convexx's "hitting bids and lifting offers" ETF options

The 27C nets the trade to an inside strangle against the 31C. Risk is on the downside on VXX.

 

ok, I guess I didn't follow correctly then. would you care to elaborate the 50,000 foot view premise of your technique?

 

No, not really. People pay me to do that. If the fills in this and the last thread aren't enough then I suggest going elsewhere.

 

so are you just in this for delta or?

 

YHOO looks interesting with those elevated vol. I am in short call with deltahedge.

 

Yeah, I like that one. Short the synthetic at the strike. Wings?

 

I didn't do wings, I am planning to do that close to end of the day

 

Most of my positions are a forecast of price at time. So implicitly a delta-trade in vola.

 

Out at 1.84...

https://www.dropbox.com/s/76g1m9mn710sjmn/2014-09-16_0906.png?dl=0

I made a mis-calc on the upside expiration BE on the asym fly. I was good to 29.60 (give or take) and I absolutely would have let it run w/o a hedge. I traded the call in the journal thinking my BE was in the 29.40 area. My mistake.

I had locked in a scratch with the guts strangle (inside 27/31 strangle), but no point in holding treble put risk at 28. I certainly don't think we break 28, but it is what it is. I like tautologies.

Anyway, adding the call prem to the overall equation puts me at a 2.13 debit on the VXX asym to 28. No hedge remains on VXX.