Just understanding your variables a little more. Ok so the jump from 3.5 years ago carries equal weight to a jump that happened last earnings. I have a math background so I always think about this stuff. I just can’t program so it’s a matter of understanding how other people’s stuff works
GPC brought it home for me! If IBM wasn’t a loser that would’ve been a perfect day. I was short AA, CCI, ADS, and NUE. Decent gains on all of them. Was sized bigger on the long vol so that dominated the PnL. Edit - Opened GPC earlier in the day so the afternoon selling helped me as well. Being long vol when spot is traveling in a straight line is really powerful.
Shuuwee just took a look at GPC! How much was the original straddle? Yea your absolutely right. Did you see how much vol IBM had? 149 to 140 back to 149! If only that vol was one way...... Nice trading magic! Let me know what's on the radar for tonight
Bought the 103 GPC straddle for 3.6! Easier to press the long vol side since we have an absolute bound to the losses and I size as % of a max loss figure currently. The short vol trades have edge if selected right but the chance of outlier moves caps my size. Bringing the wings closer eats the edge up and some names don’t even really have the liquidity for good wings. So it’s tough to decide how much to cap risk in order to hit the edge harder, especially since I have a guess at relative value of vol but not absolute targets for the move. Even today there’s a few releases with stats I’d consider shorting but they’re at like 3% Implied Move; just takes one big surprise to cancel out a handful of base hits on those. Even with today being good I’ll need like two more winners to cover the beating from a day like yesterday and if it happens again the timer starts over. Once I’ve been at this a long time and have a decent trade database I think some of these questions will get easier to answer. Still wonder if I ramped up a bit too fast because of my super hot run but don’t want to mess with parameters unless it’s truly warranted. That said, SKX is pretty weird but I’m leaning toward buying it. RF, ETFC, ISRG, CFG under consideration for short vol. Any overlap?
[QUOTE="TheBigShort, post: 4892745, member: 504861" I also noticed quite a persistent PEAD with IBM. Check how the Intraday Move is usually in the same direction as the jump. So I am looking to hold for a majority of the day. View attachment 205900 [/QUOTE] Great call on IBM!
We lost on IBM. ISRG was the big winner today. Picked up BLK, which wasn't in my previous post and that was decent as well. Could've held them each a bit longer though. Closed ISRG on the exact high. I think I'm starting to get a better feel for finessing the exits though; although still have to test a few things. Gave CFG and RF a little room and they drifted closer to my BE. No real losers; super close to an all green day!! But lol, I forgot I had RF in the second expiration so I bought front series straddles intending to close... so now I've got a calendar going off in 5 hours. Going to let the Jul 19 options expire then close out the rest tomorrow. Market gets to collect a stupid tax from me haha. Hope you guys are doing well. Was trying to scan a few days ahead to check for some long vol but nothing was super blatant. @TheBigShort let me know if you find some time today and see anything interesting.
What does everyone think of TWTR? According to my math the implied move is 10.3% which seems rather low given prior cycles.