The AMEX FRO (Fixed Return Options) Thread

the sum of the call and put across the same strike should always be equal 1 on the fairval , right ?

 

Yes, I assume you mean on duration.

 

Someone should post a list of underlying securities and symbology.

 

Let's talk in terms of the natural condor. It's confusing to some as a short IC is short gamma as is the long natural condor. They're not arbitrage equivalent to the vanilla condor. An XYZ FRO 100/100 spread is not equivalent to the vanilla 100 body or 100/105/110 condor. It's most similar to the vanilla vertical, but the payoffs will not be equivalent.

The Euro-convention barrier range exotic is the practical equivalent to a vanilla condor, but again, the payoffs differ. A 70/100 "short" barrier range will payout 100 at a pip under either barrier [at expiration], while the condor would likely show a loss. The vanilla position is analog in payout.

Has anyone traded these? I could use some help with symbology. I'd like to quote some this week.

 

go to amex / expend options and look for FRO link

 

goog FH is at 35/45 for MAY 580 and 20/30 for MAY 590

 

Thanks Chief!

 

House wins big on ATM…expect spike in pinning (literally this time) / Max Pain theory related posts on ET

 

Yes. I am certain the 10 contracts traded are a force to be reckoned with.

 

Info on Fixed Return Options (inventor: Donato Montanaro) will also lead you to Tradeking.