Long-term American Options in Crude Oil

HLB · Nov 21, 2008

did a little QM scalping and now legged in into a position:

1 QM JAN @ 50.675
1 CL JAN 50 put @ 3.80

it supposed to be a synthetic straddle.
I plan to adjust it with USO ETF.
Or if there will be a big spike in QM I'll sell it, if it will finance my put.

Any option Guru here? Can you advise me, how to adjust this position to be delta-neutral? I my SW os sucks, can't calculate greeks...

Also, what's the risks (except the case when CL will stay around these levels till expiration).

Thanks in Advance!
HLB

thegazelle · Nov 21, 2008

You need to buy 2 puts and 1 underlying for the synth straddle. You have a synthetic call.

HLB · Nov 22, 2008

Quote from thegazelle:

You need to buy 2 puts and 1 underlying for the synth straddle. You have a synthetic call.

oh, I screwed now - oil will tank to $30 and I'll lose big! - NOT

Maybe you understand in options, but not in oil futures.
FYI:

1 CL = 2 QM

another difference is that CL is physically-settled and QM cash-settled.

HLB

thegazelle · Nov 22, 2008

My mistake, you're right.

crgarcia · Nov 24, 2008

Quote from Daal:

does anyone know which exchange offers this?I believe CL options are european

NYMEX

By the way, you don't want to buy options, right?
Time decay will kill you.
Best to sell options, or, if you don't want unlimited risk, oil ETFs.

Daal · Jan 7, 2009

CL long-term options doesnt seem to have any open interest. no one makes the market and I can only find an occasional 1c bid from somebody trying to pick off a market order I guess, does anyone know how to buy long term crude calls?

erlewine · Jan 7, 2009

Quote from Daal:

CL long-term options doesnt seem to have any open interest. no one makes the market and I can only find an occasional 1c bid from somebody trying to pick off a market order I guess, does anyone know how to buy long term crude calls?

Have your broker phone the pit, they'll make a market for you - it will be wide but not unreasonable.

Daal · Jan 7, 2009

Quote from erlewine:

Have your broker phone the pit, they'll make a market for you - it will be wide but not unreasonable.

I'm with IB, have you used them for this?

ogarbitrage · Jan 7, 2009

PM me if you need a mrkt indication.

petrotrader · Jan 7, 2009

Quote from Daal:

CL long-term options doesnt seem to have any open interest. no one makes the market and I can only find an occasional 1c bid from somebody trying to pick off a market order I guess, does anyone know how to buy long term crude calls?

If you are interested in apo (asian) cl options and are setup for clearport or can do an eoo (ask your fcm) then shoot me a message.