Destriero's single-name vola journal (riskarb; atticus; et al)

Discussion in 'Journals' started by destriero, Apr 7, 2018.

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  1. destriero


    It looks like it's been six years since my single-name delta book journal. I am semi-retired at 50 and spending more time traveling to establish residency (Ostermalm, Stockholm) and backcountry camping and climbing with my oldest who is in high school.

    Here's the original thread from 2012:

    I'll post swing trades (overnight holds at minimum) in single-name equity vola. I am not going to post size, but my average size is 2.8% of equity per name, debit-req.

    I'll be trading a variety of 121 and 132 flies; calendars... no √time-neutral positions or anything involving a haircut. No conversions, boxes or rolls either. One exception would be an occasional pitchfork, but only to display edge or express a vola-bias. Obviously I cannot trade those in an IRA without wings.

    I will post a real-time NBBO market quote at mid as my fill price. No screenshot will be more than 10 minutes stale. I am active and often trading from the road, hotel rooms, etc., and cannot post everything I trade. Some of the positions traded will be taken; some will be pre-existing (but with a r/t marketable price when posted). I am a mkt-taker, so I am not filling at mid, but it's up to your how aggressive you're willing to be or how long you're willing to babysit an issue. IOW, I am not going to lift offers to prove that my methods are NBBO-marketable. I've done it profitably, so I am not here to prove that to the troll-farm.

    I am not posting pics of my execution or clearing platform. I am under an NDA for another 10 months and I am not interested in people prying. I will be posting NBBO from an inactive account that I use for quotes on the road.

    My timing is my own. I am not going to get into the minutiae of timing or TA. I don't want to turn this into a TA-journal. You're welcome to PM me for clues to timing but I don't want to get stuck in the weeds.

    I'll just drop it if this gets trolled by the a-props of the forum. I am not inclined to get into BS pissing contests.

    My first trade(s) posted will be from yesterday's closing NBBO mids.
  2. destriero


    Trade: Dest1
    Spot: GOOG
    LTD: 04/13/2018

    955/1025/1060 132 fly in calls at $31.45 mid NBBO. Expecting a touch of 1025 on spot no later than Tuesday's close. Trade will be short-delta at body, but vola will drop more than 400bp in a trade to body.

    Looking for a 15% gain by Tuesday's close for half. Potential to let remaining half ride through LTD Friday.
  3. destriero


    The SPX 20D risk-reversal for APR 13 is trading at 300bp. A decent figure for a week out.
  4. destriero


    I received a couple PMs on the origin of the ET handle. I used to fly to HK and buy high-end mechanical watches (before China hand-off) and flip them in the US. I was shopping with a bit of a buzz-on when I made a deal to buy an IWC Il Destriero Scafusia.

    I wore the watch home, undeclared, and send the box/case home via EMS.

    I sat on that watch for nearly a year before breaking even. A cautionary tale of marrying a trade/getting pot-committed.
    Last edited: Apr 7, 2018
    D-3C0, zdreg and Xela like this.

    • The +1,-3,+2 setup is quite a bit different than a regular +1,-2,+1 fly.
    • I guess that's where the short-delta at body comes into play.
  5. destriero


    Right, they have massive delta-decay and sensitive to 2, 3rd moments. It’s too much of a moving target to elaborate until/if we touch 1025.
    Adam777 and vanzandt like this.
  6. How about the idea of guarenteeing the execution of, say, half of your desired position by taking the market price and working the rest for price improvement? Over time, there is a lot of money involved in getting better price. I understand that you risk not getting filled, but you can track your fill and price improvement results and know for certain if there is a significant difference in expectation between the entry methods.
  7. destriero


    I work inside NBBO. The mid is being used solely for journal purposes. It's unrealistic, but so would be lifting offers and hitting bids, as I'd never throw money away. I've done a journal in which I went 100% marketable, and the journal trades were profitable. I am not trying to wager on profitability--but I'd wager the trades, net-net, would be profitable if marketable.
    Last edited: Apr 8, 2018
  8. I'm an options newbie so apologies in advance for the basic questions...

    Destriero, how do you manage this position if you have an immediate move down below 990?
  9. destriero


    That's my concern and I will be out at/near market.
    #10     Apr 8, 2018
    mjf61 likes this.
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