Well, you would've thought wrong then. Straddle has been decaying consistently. In any case, regardless of what the Fed does, I doubt AAPL vols...
Adding the shares hedge was impulsive. I had closed the SPX diagonal, so was concerned I had nothing to offset. The AAPL trade(s) are just a bet...
I am out of Trade 2, the SPX diagonal, at 1.00 debit. Which was my “conservative” fair value target. So... PnL = 1.00-(-.25)*20*100=...
Sold 250 AAPL shares @ 323.42
Trades 3-4: Ok. Here's what I brought back; 10-lot AAPL Jan31 310/325/340 121 iron fly from 7.65 risk (7.35 risk) [ATTACH] 6-lot AAPL Jan31...
Good morning. I am looking to fade residual AAPL vol right at the open. I will try for the atm 121 irons. I'll post order tickets, if I get filled.
Looking good here. 0.40 debit now. Looking for about 1.25 fairval. It’s a 20-lot btw.
So you attempted to sell at 1.5, and it filled at 1.6? Congrats, you filled .10 better than quoted mid. What are you complaining about?
Trade 2- Long the SPX Jan31/Feb07 3325/3360 Call Diagonal from -0.25 cr [ATTACH]
Nat King Cole...duh
Oh I see. I’m sure there are other free scanners out there that may have some option/vol data. Or, perhaps your front-end/trading platform. There...
try avg daily option volume of >= 2500 Significance of 2500? None. I just threw out a number. If your scan yields too few/many results, then...
Edge must be quantifiable, exploitable, and scalable. How much edge exists? Can you capture that edge? Does that edge persist when increasing...
Yes, you are missing something. The thing you are missing is called “gamma.” An option’s p&l wrt gamma =0.5*gamma*dS^2
Which strike/duration/etc? Why not simplify even further, and just buy shares?
Sold to you. The market is fully aware of past history, and it’s baked into option prices. Vol may be a massive sale (or buy), but betting on...
Iron vs natural (c/p) fly are synthetically equivalent. There are only two reasons why one would trade one over the other. First, if the...
I'm going to sit tight here. Not adding anything today.
I always execute as a package (multi-leg order). The ability to fill at, or around, mid varies depending on several factors. Since you'll never...
I am out of Trade 1. I'm probably leaving money on the table, but so be it. Once a trade like this flips delta, it's usually a pretty good exit...
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