Post your vol-trade here

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

  1. destriero

    destriero

    So 1% in comms on say 60K in premium, absent microstructure. Imagine doing this in 1995. It would've cost you 3-5%.
     
    #21     Jul 30, 2018
    TheBigShort likes this.
  2. samuel11

    samuel11

    Long /ESU8 1/50 AUG 18 (Wk1) /EW1Q8 2805 CALL/PUT @40.50 (from 7/19)
    Currently marked at 27.75

    Hedging gains realized since trade: 410

    P/L: -240

    Current positions:

    /ESU8 1/50 JUL 18 (EOM) /EWN8 2805/2800 PUT @.75
    /ESU8 1/50 JUL 18 (EOM) /EWN8 2820/2825 CALL @.40

    I hedged the gamma poorly so far...
     
    #22     Jul 30, 2018
    destriero likes this.
  3. sle

    sle

    Why futures options and not index, out of curiosity?
     
    #23     Jul 30, 2018
  4. samuel11

    samuel11

    More trading hours (even considering ext. hours for SPX). I'm usually busy at work during the day and enter my trades in the evening. Also, I am hoping to capture moves, so it's better if I can trade 23/5 and have limit orders in place.
     
    #24     Jul 30, 2018
  5. destriero

    destriero


    He trades that stuff at work. He likes the 23.5/5, Yo.
     
    #25     Jul 30, 2018
  6. sle

    sle

    Regardless of your options (SPX, SPYs or ES), you'd be hedging your delta in futures which you can trade round the clock. I don't see, however, why you'd trade futures options instead of index based on that reason alone.
     
    #26     Jul 30, 2018
  7. samuel11

    samuel11

    I don't hedge with futures. Otherwise, I agree with you.
     
    #27     Jul 30, 2018
  8. sle

    sle

    Hmm. I am confused here. How do you hedge your gamma then?
     
    #28     Jul 30, 2018
  9. samuel11

    samuel11

    With other options. So for example, if ES goes up x pts, i will buy a short-dated OTM put spread instead of selling futs. I am aware that I am adding more Gamma and neg Theta... but that's what I want to do :)

    What I am ultimately betting on is my ability to pick the strike and cap of these hedges to do better than a simple futs hedge.
     
    #29     Jul 30, 2018
  10. sle

    sle

    Ugh, okay. I assume you have a very nice commission schedule? :D
     
    #30     Jul 30, 2018