Sold TASR May synthetic...

Discussion in 'Options' started by riskarb, Apr 16, 2004.

  1. straddle. Bought shares from 112.50-113.00 and sold the 130 calls for May at 7.00.

    Traded a 1x3 ratio, stock to calls.
  2. Short deltas on that piggie, Arb?
  3. Not a ton -- the ratio is 2x5 now, don't want to push it :)
  4. Yea, its another wild one. I might look to do a cheapie fly on it a la RIMM. That way I can sleep at night.

    (BTW, it seems I left a buck on the table closing RIMM out early today. Damn beautiful spring day!)
  5. You'll lose a dollar in edge, or close to it. The options are 30-wide in TASR.
  6. That's criminal.
  7. riskarb,

    How often do these kind of short straddles explode on you?

  8. more often than I like, but this is fairly low-risk... LOL

    If the ratio were 1x2 it would be fungible to the 130c/p straddle. Increasing the ratio to 2x5 lowers the effective strike to 125 and a synthetic straddle credit of $32.50 or so...
  9. To help me visualize this, could you please post an expiry payoff diagram... thanks...
  10. I am out of the synthetic at a net $1.00 gain. I sold the May 125 straddle at an average $31.80 this morning.

    I will look to offset this at $25.00 this week. Should see 3000basis come out of the implieds, but will gamma compensate? Dunno, but should be interesting tomorrow.
    #10     Apr 19, 2004