first leg. I'll offer it before the close. It's 38 mid so I should be out of it no worse than scratch.

 

I'm betting on it.

Side note, I bought some vix jan 17 puts.

 

I bought the 630/800 strangle in another account at 4.20. I am going to hold the wad through the weekend and see if we print a 10 annualized vola figure over XMAS.

GOOG will add 1.20% on implieds, however.

 

I don’t remember AAPL ever reporting in JAN exp

 

Referring to GOOG.

 

ahh , my bad

Actually, GOOG reported only once in JAN ( 2012) since the IPO

 

Almost certain to the 1/19, no?

 

I wouldn’t bet on it Atty

Usually (for apr , july and oct exp) the front/back vola is at 28/22 by now

Currently it’s 26/26