Some typos in the first paragraph below. Obviously the 150/155/160
fly was the target. What is the intended remedial action if GS
nestles into the max potential loss of $5.85, 140 - 145 region? Right
now, the 150 put, which is a buck OTM, is going for $5.50, So hoping
to sell the 140 put for that much or more, if GS is at 141 later in
May, seems to be a big gamble.
On Mon, 26 Apr 2010 16:29:04 -0500, "mcatolico"
<mcatolico@mindsprin
>Update 4/26/10
>
>Well in normal trading on a decent move right into the sweet spot of this
>trade the adjustment, for me, is automatic. GS sold off $5 or so with
>volatility popping a tad. The easy move is to buy in the embedded short
>160/165 call vertical and convert to the 155/60/65 fly. That vertical closed
>at around $1.30 debit which would bring the net position to +1 155c/-2
>160c/+1 165c for net $0.10 debit. basically a nearly free mini-lottery
>ticket on GS bouncing back a bit. Normally I'd leave the adjustment at this.
>
>However the point of this exercise was to trade volatility and, in keeping
>with the original mildly bearish stance, retain some negative deltas. so
>to stick to the academic side of things, we need to get short some deltas
>while buying volatility (as IV has now risen to around 38% or so). So I'll
>add a put ladder -1 150p/+1 145p/+1 140p for $0.75dr.
>
>Net position:
>
>+1 150c/-2 155c/+1 160c
>-1 150p/+1 145p/+1 140p
>
>Net debit $0.85
>
>
>
>-----Original Message-----
>From: OptionClub@yahoogro
>Behalf Of mcatolico
>Sent: Friday, April 23, 2010 6:08 PM
>To: OptionClub@yahoogro
>Subject: RE: [TheOptionClub.
>
>Okay I'll ignore the "it continues to be weak" perspective and just focus on
>the trade. Basically the position is delta neutral with a slight negative
>(delta) bias. It's also short vega with IV around 35%
>
>On a trade like this I'll just assume the intent is to hold onto the short
>volatility unless the market proves otherwise (i.e. one of the points of
>this exercise) and to keep the position relatively delta neutral.
>
>Given these prices and position info basically id be looking at what kind of
>changes would require action to protect or alter the position. the one week
>single SD is about +/-$7 so the first focus is to check the position
>somewhere around the long strikes on the bwb (150 or 165 since 157 +/- 7
>points gets us to these strikes). If GS trades at 150 or 165 next week the
>idea would be to shift the risk in the trade so that deltas are still
>somewhat neutral or slightly negative. Unless volatility starts rising
>sharply then the adjustment at the trigger point would be some kind of short
>vega play such as adding an atm fly or another bwb around the atm strike.
>This is how I would be monitoring the trade and I'll follow up with
>commentary should GS move to 150 or 165 zone or if I find something worth
>commenting on.
>
>Current position:
>+1 150c/-2 155c/+1 165c
>
>Net credit: $1.20
>
>
>
>-----Original Message-----
>From: OptionClub@yahoogro
>Behalf Of speedsam21
>Sent: Thursday, April 22, 2010 10:32 AM
>To: OptionClub@yahoogro
>Subject: Re: [TheOptionClub.
>
>Hi Michael,
>Let me digest what you said about Vega.
>
>In the mean time, let us look at a trade on GS.
>After GS gapped down due to SEC suit, it now hovers around 157.
>It continues to be weak.
>
>May I suggest -
>GS May BWB /1 150c/-2 155c/1 165c/ for $1.20credit.
>Delta= -12.44; Gamma=-0.38; Theta= 1.78; Vega= -2.97
>
>Of course, I open to suggestion.
>
>Thank you again for sharing.
>
>Best regards,
>Sam
>
>
>
>
>
>-----------
>
>The goal of TheOptionClub is to provide a forum for members to work together
>for the purpose of furthering our individual understanding option trading.
>All messages and postings, and any materials circulated are provided for
>discussion and educational purposes only. No statement contained in any
>materials from TheOptionClub should be considered a recommendation to buy or
>sell a security or to provide investment, legal or tax advice. All
>investors are encouraged to consult a qualified professional before trading
>in any security. Stock and option trading involves risk and is not suitable
>for most people. There is no guarantee that any information provided is
>accurate and, may in fact, be wrong. It is understood that the participants
>in TheOptionClub have varying backgrounds and degrees of experience in
>option trading, and that regardless of experience each member is considered
>a student. As such, any information distributed through TheOptionClub
>should be considered with a critical mind and not relied upon as an
>authoritative source.
>
>To unsubscribe from TheOptionClub, send an email to:
>OptionClub-unsubscr
>
>
To unsubscribe from TheOptionClub, send an email to:
OptionClub-unsubscribe@yahoogroups.com
No comments:
Post a Comment