Wednesday, September 2, 2009

Re: [TheOptionClub.com] Option Spread

 

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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