Dest1 GOOG trade at 37.90 mid here. I'd reduce position by half. For some reason I cannot share the dropbox link.
20% gain on half, basis mid. Figure a $1 loss to microstructure on an actual fill. Dest1a half-out: 17% gain
Not at all. I lump GARCH (ARMAs) into the same shitter as VaR. Obv entirely different models and applications.
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)
Dest2 is an anomaly, stat-vol on the day is higher than implied, but I'll keep it on a short leash. Half-size.
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.