Fly Structure

deltaf0rce · Sep 26, 2020

.sigma said:
well aware of the pitchfork. I've read Dest's threads, and also read Doobs paper (which he swagger jacked Dest' IP)

Several ways of viewing vol, disentangling three main movements of the smile (ATMStraddle, 25D risk-reversal, Vega-weighted FLY).

25DRR gives us info on the skew directionally.

BFLY'z gives us info on the convexity of the smile.

Thus an astute speculator can price fly's throughout the term structure to get a feel for the surface. Once armed with this arsenal, he can then strike price the wings efficiently.

Sounds good on paper, much harder in real-time action!
More...

Nice post.
Scribd is the shit too. Just downloaded Dynamic Hedging by Taleb

TheZar · Sep 26, 2020

Ahh so with this trade i can play with the wings depending on what i want.....larger delta for directional bias and smaller for non directional?

Log in or Sign up

Fly Structure

deltaf0rce

TheZar

Resources

Members