My option trades

Glad to see I have company with Babu.

Atticus is worse than the Pentagon for talking in acronyms. Haven´t a clue what he said and was discussing.
 
Quote from falconview:

Glad to see I have company with Babu.

Atticus is worse than the Pentagon for talking in acronyms. Haven´t a clue what he said and was discussing.
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You've got a short vol spread that's probably going to expire worthless, but if it is one tick wrong on the close, you get left with a load of stock.

It's about the unexpected non-zero premium, and how not-riskless the estimated PnL should be booked.

edit: Simple, right? :)
 
Quote from atticus:

Diminishing returns. I don't see it as a financing issue per se. Why take the risk on 100D on a coin-flip? Certainly in the age of massive global books it's less of an issue. The risk is worth some premium. Let's see when the neutral combo goes out this week. My guess is that it will go out around 1.80 to 2.00 on the neutral combo or 0.45 on the 5-wide strangle.
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Eyeballing it.

I think you are right on the atm, and high on the 5 wide strangle (5 wide is almost 80bps on 16 vol stock).

I like the weekly/monthly calendar however. The risk reward is favorable. However, I am not in it.
 
Quote from Rationalize:

You've got a short vol spread that's probably going to expire worthless, but if it is one tick wrong on the close, you get left with a load of stock.

It's about the unexpected non-zero premium, and how not-riskless the estimated PnL should be booked.

edit: Simple, right? :)
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Just curious, don't most brokers let you cover exercised options during the next session without any charges/penalties? I suppose there might be some sort of limit cuz $600000 of intra-day margin in my sub $5000 account might be a little extreme. But if there's no penalties then the only real risk to letting it expire would be the amount of gap at the next session. Although, given that options expire on Friday I suppose that's a fairly legitimate risk over a weekend.
 
Quote from falconview:

Glad to see I have company with Babu.

Atticus is worse than the Pentagon for talking in acronyms. Haven´t a clue what he said and was discussing.
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Here's what atticus is saying:

ScottandMo has a short straddle. He expects it to mostly expire worthless (meaning he expects the straddle he sold at 640 to be $0 at expiration)

What atticus is saying is that no, that doesn't happen in practice. So he shouldn't calculate his expected profit and loss with such assumptions. Even in the final day of expiration, it will most likely have a value- he gave a HYPOTHETICAL example (which, if I recall correctly, he has done in the past for you) of the value being $1.80 to $2.00.

(Straddle = sell a call and then sell a put at the same strike)

That's all it is. I really dumbed it down from Rational's answer.
 
Quote from atticus:

My guess is that it will go out around 1.80 to 2.00 on the neutral combo or 0.45 on the 5-wide strangle.
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Understand the neutral, but curious about 5-wide strangle, that just means if GOOG is at 642, the value of a 640 call + 645 put should be $5, but would probably sell for $4.55, thus losing $0.45?
 
Quote from atticus:

Say GOOG goes out on LTD at 640.00. I'd forecast the risk-premium to be $1.80+ on the expiring 640 straddle. Just a guess, but to calc PNL based upon 0.00 is not going to be seen in practice.

It's the risk-premium on the coin-flip of taking a 100D position.
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magic coin flip says heads...buy em. :p
 

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Quote from scottandmo:

Understand the neutral, but curious about 5-wide strangle, that just means if GOOG is at 642, the value of a 640 call + 645 put should be $5, but would probably sell for $4.55, thus losing $0.45?
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I am referring to the neutral outside strangle (40P, 45C).
 
This is probably more suited on a software thread, BUT

I see IB quoting GOOG ATM implied at around 140 range

TOS on the other hand quotes it at 100 ish

For the monthly exp, both IB and TOS have similar ATM IV.

What gives? Perhaps IB calculates based on Last traded price while TOS calculates it on Mid-price?

Anyone?
 
Quote from babutime:

This is probably more suited on a software thread, BUT

I see IB quoting GOOG ATM implied at around 140 range

TOS on the other hand quotes it at 100 ish

For the monthly exp, both IB and TOS have similar ATM IV.

What gives? Perhaps IB calculates based on Last traded price while TOS calculates it on Mid-price?

Anyone?
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Yeah, 140-line for weeklies. Hey-Zeus, 1.80 for the ATM weekly calendar?! Doing a 10-lot for kicks.
 

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