one/off

Long the SPY Dec02/Dec16 119 calendar from 1.18, 6% allocation. 1.18 mid-marked.

 

Long the AAPL Dec02 60/70/80 natural fly (short iron) from 2.65 risk. 5% allocation.

 

I like.

I have the following on: Dec 02 119 (sold today) vs the Dec16 126 (bought long ago) such that the Dec02 119 notional = Dec16 126 delta.

This is about 1% of my account by your calculations.

 

On what timeframe is the data you're using as an input - are you using daily data?

Sounds like a fun acct to run. GL.

 

Completely flat and up 2% since the new format. PTT (peak to trough) draw-down was 0.3% marked. I'll post weekly IB performance stats.

 

good trading. being fundamentally short gamma and still making money last week and today is impressive.

 

Primarily from the index calendars. That narrow AAPL fly helped. My VaR is always <10% at 3SD.

 

Those were a good trade.

Thoughts on this? I did this for 2% risk (based on your calculations)

SPY Dec 110 134 call fly for 6.7

 

110/117/134?

 

110 122 134