IMCL Options....

Discussion in 'Options' started by palawan, Feb 9, 2004.

  1. palawan


    IMCL is supposed to get the FDA decision by this coming Friday 2/13/2004 (per message board information - may or may not be accurate).

    The IV's on the Feb options are well over a hundred and the March options are about a hundred give or take.

    Just wondering what advanced option strategies would offer the best risk/reward scenario.

    I'm only approved for Level 2 options trading (buying and selling options), so this is merely a research exercise for me (for the future). I've read "McMillan on Options" and I have been buying and selling calls and puts for the over 3 1/2 years, so I have a lot of experience with the basics. I can understand spreads and butterfly, but the "Coulda, Woulda, Shoulda" book is giving me a hard time.

    Thanks for any info...



    I'm not sure about the option strategies, but if Imclone doesn't get FDA approval for Erbitux it's going to be the short of the stop, 5 dollars.

    I just hope it's not halted when the news hits.:D
  3. ertrader1

    ertrader1 Guest

    you better learn what hedging is fast......and not the standard hedge either, you beter learn how to hedge using Gamma vs. Delta and be ready to hedge with stock going into IMCL news on friday.

    Good luck and I hope you dont get into a high delta IMCL before friday with out knowing which exchanges will fill your orders fast on the IMCL options before the spread 30 cents on you.
  4. There is a strong call skew in IMCL -- a ratio frontspread... buying the Mar 40C and selling*2 of the Mar 50C is a viable position. The resulting skew reduces the debit paid(increases your edge) by $.50 over what would be achieved in a flat-skew environment.

  5. arb,

    i dont see that skew across the mar call series anymore. did they whack it out, or did you mean to buy _may_ and sell mar? may 40C are @ 67.9% iv, mar 50C @ 83.4%. maybe a diagonalized ratio?

  6. Wee,
    I didn't run the anaysis, I was simply looking at the call/put series yesterday after the close. The put frontspread(30/40) was trading something like $2.00 with the call frontspread(40/50) trading around $1.30.

    I see now that I spoke too soon, either they whacked the skew as you stated, or the quotes were stale. The latter seems more likely.

    No trade there :(

  7. A short time spread is the only trade I'd play here. The vols will come in and you're long a bit of gamma, all good for this play.

  8. it's maddening trying to wade through the news articles for legitimate FDA info on CETUXIMAB/ERBITUX, if that's the drug or treatment with news pending. all i see is "tears at martha's trial."

    i'm not interested in this one. too much baggage.

  9. arb, the short time spread came to mind, but the front months are so much more expensive than the backs, ripping your edge out. i'm standing aside. wee
  10. Something like 2000basis, right? Yeah, I agree that the -edge is profound, but I believe the aggregate drop in implieds will likely outweigh the -edge in smile.

    #10     Feb 10, 2004