xmsr implied volatility

Discussion in 'Options' started by tradingcards, Jan 4, 2008.

  1. anybody know why the implied volatility is so high in xmsr right now? is there going to be a decision on the sirius merger in the next month or something? This volatility just seems way to high. Any suggestions on a delta neutral position to take advantage of the high implied volatility?
  2. Short-sell the January-08 $12.50 straddle.
  3. Jaques


    Is it wise to create a Jan spread under this condition?
  4. a decision has been expected for awhile. it is supposed to be out early this year.