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

Sizing of ES futures are one per 10-lot in vol (one ES per ten-lot in vol).

 

• You hedge by going short the underlying - is that correct?
• With AMZN you were short the shares also.

 

The ES trade is a reflection of my desire to be short delta, but not having the time to execute before the close. I fully expect to lsoe on ES at the open, but that will result in a better price on the vol.

 

Out 2696.75 mkt

 

Ugh, anyway:



Dest7b: 43 marketable (done in synthetic).2630/2680/2780 231 in puts. Effective was 42.50 due to gains in ES.

 

Edit: 2706.75 short. iPad typo.

 

The SPX fly is taking it on the chin. $40 last. The holiday is usually a low-volume ramp, but I am ok with it. I will stick it out due to the limited trading days. A mental stop at the terminal BE (2740-ish).

 

The shit went out at 40.80 mid. I am going to try and hold to something approaching 50 on half. I will try to hold it thru LTD.

 

Ok I read that several times and was looking at the ES charts and was a little befuddled...thought maybe you were trading July ES maxi-futures...

 

I would've closed position had we ended the day above the terminal BE but we reversed. 43 last.