Post your vol-trade here

Discussion in 'Journals' started by destriero, Jul 30, 2018.

  1. destriero

    destriero

    Let's open a discussion, sans trolls, with color on various equity, index and debt-vol trades in real-time. I don't care what it is, just that it's current and marketable.

    Just bot the NDX Aug17 7200/7300/7350 132C fly from 12.5.
     
  2. destriero

    destriero

    I went long single names and index here at SPX 05 on cash. Short-term play that should be resolved by this week's LTD.
     
  3. Here is my trade just entered with the IB trade stamp:

    + BOT 20 WING Aug/Sep 45 Calendar Put 0.55 SMART 15:13:29

    + SEP $45 WING PUT
    - AUG $45 WING PUT @ $0.55

    Stock @ $49.61

    Earnings on 8/2
    AUG/SEP vol skew plus WING came up on my scanner for downside break. Choices of short stock, puts or cal and went with Calendar. Did not check FLY as was lazy. Not a large position for me but I have a lot open at same time so choose your own size :).

    EDIT:

    Calculating front month/back month vols on my puts as 59%/44%.
    Looking for front month to drop to 45% range hopefully. I don't have dest's accuracy in this, it is basic approach.
     
    Last edited: Jul 30, 2018
    destriero and TheBigShort like this.
  4. This is great!!
    Here are my basket/trades I got filled on today.

    Trade 1.
    Short QQQ combo 175 Aug 10 @ 4.81
    Long QCOM combo 62.5 Aug 10 @2.13
    Vega neutral (for every 3 QCOM, 1 QQQ)

    Trade 2.
    Short IWM combo 165 Aug 10 @ 3.51
    Long GS combo 240 Aug 10 @ 5.83
    Vega Neutral (for every 2 GS, 3 IWM)
     
    destriero likes this.
  5. destriero

    destriero

    TBS, so you went neutral on the QQQ trade. Have you considered going short delta for the skew and going long-delta on the street-vol? Obviously you'd have to go further out that Aug10 to reduce your gammas.
     
  6. I assume that you modeled the QQQ v. QCOM to get your ratio and are shorting the index vols against a main component of the index? Just to follow better your thoughts
     
  7. destriero

    destriero


    I had no idea wing-stop was listed. The food is OK, but I cannot imagine them rallying on earnings. Looks like a good play. It was trading at 70x this morning.
     
    El OchoCinco likes this.
  8. No place that produces bar food anyone can make should be trading at such multiples but I cannot discount the Krispy Kreme sheeple mentality or the Investment Banks propping up this shit haha. I am looking for $45 to $48 and a vol drop by Friday to get out.
     
    Last edited: Jul 30, 2018
  9. destriero

    destriero


    I'd think vol will open under 35 once the report is out, but can still hit a triple or better at the strike.
     
  10. Neutral as in Delta Neutral? Than yes.
    Yes I have thought about it but, as you have mentioned I would need to go further out to get the vega/gamma needed to make it worth while. What is your take on shorting index skew and buying street skew?

    I look for realized vol correlation of street vs index. If they are highly correlated with a reasonable spread I take the trade. I'll post a photo in a second. Although GS is not in IWM, IWM is 19% financials (largest sector), which Is why there is such a high correlation
     
    #10     Jul 30, 2018
    El OchoCinco likes this.