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atticus' single-name delta book
- Thread starter atticus
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Not for the faint of heart: BBY LBO bid expected to be between 5 and 6Bn (if it happens).
6Bn = $17.6/share
You can sell Jan or Mar 18 strike calls for 70 and 60 vol respectively.
I am doing it against long dec 18 calls that I already had in the book. Either you sell off from here (pnl is unclear but you know upside vol gets crushed) or you rally and vol actually goes to zero.
Worst case is lack of clarity and market believes a bid is iminent - but i think the market feels this is a long short already.
I'm very small in this.
6Bn = $17.6/share
You can sell Jan or Mar 18 strike calls for 70 and 60 vol respectively.
I am doing it against long dec 18 calls that I already had in the book. Either you sell off from here (pnl is unclear but you know upside vol gets crushed) or you rally and vol actually goes to zero.
Worst case is lack of clarity and market believes a bid is iminent - but i think the market feels this is a long short already.
I'm very small in this.
Quote from cdcaveman:
are you already playing the pre earnings month against the intra earnings month ?
No. flat term structure at a crazy high vol. Nothing to do with earnings.
It started as a Jan callfly and morphed into this. No reason it couldn't have been dec-feb (which would have included earnings).
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