IC or B-Fly -- That is the question

[emulimu]

Requesting your valuable input from option gurus.

 

[emulimu]

IC greeks

 

[emulimu]

Fly Greeks

 

[emulimu]

AMZN is at 3345 now and 30 JUL 21 3300C/3350C/3400C Call Fly can be bought for -0.67 credit. What does it mean? Can you really buy a fly for a credit? Is it because Vol is so low? I tried but didn't get a fill even for a small debit.

 

[taowave]

You answered your own question....

As for IC vs fly,an IC is a bunch of stacked flys..

As an example,look at the 10-15 25-30 IC.. It can be broken down to 3 5 pt flys on top of each other..

10-15-20 + 15-20-25 + 20-25-30

 

[emulimu]

AMZN stock vol is 21.13%

3300C vol is 26.55%
3350C vol is 26.50%
3400 vol is 25.70%

Above call fly is delta neutral, theta 6.8 and vega -11.44

Adding 1 calendar to 3 lots of the above fly gets Theta to 26.19 and vega to +4.56

Volwise, How to determine if a Fly is good for buying or selling?

 

[traider]

I like short expiry Bfly when I can divine the stock terminal value accurately

 

[taowave]

Can you teach me to divine??

I literally strike out every month,mainly in MSFT

I like short expiry Bfly when I can divine the stock terminal value accurately

 

[traider]

Can you teach me to divine??

I literally strike out every month,mainly in MSFT

Haha joking about divining but it sure feels good when you got a pin. Does happen sometimes

 

[newwurldmn]

Requesting your valuable input from option gurus.

Ic’s have less delta risk on expiry day