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

Sure, but arbs first (boxes) and calendars. Yup yup.

 

Loosely I can state that it's index-based; meaning that the underlying premise is that vol is -corr to index Px. The index trades are direction and skew on equal weights. The single-names are stat-vol and direction (equal). One index model based upon classic skew mechanics (Derman), but the NDA is based upon one proprietary index model.

 

He’s 6’2” 250 lb...the only Garch he uses is mixed with NO-xplode

 

and catnip...

 

Taking a shot with these two:

-NDX Jul20 7200/7300/7450 352 fly from 40 risk (40 is reduced to 1-lot equivalent)
-SPX Jul20 2750/2775/2825 231 fly from 15 risk (35 cr)

I am in the irons in both, included natural fly for illustrative purposes.

 

I am teaching a rifle class today. BBL.

 

Worst movie ever.

SPX up 10% on debit. I am walking the dog so haven’t checked the NDX mark, but I assume it’s up marginally. Be back when I get home.

 

10%? Looks flat here: