I assume if Saliba made money with long wrangles, you will lose money with SHORT wrangles because of exposing yourself to the risk of getting wiped out in a "black swan" gamma event.
From: mcatolico <mcatolico@mindsprin
To: OptionClub@yahoogro
Sent: Tuesday, September 1, 2009 12:18:32 AM
Subject: RE: [TheOptionClub.
What exactly do you want to know? You've described the trade so you must
know what it looks like (butterfly with extra strangle at the wings). You
either enter it as a single order or leg in. since there are basically 6
components you can leg in probably dozens of ways. For instance if you want
to be short the wrangle such as -2 70p/+1 75p/+1 75c/-2 80c, you could start
with the short strangles if you are short term bearish on volatility then
add the long straddle close to expiration. If you are bullish on volatility
you can do the reverse. If you have a strong short term directional bias you
can do a combo, say long the 75 call and short the two 70 puts if you are
directionally bullish. And on and on. [you could even do the trade using
cross expirations such as long front month short the back month if you are
expecting some near term constrained action]
As far as adjustments, it comes down to whether you guess right on any of
the initial legs (or the whole spread if put on as an initial trade). Once
you are in any or all of the position the adjustments follow either a delta
neutral approach or some other preconceived or evolving adjustment strategy.
It's probably the most flexible position imaginable but needs some finesse
to get into for a decent price. Almost all my positions eventually work
toward a long wrangle (i.e. short the atm straddle body and long the otm
strangles) in some ratio or another. I can't say that I ever start with the
whole position as a single order spread but I do leg into it over a few
weeks.
-----Original Message-----
From: OptionClub@yahoogro ups.com [mailto:OptionClub@yahoogro ups.com] On
Behalf Of asdfffg1
Sent: Monday, August 31, 2009 7:12 PM
To: OptionClub@yahoogro ups.com
Subject: [TheOptionClub. com] Option Spread
I've searched a very large selection of option trading books, and trader
articles containing entry setups and adjustments for a short and/or long
wrangle. Bairds, 'Option Market Making', which is good, is the only one. For
those who know, any direction towards a magazine article, website, or
trading book, is much appreciated.
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