Worky Work, Busy Bee

The slow motion melt up the last few months was pretty tough I would assume from looking at historic performance of some simple mean reverting strategies.  Luckily I guess you could say I missed most of it for extraneous reasons. The next opportunity I had to slap on some positions was after a nice sell off so I was short volatility and long delta.

10/1 /09, QCOM Calendar, +17%, 4 days

9/28/09, QCOM Bfly, +1.6%, Multiple Days

10/1/09 VXX, +6.8%, 3 days

9/28/09, MA Bfly, +7.7%, Multiple Days

I also traded some volatility intraday and did pretty well. In these cases I utilized straight straddle sales, an unlimited risk proposition. In my defense the time horizon was 1 to 2 days max and I wanted a lot of short vega really fast and I believed I had an outsized edge beyond Mean Reversion.

QCOM Volatility

QCOM Volatility

The first trade was short Oct 42.5 Straddle, +34 ticks. For those unfamiliar, P&L calcualtion is simply: (Ticks * # of Straddles). The Cyan line represents Implied Volatility which according to my indicator/model was overpriced.

VIX Index

VIX Index

The second trade as short Oct 103 SPY straddle for +38 ticks. So VIX technically is NOT the implied of the ATM straddle anymore, more like a measurement of the vol-strip however it was a close approximation for the magnitude of the expected vol movement (~300 to 400 Bps).  Additional edge was the volatility ‘gap’ at a high extreme. Now VIX pricing can be subject to modifications and the opening print can be pretty unreliable but this was a supportive factor for the trade and not the primary reason.

~ by largecaptrader on October 7, 2009.

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