Update 4/29/10
GS continued higher through 160 today (despite all the doom and gloom about the firm). And IV drifted another couple points lower (take a look at the atm straddle to see how vega really got sapped today).
So the position needs some tweaking here to center it around the 160 strike.
Adjustment:
+1 155c/-2 160c/+1 170c $0.40 credit net on this unbalanced fly.
This nudges the body of the trade closer to and surrounding the atm (160) strike while retaining the extra downside units in case the Sam scenario returns. For the most part the trade is vega negative (i.e. has positive decay) into a declining or flat implied volatility environment with an extra put unit should big gap type event occur.
Brings the position to…
Net position:
+1 150c/-2 155c/+1 170c
+1 160p/-2 155p/-1 150p/+2 145p/+1 140p
Net credit: 2.26
From: OptionClub@yahoogro
Sent: Wednesday, April 28, 2010 9:55 PM
To: OptionClub@yahoogro
Subject: RE: [TheOptionClub.
4/28/10 update
Previous position:
+1 150c/-2 155c/+1 160c
-1 150p/+1 145p/+1 140p
Net debit $0.85
GS bounces right back to around entry point at 157. Vol stays steady to slightly drifting down. The position probably needs an adjustment off the put ladder. The deltas are still relatively flat but given the move, may as well try to take some advantage and grow the position a bit.
Adjustment:
+1 160p/-2 155p/+1 145p 0.21 cr net
-1 155c/+1 160c 2.50cr net
The idea here is basically to add an atm fly (selling premium into falling IV) while still retaining the downside bias a bit for Sam. J
Net position:
+1 150c/-3 155c/+2 160c
+1 160p/-2 155p/-1 150p/+2 145p/+1 140p
Net credit: 1.86
To unsubscribe from TheOptionClub, send an email to:
OptionClub-unsubscribe@yahoogroups.com
No comments:
Post a Comment