one/off

Right on...thought you might say it was a hodge podge of tools/skills/etc.. I'm assuming the exit decisions are made using a similar process. Did I understand correctly that you're not doing any delta hedging on these?

 

The way this is going it may touch 80 today, hard to argue with that entry.

 

aapl...349 nip below

 

Exits are conditional to vol (1st order). I will tend to close large vol-gains, but directional exits are taken on system signals on indices (2nd order). I won't rule it out, but I rarely hedge these.

 

You find that there is a lot of vega pnl to be made in 1 month butterflies? I always find that my pnl is made through theta and not having too much drift in the underlying.

Or is your vol metric something different than vega pnl?

I like the AAPL term structure more. It shouldn't be that steep in this environment.

 

These are stat-vol and directional wagers.

 

Bought the GS Dec/Jan 90/95 call diagonal at 4.80 risk. Less than 2% allocation.

 

Up 1.3% on marks since the new journal format.

 

Long 5 ESZ1 from 70.50. Stop and reverse at 67.00.

 

Out at -2.25.

Short 3 from 68.25 as hedge to outstanding equity positions.