Name of this strategy and risk, please

Discussion in 'Options' started by torontoman, Sep 24, 2009.

  1. Yea I messed up, that's what happens when you are tired and distracted.
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    This is closer no December options for IBM but November will do. Yep this is helped by a rise in volatility. I don't know what to call it. You could loose a maximum of 738 dollars plus commissions. I don't know what you could make on it considering IBM is around a 26 vol.
    The volatility skew the difference between October and November this needs to widen to get help from volatility. This is the risk graph a week before October expiration.
    [​IMG]
    IBM going down a lot would be very helpful.
     
    #11     Sep 24, 2009
  2. johnnyc

    johnnyc

    Can be helpful to know the name of the strategy if checking to see what the margin requirements are.
     
    #12     Sep 24, 2009
  3. spindr0

    spindr0

    >> Yea I messed up, that's what happens when you are tired and distracted. <<

    I find that my best mess ups here occur during slow trading days when I'm monitoring positions and posting :)


    >> This is closer no December options for IBM but November will do. Yep this is helped by a rise in volatility. I don't know what to call it... The volatility skew the difference between October and November this needs to widen to get help from volatility. <<

    These positions are better when you nab some pre earnings IV expansion on the near month.


    >> IBM going down a lot would be very helpful. <<

    Going up a lot isn't a bad thing either.


    If I provided some numbers (2 simple positions), could you put up a pretty picture of each?
     
    #13     Sep 25, 2009
  4. Ok
     
    #14     Sep 25, 2009
  5. spindr0

    spindr0

    >> If I provided some numbers (2 simple positions), could you put up a pretty picture of each? <<

    9/18/09
    Oct expiration
    $70 stk
    $3.05 Oct 70p
    $6.25 Oct 75p

    1st position: long 140 shs, long 3 Oct 70p

    2nd position: long 140 shs, long 2 Oct 75p

    Thx
     
    #15     Sep 26, 2009
  6. 1st position: long 140 shs, long 3 Oct 70p
    [​IMG]
    2nd position: long 140 shs, long 2 Oct 75p
    [​IMG]
     
    #16     Sep 29, 2009
  7. spindr0

    spindr0

    Thanks for posting that TommyLove. I'll post my ?'s when I catch up and get some time.
     
    #17     Sep 29, 2009
  8. spindr0

    spindr0

    At this point I figured out that the ITM 2 put position has a bearish bias. That leads me to another question.

    Suppose I start out delta neutral with long stock at 70 and long Oct 70 puts. Suppose after a series of gamma scalps, XYZ is now 66, the Oct 70 puts have a delta of .72 and the Oct 65 puts have a delta of .48

    Would there be any good reason to substitute 3 long Oct 65 puts for every 2 long Oct 70 puts? For some reason, that 4 pts of intrinsic intrigues me. Obviously, subsequent change in IV would be a factor as to which position would do better. Any other reasons?
     
    #18     Oct 1, 2009