IC or B-Fly -- That is the question

Discussion in 'Options' started by emulimu, Jun 11, 2021.

  1. emulimu

    emulimu

    Requesting your valuable input from option gurus.
     
  2. emulimu

    emulimu

    IC greeks
     
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  3. emulimu

    emulimu

    Fly Greeks
     
  4. emulimu

    emulimu

    AMZN is at 3345 now and 30 JUL 21 3300C/3350C/3400C Call Fly can be bought for -0.67 credit. What does it mean? Can you really buy a fly for a credit? Is it because Vol is so low? I tried but didn't get a fill even for a small debit.
     
    Last edited: Jun 11, 2021
  5. taowave

    taowave

    You answered your own question....

    As for IC vs fly,an IC is a bunch of stacked flys..

    As an example,look at the 10-15 25-30 IC.. It can be broken down to 3 5 pt flys on top of each other..

    10-15-20 + 15-20-25 + 20-25-30
     
    .sigma, Gambit and guru like this.
  6. emulimu

    emulimu

    AMZN stock vol is 21.13%

    3300C vol is 26.55%
    3350C vol is 26.50%
    3400 vol is 25.70%

    Above call fly is delta neutral, theta 6.8 and vega -11.44

    Adding 1 calendar to 3 lots of the above fly gets Theta to 26.19 and vega to +4.56

    Volwise, How to determine if a Fly is good for buying or selling?
     
    Last edited: Jun 11, 2021
  7. traider

    traider

    I like short expiry Bfly when I can divine the stock terminal value accurately
     
  8. taowave

    taowave

    Can you teach me to divine??

    I literally strike out every month,mainly in MSFT


     
  9. traider

    traider

    Haha joking about divining but it sure feels good when you got a pin. Does happen sometimes
     
  10. newwurldmn

    newwurldmn

    Ic’s have less delta risk on expiry day
     
    #10     Jun 12, 2021