one/off

Sorry, I mistakenly read 100. I think it's ok as well drift higher here. I would rather be ATM in the weeklies.

 

I am long the 65/75/85 AAPL weekly fly from 3.30 and long the 119 SPY calendar, Dec02/Dec16 from 1.90. I have a small SPX (300D) risk-reversal long from +320bp skew that is hedged 100D in ESZ1.

I will update with closing fills/hedges and a screenshot of the perf to date this coming Monday.

 

I have the 119 Dec02 Dec16 calendar as well.

I think the fly looks interesting technically. But my version of technicals is pretty elementary.

 

Long 5 lot at 1202.25 as portfolio hedge. Well under SPX deltas.

 

Out 2 at 98.00.

Long the NDX weekly 2225 calendar from 31.00, 5%.

 

Not finding anything here in component vols. Will wait for Thursday to trade some "rollable" calendars in some skew.

 

Flat ES at 98.00.

 

watching amzn here may trade to 200.

 

I'll take a look. That ticker is a beast. I am neutral to 119.70 basis SPY, so really not wanting a lot of stat-vol over the next 3 days. NDX position was increased to a 10-lot.

 

what do you mean by "stat-vol?"