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

Both?

Skew trends to local vol. Very simply; ATM vol is 10. 25D puts are 13. 25D calls are 9. Where will the 25D puts be if they trade ATM? What happens to the smile as we drop? Is stat-vol trading inside implied? Macro?

Say IR swap spreads blow out. Can you effect a trade to make money regardless of price? That;s obviously the goal.

Yeah, each trade has an explicit price, implied and var-target.

 

GOOGL calendar up two bucks, tad over 10%.

 

Got it, thanks! Sounds like it's more of a holistic, constructing favourable risk-reward situations kind of process than a data-driven forecasting one. If not too much to ask, how much of what you do could be automated and how much is based on instinct/feel?

 

Perhaps you missed my ES cover and GOOG.

 

70% automated? I have a friend/client who has largely automated it.

 

I did not and these were good trades. I was not "bashing" as it was suggested.

 

I know, Bro.

 

This Naz rally reads as short covering. Strong signal, but traveling so limiting size. Three lot, done via synthetic. 109.40 risk. Short 30D per.

 

NDX will be gone prior to GOOG, perhaps hold a one lot into their earnings. I plan on going symmetric with a GOOG 231 once the front week is gone.