Custom Spreads!

Quote from murphmack:

1) The quote I posted was the same day that I entered the spread. You guys who were doing risk profiles did it a few days after I did... Thus calls were already onside pretty big.

2) It is just the APR Calls and the DEC Puts (the 200cts) that I'm looking at.. Those other 2 options were part of a calendar spread that I was also analyzing. You can ignore those two.

3) Despite the big ups and downs of the market in the last few days, SPY broke 52wk highs and comes crashing back down to 133 now, the combination has not had a losing day.

If volatility drops back down to 16 (on the vix) I'm guessing the combo will have it's first losing day.

Trade Price / Current Price / PNL
APR Calls 3.48 / 3.91 / +0.43
DEC Calls 3.07 / 3.39 / +0.32
More...
This is getting FUBAR.

Dec puts, not calls and...

The calls aren't up 43 cts since the OP. Long strangles don't make money on both sides when the UL makes a decent move in one direction.

On the day of your original post, the calls were trading a dollar higher at 4.535 not 3.48 and as per your 2nd link, they're down 99.5 cts (under mkt change).
 
atticus, thx for the tinypic link. I'll give it a try as soon as I figure out PAINT :)

Re the combo graph, if the Dec puts have a much higher IV than the Apr calls, a risk graph at Apr exp will be accurate if using the Dec IV. But anything prior to that is problematic unless the program calculates the time/price numbers respectively for each leg and I wonder (doubt) if TOS is doing that. An average IV might be close but it's still an estimate. Thoguhts?
 
Quote from spindr0:

This is getting FUBAR.

Dec puts, not calls and...

The calls aren't up 43 cts since the OP. Long strangles don't make money on both sides when the UL makes a decent move in one direction.

On the day of your original post, the calls were trading a dollar higher at 4.535 not 3.48 and as per your 2nd link, they're down 99.5 cts (under mkt change).
More...

Yes.. Sorry I means Dec puts not calls.

Thats the point, strangles / straddles are not supposed to make money on both sides. But I unbalanced it, gave it positive delta and positive vega, thus as it goes up it makes money on long side and when it crashes it makes money on the volatility side.

On the day of the original post was several days AFTER I entered the trade. Does this clarify things? And prices can be misleading, i'm looking at CURRENT bid/ask spreads and NOT last price the option traded at on the exchange (computers / mmer's are always moving the bid/ask spread to keep it in line with market conditions based on however they are pricing the options.)

Edit: Update as volatility is rising
http://img24.imageshack.us/f/spy4b.png/

So far the whole combo cost 96k and is up a net 13.5k.. Around 14% gain, what are typical percentage gain/loss figures for successful straddles / strangles?
 
Quote from murphmack:

Yes.. Sorry I means Dec puts not calls.

Thats the point, strangles / straddles are not supposed to make money on both sides. But I unbalanced it, gave it positive delta and positive vega, thus as it goes up it makes money on long side and when it crashes it makes money on the volatility side.

On the day of the original post was several days AFTER I entered the trade. Does this clarify things? And prices can be misleading, i'm looking at CURRENT bid/ask spreads and NOT last price the option traded at on the exchange (computers / mmer's are always moving the bid/ask spread to keep it in line with market conditions based on however they are pricing the options.)

Edit: Update as volatility is rising
http://img24.imageshack.us/f/spy4b.png/

So far the whole combo cost 96k and is up a net 13.5k.. Around 14% gain, what are typical percentage gain/loss figures for successful straddles / strangles?
More...
It's still FUBAR.

If you legged in then the add'l profit is due to just that. Posting it days after taking the position means nothing. And real time prices are not msileading.

I looked at this position real time the day you posted it. Since then, the calls have DROPPED and the puts have risen.

If you want clarity in responses, you need to detail when the position was taken, the prices at that time and the respective IVs. Then post the current prices and IVs. From that, conclusions can be formulated. If legged in, it's all a waste of time.

Your entire premise is based on delta gain to the upside and volatility gain to the downside. You claim a profit on both sides. Show that in your numbers and I'll believe the double sided long strangle gain. Otherwise, as stated, FUBAR.
 
Quote from spindr0:

atticus, thx for the tinypic link. I'll give it a try as soon as I figure out PAINT :)

Re the combo graph, if the Dec puts have a much higher IV than the Apr calls, a risk graph at Apr exp will be accurate if using the Dec IV. But anything prior to that is problematic unless the program calculates the time/price numbers respectively for each leg and I wonder (doubt) if TOS is doing that. An average IV might be close but it's still an estimate. Thoguhts?
More...

They use AIV for what-ifs. Any forecast is moot as the smile is a moving target.
 
THEY WERE NOT LEGGED IN

Here is a screenshot of trade times..

http://img257.imageshack.us/f/tradetimes.png/

Is this good enough for you? Because I didn't begin this theory at the instant I started this thread totally invalidates it? lol Here I have a receipt

I don't know if I can get the imp vols and deltas and vegas of the options at the instantaneous moment of the trade.. but I will try to do it when I get home

earliest screenshot i had was after i entered.. this was taken on feb 16th

http://img507.imageshack.us/f/spychart.png/
 
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