one-offs

Which structure did you use?

 

I carry deep otm long puts and ps in single names. It was a fluke.

 

Gave some back. Flat position.

 

ATM switch value is so high that it's almost root-time neutral while being net long contracts in the back. Takes -600 beeps vol-shift.

 

It's up 25% on haircut.

 

The two dimwits are blocked from this thread. I'll be more active here.

 

Let's go mofos!

 

Skew lock/rhino on Fed edge as shown in closing RUT-vol. Weekend delete shows $25K expectancy due to skew and switch value. Switch edge exceeds possible drop in vol post event. You vol-shift the trough to x to express summed vol-edge in the position. You can reproduce from the annualized vol as well.

1W/2W.

PM/risk-based haircut is a credit -- it adds buying power.

 

That's not the payoff but the edge calc.

 

SPX. ES.