New, Tao, Mr Muppet... am I close?
one-offs
- Thread starter destriero
- Start date
natural flies are equivalent (puts or calls)
broken wing flies are equivalent regardless of ratio (132C = 132P)
A skip strike in say a BWB = a 22/11 asym-condor. Used where you would utilize a BWB but in skewed mkts.
The synthetic is the forward. So XYZ cash is trading at 100.00. The 90-day 100-strike synthetic is bid 103 (short put, long call at x-strike).
You short the synthetic at 103 and buy shares which reflects carry to exp. If you can short 103.5 and buy cash at 100 then you've arbed rates by 50 beeps.
Splitting strikes involves buying the 105C and shorting the 95P. Shorting shares at 103. There is risk to exp (delta drift, dgamma, etc). Obv worst case would be a close at 105 terminally. Poor example but one is a rates-arb and the other is a synthetic bear vertical.
Long vol arb:
1) calc integer skew (no annualized vol-fig)
2) price skew or switch lock
3) price expectation (trading days) via wknd-delete within front end
4) Price 3-way (option menage)
5) convert to COB-order and/or camouflage with redundant execution
6) select highest delta pos/RBH req
6) if conformal hit send
1) calc integer skew (no annualized vol-fig)
2) price skew or switch lock
3) price expectation (trading days) via wknd-delete within front end
4) Price 3-way (option menage)
5) convert to COB-order and/or camouflage with redundant execution
6) select highest delta pos/RBH req
6) if conformal hit send
I think I understand the mechanics of the conversion-reversal, but I am still lost at the rates.
Are these margin rates?
Does the conversion-reversal apparent profit reflect the rates for the tenor or are they calculated separately?
7, damnit. 7.
