I,m still running vols culs.. But here is the yesterday's top ten: ISRG , USG , MSTR , GOOG, TIE,BMHC, UPL , PCU , CCJ,NTES , PD All liquid , >60 , >40 , sorted descending by vols If you still have trouble to run , I will post a full list with all # in the morning
Thanks A -- GOOG, TIE and PD have been traded, but I will take a look at the others tonight. I may add a few that I am confident on direction even though they're not stand-outs on vol. In any event, I will not carry more than 30delta in any directional straddle play.
Btw, do you have a mental delta stop for offsetting neutral straddles? Or even a delta loss > theta gain threshold?
GOOG: I decided to buy back the short call at $400 and there have legged out of the short straddle for a loss of ($302). I now hold the long $390 Call purchased at $61.70 and is down about the amount of my min. loss on the adjusted position. I decided to take a bullish position on GOOG leading into the earnings report and make a profit. If the earnings report is bad I will short the stock in the aftermarket to hedge the position nad limit my loss from the price drop and IV contraction. I know this is not riskarb's original intent but since I was able to now let out of the straddle at a minimal loss and expect GOOG to have at least 1 more bangin' quarter I made the adjustment today when the price looked right. OIH and ACL, still holding as theta does its job...
Am long some deltas on GOOG too but I have a feeling it's going to bite me in the ass today. might even get out by close. RE: OIH, nice little pullback today. Theta catching up with delta. FYI: Will convert/offset latest friday PM. Don't want to hold naked over the weekend. Was looking at the 140/160 strangle to make a pregnant 140/150/160 fly. MoMoney.
Fed: I think the GOOG report will be more indicative of index direction. Normally at +/-70d. I let the OIH get away from me, but these are very conservatively allocated.