Wednesday, September 2, 2009

Re: [TheOptionClub.com] Option Spread

 

A great write up on Tony was done in Schwager's first book Supertraders. He started in TDY which isn't around anymore. Big conglomerate that didn't move much most of the time. Then would have huge volatility at earnings. Tony is credited with have learned to craft a backspread after having blown out a couple of times the first couple of times earnings surprises hit, but trading floor legends and gossip were rarely true back then. Still teaches and ran an institutional execution firm that he sold to BNY


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From: OptionClub@yahoogroups.com
To: OptionClub@yahoogroups.com
Sent: Wed Sep 02 19:25:03 2009
Subject: Re: [TheOptionClub.com] Option Spread

 

 
Greg,
 
I haven't read any of Saliba's book, but what you describe is a LONG wrangle.
 
Just like a LONG butterfly is short ATM strikes and long on either side.
 
If you dissect the calls and puts, each is a backspread (2 long and 1 short).
 
Jim was answering the original post, which was a SHORT wrangle (and not to Michael).
 
Hope this response doesn't put a wrangle in your head ;-).
 
Murthy
 


 
On Wed, Sep 2, 2009 at 3:49 PM, Greg Farber <gregfarber@gmail.com> wrote:
 

9/1/2009 question for James Fink (or others) :

I thought I heard that Mr. Saliba's wrangles were short atm iron
butterflies, in combination with a long wide strangle. such as: with
spy @ 100: +2 95p, -1 100p, -1 100c, +2 105c

Has anybody got a more accurate description of how Mr. Saliba might
have typically composed his wrangles..? Would he use indexes..? would
his wings be 5 strikes from center..? Just wondering if anybody here
might know.

Thanks! ~gf



On Wed, Sep 2, 2009 at 5:40 AM, Ricky Jimenez <rickyjim@bestweb.net> wrote:
>
> On Tue, 1 Sep 2009 04:29:07 -0700 (PDT), James Fink
> <jimfink@yahoo.com> wrote:
>
> >Option legend Tony Saliba used LONG wrangles to make money. He wanted to take advantage of short-term time decay combined with cheap wing gamma insurance against the big move.
> >
> >
> >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.
>
> I haven't seen a discussion of that methodology in any of Saliba's
> three books. Can you give a reference? Thanks.
----------
Tom2 replied:

Ricky Jimenez" & Group

Found this reference and description on
http://www.elitetrader.com/vb/printthread.php?threadid=24449

"Posted by H2O on 11-12-03 06:42 PM:
A long (short) wrangle is long (short) both a ratio call spread and a
ratio put spread. For example, puts might be struck at 90 and 100 with
calls struck at 100 and 110.
__________________
H2O
To be everlasting you have to go with the flow."

Good Luck and hope it helps. Tomaz M.
-------------


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