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

Discussion in 'Journals' started by convexx, Sep 13, 2014.

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  1. convexx

    convexx

    #21     Sep 16, 2014
  2. convexx

    convexx


    ;)
     
    #22     Sep 16, 2014
  3. ok, I guess I didn't follow correctly then. would you care to elaborate the 50,000 foot view premise of your technique?
     
    #23     Sep 16, 2014
  4. convexx

    convexx


    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.
     
    #24     Sep 16, 2014
  5. so are you just in this for delta or?
     
    #25     Sep 16, 2014
  6. scr12

    scr12

    YHOO looks interesting with those elevated vol. I am in short call with deltahedge.
     
    #26     Sep 16, 2014
  7. convexx

    convexx


    Yeah, I like that one. Short the synthetic at the strike. Wings?
     
    #27     Sep 16, 2014
  8. scr12

    scr12

    I didn't do wings, I am planning to do that close to end of the day
     
    #28     Sep 16, 2014
  9. convexx

    convexx


    Most of my positions are a forecast of price at time. So implicitly a delta-trade in vola.
     
    #29     Sep 16, 2014
    voltrader1 likes this.
  10. convexx

    convexx

    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.
     
    Last edited: Sep 16, 2014
    #30     Sep 16, 2014
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