How do you decide on capital allocation? These are not equal weighted. So is it based on some historical simulations or beta weighted. There are different strategies too, like Calendar vs fly's in different instruments which is difficult to simulate.
A lot of factors. The AAPL allocation was light due to my perception of the probability of flipping deltas. It's only 1.30 over the body strike. The initial D is -100, but it's almost a pure gamma and ddecay trade. It's neutral 50 cents lower. So it appears that I am leaning short, but on Monday this thing will be neutral here at 186.25 on shares.
How would you know the liquidity is there with zero volume and a 16 OI? Not trying to lean on you, just stating that there is no liquidity... at all. All good.
For the Karen Supatradas out there. DESTVZ4: Short four of the SPX Jul9 2650/2680/2770/2800 irons from 6.45/$9,350 req. 10% allocation (40.5% allocated). (30) initial deltas.
Likely the last trade for the day, unless I feel the need to get short. DESTVZ5: Long the SPX Jul3/9 2715 put calendar from 7.8 mid. 12 lot. 10% allocation (50.5% allocated).
DESTVZ7: Long the SPX Jul9 2675/2700/2750 231 in puts. 3 lots from 10.75 mid. 3.3% allocation (56% allocated). (13) initial D per contract.
DESTVZ1: L GOOGL Jul6 1087/1125/1200 231 puts from 43.75 DESTVZ2: L TSLA Jul6/13 340 put calendar from 3.48 DESTVZ3: L AAPL Jul6 180/185/195 in puts from 5.87 DESTVZ4: S Jul9 SPX 2650/2680/2770/2800 iron from (6.45) DESTVZ5: L SPX Jul3/9 2715 put calendar from 7.8 DESTVZ6: L SPY Jul9 272 puts from 1.95 DESTVZ7: L SPX Jul9 2675/2700/2750 231 in puts from 10.75
I deleted the risk-curve chart as it did not reflect sizing. It was all mixed-lots. I will update tonight.