Ricky's correct on net position:
Net position(corrected)
-15 145c/+15 150c/+2 155c/+2 160c/+1 170c
-1 165p/-3 145p/+4 140p/+1 135p/+2 130p
Net overall credit is $50.06
[no idea what's going on with formatting]
-----Original Message-----
From: OptionClub@yahoogroups.com [mailto:OptionClub@yahoogroups.com] On
Behalf Of Ricky Jimenez
Sent: Wednesday, May 12, 2010 11:27 PM
To: OptionClub@yahoogroups.com
Subject: Re: [TheOptionClub.com] GS TRADE [was:How do you manage your Vega?]
What happened to your formatting? The 5/12 net position has -3*145p
not -2*145p. This is the first time I remember you not having the ATM
in the profit zone. I get the expiration loss at 145 = 9.94, 147 =
37.94 and at 50 = 79.94. B.E. at 142.515. But I'll check again in
the morning when I am not as sleepy.
On Wed, 12 May 2010 21:22:34 -0500, "mcatolico"
<mcatolico@mindspring.com> wrote:
>
>
>
>Update 5/12/10 Aargh. Should have gone with my aggressive instinct that I
mentioned yesterday (the call ladder versus the slightly more defensive
backspread). GS powers back underscoring how volatile this thing has been.
For the record, the back spread I put on yesterday (-5 140/+9 145) is up on
the 5-point rally in GS about $1 net whereas that 140/45/50 ladder put five
times would have been up about $4. Okay so the first order of business is to
shift some of the delta risk a bit. Volatility came down a tad but this time
of the cycle is a great moment to look at some of the leveraged backspread
varieties as well. With today's adjustment I'll take a little bit of
additional upside risk in exchange for some solid downside strength (keeping
in touch with Sam's original directional lean again). Adjustments +5
140c/-15 145c/+10 150c for $1.09 credit each (net credit of 5.45) -2 145p/+4
140p for $0.03 debit each (net debit $0.06) Net position -15 145c/+15
150c/+2 155c/+2 160c/+1 170c -1
>165p/-2 145p/+4 140p/+1 135p/+2 130p Net overall credit is $50.06 From:
OptionClub@yahoogroups.com [mailto:OptionClub@yahoogroups.com] On Behalf Of
mcatolico Sent: Tuesday, May 11, 2010 9:41 PM To: OptionClub@yahoogroups.com
Subject: RE: [TheOptionClub.com] GS TRADE [was:How do you manage your Vega?]
Update 5/11/10 Well sometimes the dumb trades work out. GS eventually
capitulated today, vol declined along with the move. So I'll make an
adjustment to chip away at some of the upside risk I created yesterday. Even
though volatility continued to fade a bit, the risk adjustment trumps in
this instance. Adjustment -5 140c/+9 145c $0.95 net debit The more
aggressive alternative is to add five -140/+145/+150 ladders for about 1.85
credit each. This trade, which I'll reject, further secures the downside
with all kinds of credit, leaves some upside leverage but would require a
very swift rally move. There's already a bit of gamma in the trade anyway so
I'll opt for the "safer" adjustment
>listed above. Net position -5 140c/+5 150c/+2 155c/+2 160c/+1 170c -1
165p/-1 145p/+1 135p/+2 130p Net overall credit is $44.67 From:
OptionClub@yahoogroups.com [mailto:OptionClub@yahoogroups.com] On Behalf Of
mcatolico Sent: Monday, May 10, 2010 10:17 PM To: OptionClub@yahoogroups.com
Subject: RE: [TheOptionClub.com] GS TRADE [was:How do you manage your Vega?]
Update 5/10/10 I guess if you left the market last weds. and took a nice
long weekend you'd think you missed some pretty uneventful flat trading.
It's all about your time frame I suppose. At any rate I can't see anything
really great to do with GS. The atm straddle has a whopping $8 or so of
extrinsic value with just 4 trading days to go. Normally I'd be looking to
sell that but who knows where this can go? I'd also consider selling deltas
into this rally and trying to shore up the downside so that there'd be no
risk there - something like selling six 145/150 call verticals should do the
trick. Why not? I think that would make
>Sam happy! Adjustment -6 145c/+6 150c 1.95 credit each (11.70 net credit)
Net position -9 145c/+5 150c/+2 155c/+2 160c/+1 170c -1 165p/-1 145p/+1
135p/+2 130p Net overall credit is $45.62 From: OptionClub@yahoogroups.com
[mailto:OptionClub@yahoogroups.com] On Behalf Of mcatolico Sent: Friday, May
07, 2010 10:32 PM To: OptionClub@yahoogroups.com Subject: RE:
[TheOptionClub.com] GS TRADE [was:How do you manage your Vega?] Update
5/7/10 GS stabilized (temporarily?) so all I'll look to do here is sort of
rebalance the trade slightly as GS hovered around 143. Adjustments Add a
call bwb +1 140/-2 145/+1 155 for 0.32 net credit Sell the 145/140 put
spread for 2.10 credit The idea here is simply to kind of hover the trade
around the 145 strike with what will look like mostly a butterfly with a bit
of far otm gamma all in preparation of expiration week. Net position: -3
145c/-1 150c/+2 155c/+2 160c/+1 170c -1 165p/-1 145p/+1 135p/+2 130p Net
overall credit is $33.92
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