one/off

Gotcha. I coattailed you on this one...traded the call natural, 15.85 entry last week and unwound the 1 x 2 at 20.00 this morning (hard to say if I would have gotten out at a better level selling the entire fly, but figured why include it when showing zero bid - save the commish and keep a lotto ticket). Anyhow, thanks for the look on the trade.

 

Oh shit, glad you got out today. Did you hedge near 32 on spot?

Again, I missed that you were referring to the 1200, not the 1100C. Yes, on the naturals I close the short backspread if there is no bid on the DOTM wing.

 

No I didn't follow on the hedge...already had on some long straddles in single names with strikes that were roughly equivalent to 1140 in ES, so wasn't going to sweat it if we really shit the bed. Generally speaking, I do everything I can to avoid delta adjustments in my vol book. It amplifies pnl variance obviously, but from what I've been able to quantify, it's still the right move for me due to the cost savings and my shitty timing. That and I trade puny in vol, so it has a de minimis effect on the overall account. Long winded answer to a simple question.

 

GOOG is a trade on vol and price. Long the weekly 460/500/540 fly from 12.00 at risk. Irons. I should be long the 505 calendar, but don't like how it's structured.

Fly is 11.50 mid.

 

What kind of return on capital you gun for on a yearly basis through your options trading?

 

Been out of town/vacation. 30% at 12% peak to trough.


Long the SPX (and some ES) Oct/Nov 1200 put spreads from 23.00. 10% of portfolio.

 

I have a similar trade: Oct, Dec 1200 callspreads. Initiated lower. Annoying now.

Not as ballsy as you though... Premium worth about 5% portfolio, notional is about 1x portfolio.

 

I used to run directional models in Inventure's Ranger, but couldn't keep it going on the hardware and feed I am running. I now get the models from a buddy who works at a large equity fund and keeps it running with spit and glue. It's his trade and I felt compelled due to the size he's running in it.

 

Out at 8.00 as it's well outside the wing-strikes.

 

When I put it on, I was long delta and carrying like 31 vol in the front. Now I am carrying 27 vol in the front, short delta and with little pnl to show(mostly due to texas hedging).

Are you hedging your delta on this?