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atticus
Registered: Mar 2007
Posts: 12600 |
01-24-11 02:59 PM
Quote from OddTrader:
There are many different structures of Collar strategy that I am currently exploring:
- Long UL, Sell ATM put & Buy OTM call;
- Long UL, Sell ATM call & Buy OTM put;
- Long UL, Sell OTM call & Buy ATM put;
- Long UL, Sell OTM call & Buy OTM put;
- Long UL, Sell OTM calll & Buy ITM put;
- Long 100% UL, Sell 50% OTM call & Buy 100% OTM put;
- etc;
You can pick whichever collar strategy (and your preferred strike prices) you like.
Curious as to why you would ever go long futures and long the risk-reversal (option 1)? IOW, why double up when the point is to carry a hard-stop? You seem pretty new to this, so I wonder why the interest in such a limited strategy (in terms of r/r)?
I was on vacation in Martinique and I don't think I would have been very comfortable doubling-up on ES and leaving my laptop at home.
You're not very open to questions, so feel free to pass this one by.
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OddTrader
Registered: Mar 2003
Posts: 5271 |
01-24-11 03:43 PM
Quote from atticus:
Curious as to why you would ever go long futures and long the risk-reversal (option 1)? IOW, why double up when the point is to carry a hard-stop? You seem pretty new to this, so I wonder why the interest in such a limited strategy (in terms of r/r)?
I was on vacation in Martinique and I don't think I would have been very comfortable doubling-up on ES and leaving my laptop at home.
You're not very open to questions, so feel free to pass this one by.
If you really want to learn how to trade options, go to ask RiskArb for good lessons. Not from me.
http://www.elitetrader.com/vb/showt...ARb#post1477416
Quote from atticus:
I promise this will be my last on this thread. I realize it's difficult to post in real-time and trade. I don't trade this frequency.
I don't doubt your intentions to get short.
I took issue with your presumption that you're suited to tell someone how to trade -- on their journal.
riskarb out.
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atticus
Registered: Mar 2007
Posts: 12600 |
01-24-11 04:16 PM
lol, as expected. I was not telling you how to trade. A collar is a tacit-hedge, the long spot/long r/r is not. Good luck with the vacation trades.
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OddTrader
Registered: Mar 2003
Posts: 5271 |
01-25-11 04:07 AM
Quote from OddTrader:
Specification of ES futures and futures options:
http://www.cmegroup.com/trading/equ...s/SxP500_FC.pdf
http://www.interactivebrokers.com/e...ty=llc#exercise
Q
Cash-Settled Contracts E-Mini S&P 500 Futures Contracts and the E-Mini S&P 500 Options Contracts for the quarterly contract months (Mar, Jun, Sept and Dec) are settled in cash which means that there is no delivery of the individual stocks in the case of the futures contract or in the case of the Option Contract, there is no delivery of the underlying Futures Contract. E-Mini Futures Contracts are settled in cash using a Special Opening Quotation, on the morning of the third Friday of the quarterly contract month. The Special Opening Quotation is based on the opening prices of the underlying component stocks in the S&P 500 Index, or on the last sale price of a stock that does not open for trading on the regularly scheduled day of final settlement. For the serial E-Mini Options Contract months (i.e. Jan, Feb, Apr, etc.), the E-Mini Option settles into the underlying E-Mini S&P 500 Futures Contract.
UQ
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RichardRimes
Registered: Oct 2005
Posts: 2524 |
01-25-11 02:04 PM
Quote from RichardRimes:
are you still short the call and long the cash? If I'm following right your position right now is
-1 1285 call (Feb)@21.47
-1 1280 put (Feb) @19.22
+1 Mar ES cash bto 1286.25
is this correct or did you close the cash?
we all know what the spec's are ( I have lived them) assuming the above position......close of trading FEB exp... IF ES is 1180 THEN
the call expires
1289 ES put will convert to a long Mar ES cash and your account will have $5000 removed from it (you collected $2000 for the trade so your only down $3000
The ES cash you bto at 1286.25 will have bled a bit over $5000 and net net you will be long 2 ES contracts and poorer by $8000
THEREFORE I assume you won't leave this and go on vacation....
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