Summer vol trade

Discussion in 'Trading' started by atticus, May 11, 2011.

  1. Short vol, neutral price. Market is bound by the Osama print and may see 1300 in the next 30 days. Go long the June AAPL 300/345/390 call(or)put fly or short the iron for ~26 risk. Go on vacation and sell at 36 in a month.

    Realized vol and var will be well under implieds here.
  2. Not if Mr Papandreou has anything to say about it...
  3. AAPL vols, not index. Don't the Greeks take the entire Summer off?
  4. Yep, they go out to the islands with their iPads...
  5. Yes, a paradox.
  6. atticus, that's a huge range on the fly. Did you pick this purely to short more vol?

    I am using last trade since it's off hours. Too drunk to verify but the numbers should be close:

    10x 300/345/390 Call
    -Breakeven: $327 and $362
    -Max loss: $27000
    -Max gain: $17700

    10x 325/345/365 Call
    -Breakeven: $331 and $358
    -Max loss: $6700
    -Max gain: $13000

    Wouldnt the 325/345/365 be a better risk/reward in this case? thanks
  7. Yeah, it's essentially a short straddle. I am risking 26.10. Currently marked at 27.30.
  8. 30.70 marked. Look for a touch of 335 spot and 32.50 on fly this week.