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

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

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  1. Oh hell yeah...
     
    #41     Apr 10, 2018
    destriero likes this.
  2. destriero

    destriero

    Dest1 GOOG trade at 37.90 mid here. I'd reduce position by half. For some reason I cannot share the dropbox link.
     
    #42     Apr 10, 2018
  3. destriero

    destriero

    20% gain on half, basis mid. Figure a $1 loss to microstructure on an actual fill.

    Dest1a half-out: 17% gain
     
    #43     Apr 10, 2018
  4. destriero

    destriero


    Not at all. I lump GARCH (ARMAs) into the same shitter as VaR. Obv entirely different models and applications.
     
    #44     Apr 10, 2018
  5. destriero

    destriero


    You haz position? Yes, let's look at VIX towards the close.
     
    #45     Apr 10, 2018
  6. destriero

    destriero

    132/231 flies. Refers to leg-size:

    You need to structure the body/wing strikes at 2/1 (or more) to avoid taking a haircut on the position. Obviously the terminal PNL is geared (2x) from the body strike to the wing, so it's asymmetrical, but remains a simple debit requirement.

    Example:

    XYZ at 100
    XYZ APR 100/110/115 132 call fly
    2/1 strike width

    The only difference between a 132 and a 231 is call vs. put. It's a naming convention as I always quote strikes as ascending:

    100/110/115 call fly is a 132
    100/105/115 put fly is a 231

    The put and call flies (132 put and call flies) are equivalent. I typically go with a 2/1 ITM to body strike-width natural due to microstructure, but they are equivalent.

    132 call = 132 put (put is synthetic)
    132 call = 231 put (both are natural)
     
    Last edited: Apr 10, 2018
    #46     Apr 10, 2018
    sid8888, AXXXISIGMA and Adam777 like this.
  7. destriero

    destriero

    Dest2: Long TSLA APR 20; 285/300/330 231 put fly from 9.70 actual.
     
    #47     Apr 10, 2018
  8. destriero

    destriero

    Dest2 is an anomaly, stat-vol on the day is higher than implied, but I'll keep it on a short leash. Half-size.
     
    #48     Apr 10, 2018
  9. destriero

    destriero

    Out of Dest2. Can't abide...

    (0.40) loss. 4% but half-size. Loss of 2% on microstructure.
     
    #49     Apr 10, 2018
  10. destriero

    destriero

    To answer a PM question, yes, these are returns on debit. No, I am not shipping the account all on one position. My average size is 3% per position, but the variance is high. Dest1 was something I've had on for over a week in various strikes and expirations.
     
    #50     Apr 10, 2018
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