Selling ZN June 116 straddle

Discussion in 'Options' started by riskarb, Mar 24, 2004.

  1. at 2'36. Sold some size it it today -- looking for a trade under 116 and a contraction in the stat-volty curve. Trading 2'20 within a week.

  2. let's see. target of 16 ticks = $250 per straddle? And your usual size of several hundred (lol) = $$$

    good luck arb. we remember your EBAY straddle well so no comments from the peanut gallery.

  3. Couple of questions:

    1. What are the current volatility figures you're seeing? What caught your attention?

    2. What kind of contraction are you expecting?

    3. I've never traded straddles, do you prefer short or long or do you let the greeks dictate the strategy?

    4. If prices drop, doesn't IV generally rise? If so, would this not hurt your position?

    I'm certainly not questioning your trade, just trying to learn from someone in the know.

    Good luck.
  4. 1) I'm predicting a 100basis drop in implieds over the next 3 weeks -- trading Jun straddles for the smaller gamma.

    2) I can't add anything to this concept w/o revealing proprietary info. Sorry if it sounds flaky, but it is what it is.

    3) Straddles have an excellent r/r, but a poor margin of error, until edge develops thru theta gains. I don't trade (-)expectations, so I rarely(read never) initiate long straddle positions.

    4) Not necessarily; and I am not looking for a dramatic fall, on the contrary, I am looking for a contraction in stat volty and by extension, implied volty. Again, I cannot elaborate beyond the aforementioned.

    I'm looking for 20ticks before the M.O.A.N. (Emp. report) and another 20 on the release of the number. I believe we'll trade in a fairly tight range; i.e., one handle on the futures up/down, barring any major exogenous events over the next 21 days.

  5. Thanks for clarifying. I hope everything works out. Good luck.
  6. Ikspec


    Are you going to be keeping it delta neutral or no hedging?
  7. I'll hedge when/if either side trades itm a full handle.

  8. Ikspec


    Thanks for the quick response.
  9. I've sold some futs to lower neutrality to 115'24.

  10. What's your strategy for dealing with the employment report this week?
    #10     Mar 29, 2004