Yea I messed up, that's what happens when you are tired and distracted. 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. IBM going down a lot would be very helpful.
>> 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?
>> 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
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?