Expiration Week Strategies

Sell the ES Oct 1360 synthetic straddle for a whopping 5.00 > spot. whoopee. Horrible premo, but my guess would be a trade to 1360 by week's end. Better, buy the Oct/Nov ES 1360 time spread at < 9.00
 
Quote from nazzdack:

Danger Will Robinson!! Danger!.............Be biased towards selling out-of-the-money calls, NOT PUTS.
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Why ? You have the preverbial crystal ball or something ?
Why not sell both out of the money calls and puts for instance ?
 
Quote from riskarb:

Sell the ES Oct 1360 synthetic straddle for a whopping $5.00 > spot. whoopee. Horrible premo, but my guess would be a trade to 1360 by week's end.
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Sorry to fess my ignorance here...but what is the difference between a SYNTHETIC straddle and a REAL straddle ?
Can you detail the positions for each of these strats ?
 
Quote from syswizard:

Sorry to fess my ignorance here...but what is the difference between a SYNTHETIC straddle and a REAL straddle ?
Can you detail the positions for each of these strats ?
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Nothing, but you may receive a better treatment on the otm puts than the itm call. I prefer the liquid AH market the futs provide.
 
Quote from syswizard:

Can you detail the positions for each of these strats ?
More...


Short Oct ES 1360 synth straddle:
-- Sell one ES Dec future
-- Sell two ES Oct 1360 puts

Long Oct/Nov ES 1360 time spread:
-- Sell one ES Oct 1360 put
-- Buy one ES Nov 1360 put

Straddle benefits from "sticky delta" gains to neutrality. Time spread loses from aforementioned, but gains from neutrality, and strip vol gains should exceed loss from sticky deltas.

Sticky delta refers to atm strike vol dependence -- otm vols converge to atm vols as spot = [otm]strike. The mean follows spot.
 
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