Managing Funds for a Living

Discussion in 'Professional Trading' started by paysense, May 18, 2007.

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  1. And the covered call.


    You'll notice that the two are exactly the same. The white line indicates you expected profit loss on monday depending on the underlying price. The green line is your PnL at expiry.
     
    #161     Jun 8, 2007
  2. Then notice toward the bottom right corner of the image that the buying power reduction on the naked put is about $674. The buying power reduction on the covered call is $1,640.

    $110 max profit on both. Same risk on both.

    Covered call max ROI = 6.7%

    Naked put max ROI = 16.3%

    For the exact same risk profile which one are you going to choose?
     
    #162     Jun 8, 2007
  3. From there you have two choices. You can use the left over buying power to do similar positions and diversify your port. This of course will lead to increased risk, but with the potential for much greater gains. Or you can invest the reserve bp in risk free instruments.

    The choice is yours, but no matter how you do it, the naked put is the better position.
     
    #163     Jun 8, 2007
  4. BJL

    BJL

    puts rise
    call fall
    spot however doesn't change (=spot + cash received)

    put/call parity only hold when expected dividend is held constant. a rise in expected dividends will effect short puts + cover'd calls differently...
     
    #164     Jun 8, 2007
  5. Duh, of course it will affect positions in the book. Dividend increase of a dime. Spot loses a dime [recovered if held to x-div], call loses a dime; null-effect. Put gains a dime. Risk to conversions and boxes/rolls as well.

    Conversely, there is no net dividend advantage, as a surprise decrease in the dividend will favor the holder of the natural short put.
     
    #165     Jun 8, 2007
  6. So the $1 I got from the call I give back and buy at perhaps .1 to sell stock at 34 = small loss (.1/35= 0.3%), and I just move on.

    Put goes ITM, now cost $2 to buy back so - correct me if I am wrong - is a $1 loss (1/35 or 2.86%).

    If I leveraged it would be 2-3X worse.

    GA
     
    #166     Jun 8, 2007
  7. Gil: Please read something, anything related to PC parity. Perhaps you buy the call back at a dime? Sounds like empirical data to me.

    They're equivalent. I think your condition is contagious. My last on this subject. Dinner time.
     
    #167     Jun 8, 2007
  8. ?

    I do know at least this one thing. That call will be bought back on the cheap with a stock drop and the put will increase dollar for dollar on the way down. PayS
     
    #168     Jun 8, 2007

  9. Seriously, anyone who would deny the obvious to this extent is doomed to fail. You have managed to lose more this week than the S&P.
     
    #169     Jun 8, 2007
  10. The call can be bought back cheap but you have lost on the stock position. This nullifies the gains on the call. But the call only protects you for $1.00 of the stock drop, then you are losing dollar for dollar on the stock with no additional protection.

    For some reason you seem to think that a drop in stock is not a loss. You are correct in thinking that you get to keep that $1.00 call premium, but somehow ignore stock losses. The naked put affords you the same amount of protection as the covered call. I thought the charts I provided would make the equivalence incredibly obvious .

    This is why people were suggesting that you're scamming people. Anyone worth a subscription fee would know this stuff already.
     
    #170     Jun 9, 2007
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