dest's overwrite journal

Discussion in 'Journals' started by destriero, Jun 10, 2021.

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  1. destriero

    destriero

    I am not knocking the idea, but you lose $630 per above 105 at SepEx. Your BE at exp is 98.7.
     
    #401     Sep 9, 2021
  2. destriero

    destriero

    At 111 you'll be down about $380/contract tomorrow.
     
    #402     Sep 9, 2021
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  3. vanzandt

    vanzandt

    If the trade bought the $105 call as insurance?

    Assume these #'s are right.

    $90 put+call = $12.50
    $80 put is $2
    $105 call is $2

    Sell the straddle and buy the $80P/$105C
    You have an $8.50 credit.

    Stock goes to $110.
    You're down $15 (+extrinsic) on the short call, but you're up $5 (plus extrinsic) on the $105 long call.

    8.50-15+5= -1.50

    Right?
     
    #403     Sep 9, 2021
  4. destriero

    destriero


    You're in a 15 wide (upside) fly. You received 8.5 for it. 15 (strike width) less credit (8.5) equals terminal risk. The vol-crush after earnings actually hurts the position when spot is outside the wings.

    Mkt closed at an 8.7 credit on what is essentially a long natural fly. Into the risk here you're looking at body strike (90) plus the net credit on the 4-way (8.7). The individuals don't matter here. I am pricing your fly at an 8.7cr which is a bit better than when you were pricing it.

    90 + 8.7 = 98.7, terminal break-even.

    Your "fills": 90 + (12.5 - 4) = 98.5 terminal break-even. (PEMDAS ppl!).

    So yeah, vols are going to implode for Sep, but you don't want that when spot is trading outside your wings. It will exacerbate the losses tomorrow. I am eyeballing 3.8 loss at the open, but I haven't stressed it.
     
    #404     Sep 9, 2021
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  5. vanzandt

    vanzandt

    I'm totally with you on this. The idea, when I made the post, was predicated on my belief that the stock would peg $90 +/- $3 today. Which leads to.... and I'm embarrassed to say this but I will, as I was looking at those strikes, I didn't notice they weren't weeklies. IE, I thought they exp today. Yeah I know... :banghead: But hey, at least I admit my f/u which is more than a lot of people do here. I truly am embarrassed for missing that "little detail".
     
    #405     Sep 10, 2021
  6. horizon

    horizon

    That AFRM up 33% today. Super manipulate.
     
    #406     Sep 10, 2021
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  7. yc47ib

    yc47ib

    Option expiration day, all things go to their extreme and stay there till the end of the day. Same for all indices.
     
    #407     Sep 10, 2021
  8. horizon

    horizon

    No, AFRM option expiry is Sep 17, not today.
     
    #408     Sep 10, 2021
  9. destriero

    destriero

    I have $3MM (PM haircut) in AMZN overwrites. I am long from 3462 and short tenors out to March 21. Avg vol-sale of 25%. Synthetic out to March is 3522. I am long D in the synthetic straddles (1x2) at 3700-4500 strikes. Short calls against spot.

    It's a (relatively) new position and I am neutral to 3820. Some of the higher strikes are ratio-ed 1x3. So I am generally bullish on AMZN, but being paid to hold.
     
    #409     Sep 14, 2021
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  10. destriero

    destriero

    Yeah, I like AMZN a lot. I am rolling VIX futures long now that we're only seeing a small contango. I have maybe $200K to give up on hedging out to March. Their hiring and forward look is bullish but I think it's a nod to antitrust... don't fuck with a co hiring 500K people over 3Y.

    I don't want to hear from GOPtards when the shares drop 100 on Q-numbers or whatever. I earn from 2800-4200 out to March, terminally. This excludes vol-futures, NQ hedging or the small bear-verts that I own on the short dated stuff.
     
    #410     Sep 14, 2021
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