Riskarb, let me see if I get the purpose and the steps of this exercise straight. If XYZ has an Imp Vol of x% which translates to a $1 Stand Dev, and he sees XYZ going over the 2 Stand Dev Boll bands at a rate greater than 1 in 20 bars, then he ought to buy juice or at the least ask more premo when he sells ATM straddle. Thanks
Yeah, GA, that would be the reversion-trade. It's obviously not a lock to sell rich vols into a tight stat-vol, but you got the jist of it.
Anyone have any opinon on scraping up some change by selling the DEC 1285/1295 for 30 cents? The ATM straddle is around 15.00 for DEC so I'm thinking this would be a safe strike even considering last month's crazy settlement.
Weeklies: The 1265P contract could have been bought/sold for $9 last night. Looks like it paid at $2.29. Holding to SET is for the birds unless you are a seller and way OTM -- or DonnaV of course.
For .30 cents... nope... na-ta... 1. An adjustment would incur a huge loss without much time left 2. To close out the positon around expiration would probably cost .10 plus commissions 3. SET could jump up and bite ya in this X-mas season. Just my thoughts, Murray
DEC is also triple witching month plus end of year where money managers could be doing all sorts of wierd stuff with last derivatives of the year....
I can't put my finger on it but I'm expecting a mini rally next week.... We've been correcting-by-time healthily for a few days now without any huge dips. If the Fed even hints at some good news next week, along with the propensity for the market to rally during exp week, plus the fact that we still are in a bull market,... we rally... my 2 cents.
Looking at the latest price: SZPLP/1280=0.75 SZPLQ/1285=0.40 =>0.35 I got an average of 0.70 for it. But I will let the weekend go for additional theta and I will follow it beginning of next week.