I have an o/u line on my sheets which was showing +200 basis in smile on the 17500c/ATM. I don't like to sell upside curvature, but the vols were a bit better on the 25d. 25d puts were trading 100basis over 25d calls, but I don't want to be net-short puts in this market.
hey risk; liquidated those calls ystdy @open; futs were up 40points, but theta weakening somewhat and vega gains cut off 16points on the 17500strikes' premium: had no choice there, bid getting too close to b/e. Have to be fair here, got lucky with this gamble: timing was off and I knew no much upside was left, also yen had a consecutive 7weeks winning streak (if Im not mistaken), and odds for gaps up or further gains were very limited, while risk on downside was pronounced. U tho, look fine with your synthetic play; 16550 has proven to be strong support and as far as I can see it looks sideways action, also there's no fundamental reason yet for a technical breakdown. I have to guess u are in 'till after boj meeting to take advantage of expected IV drop. All the best b
Thanks Bit; and a good decision to get out when you did. Vols have dropped to 22 early in the SGX day-session. Those 17500s are trading 135 now.
Got very lucky to say the least; already survived a 230 points drop a few days ago when sgx futs after gap down closed above previous days highs: a miracle saved me and was not looking to get into trouble. Cheers b
Short 30 SGXNK Mar synthetic 16500p Short 100 SGXNK Mar 17500c Long 8 futures Neutral delta at 16500. Downside b/e at exp is 15,650.
Vols weaken at the open -- position is up $6k on the day thus far. I'll carry this through the weekend.
Up another $8,000 on the open, vols dropping to 25%. Plan on carrying the position until a break of 16,000 or 16,600.