Hello, I am currently long the SPY Jan '11 $115 Calls. I am also short the Nov '10 120/123 Call Spread. I feel like the markets are going to pull back slightly. I want to hedge myself. I'm considering purchasing a few weekly SPY Put spreads - looking into the buying the 117/116 Put Spread. My question is, I want to know what my Jan call would be worth if SPY were to trade to 116 or below my next Friday. I'm trying to play with my ThinkorSwim software that I have to set up my Risk Profile to determine what the option would be worth at that time, but I'm not totally sure if I'm doing it right. Any help would be great! Thanks.
geez, 73 people looked at this and no one can help?...i would just look at the price on the option 2 strikes removed from your jan 115c, as that would be about a $2 move in spy from $117.70 eodp and take it just under $116, looks like about $5.25 (at the jan 117c?), rough ball park... what did you get from tos?
You really made this more complicated than it needed to be. If you think the market is going down, sell some of the long calls. If you thinks its going down a ton, also buy the vertical put spread.
How would I determine wha the Vol Adj to be? If I increase the Price Adjuster UP, do I move the Volatility DOWN, and visa versa?