Then better to let it bounce tomorrow and load up on about $10,000 of OTM puts on either SPY or XSP at 122 strike for JULY...
DAX/SPX cash double barrier vol-replication DAX double no touch: 5300 // 5900 Premium: $755,000 Payout: $1,500,000 [includes prem paid] Expires: June 27, 2006 Negative edge: a lot Strike/barrier volatility: blended SPX "short" double no touch: 1230 // 1305 Premium: $685,000 Payout: $1,000,000 [includes prem paid] Expires: June 27, 2006 Negative edge: a lot Strike/barrier volatility: blended Volbox: +700 Long correlation, long volbox, short small gammas based upon notional-asymmetry. Trade would be long gamma if trading equal dollar. Largest risk is correlation. I don't expect to be trading against either position. The SPX is equivalent to a double knock-in.
one more question when you say negative edge a lot...what do YOU mean by that? coach isn't the fed the 28th..
That is what I did not know. The strikes make me nervous only if the cover the FED announcement. If not, then I think it is a high prob bet since the market will die leading up to that date. Key is next week's CPI/PPI. If the market churns, I would tell risk to maybe get out a few days before if he could with a nice profit lol.