Friday, February 19, 2010

Long vol, short small deltas. Long the GS mar/APR 155 put spread from 2.55 x 100 lots.
Long the GOOG Mar 490/540/590 neutral fly from 27.50 risk. No hedge, spot-vol bet. 20 lots.
Same theme as BIDU trade. Long 20 of the ES 1050/1110/1170 Mar fly from 29.75; short two ES from 1108.25.
Backprop signal on BIDU price (bear) and vol (dropping). Bought 40 of the Mar 450/500/550 flies at 20.70 risk, short 300 shares from 497.10 average.