volarbs

11400 cash would have been a pin.

 

Nice. Approximately how much did it cost to put the position on?

 

I had a bunch of combo-swaps (short straddle front, long strangle covering CPI) in a PM account. I can solve for it but it was a small req. I earned more than the req for sure. Was not a vol-arb, just a lucky close.

 

How does the third expiration play it's part?

 

It's essentially a time fly. I have a risk-reversal trigger normed to ATM vol.

 

12400*

 

Because you had a bias to the upside?

 

What does "trigger normed to ATM vol" mean? (IV of short put + IV of long call) / 2 ~= ATM IV?

 

prestige does need a little of mystery.

 

Google it. I am sure you can find explanations for it there.