atticus' VODs

Discussion in 'Options' started by atticus, Mar 24, 2011.

  1. To show how to correctly implement an abhorrent strategy. I will not be trading these with real-money. This is to show how VODs (verticals of death) can be traded if you were actually forced to do so at gun-point.

    All risk-debits will be confined to 20% of the portfolio. Assume a $100,000 portfolio with no more than $20,000 allocated to stated strategy. No more than $5,000 allocated to any single name. No trades taken >5:1 risk.

    Here are the first two trades, worst-case fills, quotes from 3:15pm EDT:

    AAPL iron at a credit of 1.56, risking 3.44, 14 lot.
    GOOG iron at a credit of 2.23, risking 7.77, 6 lot

  2. donnap


    Gotta love those ULs. I'd think that fills closer to mid-point would be realistic with those two.
  3. SPY VOD, iron, 0.64 to the sell. Risking 1.36 on 2-wide strikes. 35 lot. Quote snapshot at 3:45pm EDT:

  4. The only non VOD.... a GOOG 580 put calendar (own this one personally as well). Selling the weekly and long the monthly APRs. 8.70 to the buy. 5 lot. Pic scanned at 3:52pm EDT.

    I apologize for the style-drift (from VODs), but I like this on the term-structure a lot. You're buying a ton of synthetic vol here as the monthlies have to ramp into the report. It's breaking my allocation rule per name, but it won't happen again, I pinky swear.

    This puts me at 20% allocation on the $100k portfolio. ALL-IN.

  5. Yeah, I paid 8.40 for the GOOG calendar, but I want to keep this thread limited to mkt orders. No spreadsheets, no innovations, no rolling. If in doubt, get out.
  6. Pardon my ignorance, but what is an "abhorrent" strategy?
    And no, in this case, Google is not my friend as the top hit picks up the link to this thread...
    Thanks (in advance) for the education.
  7. "Offensive to the mind"
  8. donnap


  9. :eek: :confused: :cool:
  10. What is the exit strategy for the abhorrent and the less abhorrent?.
    #10     Mar 24, 2011