NDX fly wings (7400/8000) on the NDX synthetic straddle are marked to 39.65 mid. Getting close to the magical 35.3 arb price.
DestSix: Long the M10/M17 GOOGL 1180 call calendar from 4.7. Calls for microstructure. Yes, I know they're equivalent to the puts.
Guest post: -Long AMZN May10/May17 2010/2030 call diagonal from 2.63 -Short AMZN shares from 1960.60 (short 10 shares per 10-lot diag) (I have 25 of each) *credit to destriero for strike selection
I assume there was a pricing benefit for trading the calendar with calls. However, recently the call calendar was 5.20 bid the put calendar was 4.60 bid according to my quote monitor. Even though it seems to go against the grain to buy an at the money calendar spread, GOOGs IV is at the low end of its recent range and GOOGs IV does not seem to be that correlated with price over the last few months. I further assume Dest found a cheap and low risk way to trade his neutral GOOG expectations versus other strategies.
DestSeven: I did this 30 minutes ago, but it hasn't moved. Long the SPX MAY10 2870/2930/3030 231 put fly from 59 (currently 59.35 mid). I extended the outside wing by 10 points. I did the (2211) synthetic, but the natural is a tight spread. $59.60 is do-able here.
DestFive futures were gone this morning, but forgot to post. Oh well; consider them off here at 46. Holding the diag. Marked to 0.60 for a gain of 1.10.