atticus' single-name delta book

Short BRK_B from 98.94. I am going to convert the short into a synth straddle -> fly before week's end.

 

even the .30 is a nice 1 day move..what were you targeting on the direction bias you had?

 

Flat at 0.94. I am not going to sell 14-vol in June. I think it's a good short here at 99, but not a good use of resources.

 

I had a target of 51.50 on SPY for VWAP into expiration. I think it was a good call on price, but the HNZ deal took it out. Too close to exp to enter another. Will look to put one on for a longer duration.

 

I was working (filled) the Feb22 SPY 151 "2x1" pitchfork. The 2x1 fill was 2.54 net (58 mid). 16% allocation (on RegT calc). Details in a few minutes. Working some other stuff.

 

1.61 mid on the ATM straddle. 3.22 at double. 3x1 PF at 300 mid. 0.22 risk to strike at 151 on SPY spot based upon the 3x1. I am in the 2x1 which can withstand an inversion to say, 150.70.

Looking for a VWAP of 151.65-90 over the holding period (Feb22).

 

Performance to date: +24.5%. Still within 4% MTM DD.

 

The 151 vol dropped below 10 today. :amazed:

PF position has gained 0.08 on closing marks.

 

1.40 (offered) and out all. +0.14.

 

Long 5% in the SPX 1490/1515/1540 fly from 11.40 risk (11.00 mid). Feb22 expiration.