Basis is the absolute difference rather than %. 2000basis = 20.00 vol points. Tenor skew refers to relative vols across expirations.
Sure enough... 2:1 stock dividend subject to shareholder approval. Show me a shareholder that's going to disapprove that. Anxious to see the fireworks on Monday.
Hi, I have a question for Calculon or anyone: If you don't have the budget to sell the straddle then convert to a butter, would this be an OK alternative? Example trade idea is RMBS, earnings are out 5/19 AMC and the vols are through the roof. Nov ATM 45C volatility is 80. If you long the November butter, say sell the Nov 45C, buy the 60/30 wings for a total debit of 3.2, assumming the vols drop after earnings to 60, would give this a decent increase in value. Even if the stock moves hard against you, the damage isn't awful. What do you think? frisbeeca
How did you do on INFY ? I closed with 60c profit , not a big deal , but nice to start a new week with profit ,MAY vols is under 30 as expected
IV trader, I did not put the trade on INFY. I am glad that you did . RMBS is announcing results on 4/19. Apr 45C IV=175%, Vega=02 Price 3.8 May 45C IV=120% Vega=05 Price 6.5 My expectation is that IV would drop to 100% . Since it is high volatile stock, it would move atleast 10%. What do you think about this trade.
I pass , RMBS iv is very often NOT report related ; hence its almost impossible to build a model. The credit (2.70) does looks attractive though.
I am also looking at this option on RBMS Sell Apr 45 straddle for 7.40 credit But Apr 60/30 strangle for 0.95 debit. If the volatility collapses to 100%, there will be profit if the stock does not outside of 39 and 51. It is similar the riskarb trade. I want to buy the strangle to reduce the margin and overall risk., I want to buy the strangle first and then sell straddle. Let me know your thoughts. Thxs.
But RMBS's current IV is insane, and I think it is unsustainable. <img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=1042169>