Protecting a DITM call spread

JackRab said:
You're not making a box, a box is basically a flat position... in this case a box would be to buy the 60/00 PS...

So than you would be +2200C - 2200P -2260C + 2260P... a 2200 reversal and a 2260 conversion...
That's a box and has no risk... (unless you consider pin...)

If you trade the 60/30 PS, you end up with:
+2200C -2230P -2260C + 2260P... and basically through the conversion in the 60 strike your 2200C becomes a 2200P and you have a synthetic short putspread, +2200P - 2230P

So, you lower the risk and still have a little bit of premium to collect.

That straddle is now about 20 bucks (7 DTE), which is 0.9% of the underlying... which with a week to go isn't that much... especially since the Jan27th straddle (3 DTE) is about 16 bucks (0.7%)...

In hindsight, it might not move and the straddle will lose all value and still was expensive... but at this time I don't consider it high. And then I wouldn't want to be short ATM straddle... (which you basically will be when long a butterfly).
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You don't know what you're talking about. Not even in the ballpark.

The above 2200C, -2230P, -2260C, 2260P, dissected:


2200C/2260P = long guts/inside strangle.

-2230P/-2260C dissects to a short outside strangle.


So where, pray tell, is this synthetic put spread? Basically thru the conversion you say? WHAT?!

Dude, WTF did you make a market? Twinkie futures? Pumpkins? You didn't net the combos (strangles)... you arrives at a fictional "synthetic PS"? WHERE?

A synthetic call vert would look as follows:
Long XYZ at 90; short 95C; long 85P. That's a synthetic 85/95 bull spread.

Que es "synthetico put spreado"?

lol.
 
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This is well covered in McMillan's big book, where he describes about 4 ways to deal with this. There is no one best way.
 
drcha said:
This is well covered in McMillan's big book, where he describes about 4 ways to deal with this. There is no one best way.
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This is routine on every pit/post and upstairs operation. There is no synthetic put spread here.

The guy bandies about "conversions" without the underlying. There is a legit distinction between a synthetic and the 3-way!

He arrives at a "synthetic short put spread" that doesn't exist, and via a "conversion" w/o long spot.

Side note: conversions require delta1 in +SPOT, otherwise it's a synthetic short:

Long spot; short n-call, long n-put = conversion.

Short n-call, long n-put = synthetic short.
 
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Mate do I need to point out to you that a long ITM call spread is basically a synthetic short put spread...??

The 2200/2260 cs long, is the same as a 2200-2260 ps short...

Buy the CS at 50, max gain 10 unch or up, max loss 50 down
Sell the PS at 10, max gain 10 unch or up, max loss 50 down...
Same deltas... same gammas.... same vegas... same everything...

That's why your box is riskless.

So @xandman is long the 00/60 CS, and therefore short the synthetic 00/60 PS......
When he buys the 30/60 PS, you're left with the short 00/30 PS.

That's very basic stuff... which will go over the heads of 98% of the people of this forum, but any MM should know this...
I'm just very surprised this is too much for you to grasp, since you consider yourself all-knowing at options.

And re the expiry mix-up. We both made an error there... I assumed it was the EWF7 since Xand gave that in his post. You didn't look at his post.

But, your fly of 1 day later expiry would not be trading at 30... there is now way in hell that it would trade so much lower than the one day earlier... The difference in the ATM call was only about 1.50... So at most your fly was at a $3 discount to mine... So that would be 41.40 - 3 = 38.40. You could not have bought that even close to 30.........

Just take the pill and acknowledge you were wrong so we can move on.
I already know you're probably better at me re exotics, but this shit is just starting to be silly.

You can ask any options trader here to debunk the facts about CS/synt PS... get SLE or Mav... But don't slam your head on your keyboard too hardly when you realize you fucked up.... again...
 
JackRab said:
Mate do I need to point out to you that a long ITM call spread is basically a synthetic short put spread...??

The 2200/2260 cs long, is the same as a 2200-2260 ps short...

Buy the CS at 50, max gain 10 unch or up, max loss 50 down
Sell the PS at 10, max gain 10 unch or up, max loss 50 down...

That's why your box is riskless.

So @xandman is long the 00/60 CS, and therefore short the synthetic 00/60 PS......
When he buys the 30/60 PS, you're left with the short 00/30 PS.

That's very basic stuff... which will go over the heads of 98% of the people of this forum, but any MM should know this...
I'm just very surprised this is too much for you to grasp, since you consider yourself all-knowing at options.

And re the expiry mix-up. We both made an error there... I assumed it was the EWF7 since Xand gave that in his post. You didn't look at his post.

But, that your fly of 1 day later expiry would not be trading at 30... there is now way in hell that it would trade so much lower than the one day earlier... The difference in the ATM call was only about 1.50... So at most your fly was at a $3 discount to mine... So that would be 41.40 - 3 = 38.40. You could not have bought that even close to 30.........

Just take the pill and acknowledge you were wrong so we can move on.
I already know you're probably better at me re exotics, but this shit is just starting to be silly.

You can ask any options trader here to debunk the facts about CS/synt PS... get SLE or Mav... But don't slam your head on your keyboard too hardly when you realize you fucked up....
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Dude, I've known Mav for 15 years. SLE for 8?

No, it's not "basically" anything other than what it is... which in your case is total BS, which you tried to pawn-off on "98% of this forum" or so you thought.

Yeah, so xandman stated 8 DTE; IB and Wedbush showed 7, so I went with Feb1. I saw "8 DTE" and didn't look at his sheet.. When I did I figured that he was hedging inside the date on the primary position. You stated that the fly lost seven on a closing 20-delta.

First clue.

**** So where is the synthetic put spread? You know, the synthetic without spot? New math! ****

The 2000/2060C; 2030/2060P is the easiest dissection in history. No MMer with more than a day on the job would arrive at anything else than the two combos or the two verts.
 
Mate, I came with an olive branch for the mix-up... but of course you throw it back..

Go ahead high flyer... get sle or mav on here... I dare you to do it....

long CS = synth short PS
 
JackRab said:
Mate, I came with an olive branch for the mix-up... but of course you throw it back..

Go ahead high flyer... get sle or mav on here... I dare you to do it....

long CS = synth short PS
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The dates are meaningless -- other than your assertion that my fly lost seven when it was -20D at its worst.

Yes, the constituents of a box. That's page one of this thread. I recall mentioning it.

So your defense is to ask me to PM a guy I've known a decade longer than you have?

Where is the dangling PS?

How the f*ck did you miss the inside and outside strangles... and infer that is it "basically" a synth?

There is no way on God's green Earth that you spent a single day as a MMer. lol.
 
long CS = short synth PS... that's a fact... no underlyings needed... Same payoff, same greeks...

long 2200/2260 CS = short 2200/2260 PS (fact)

long 2200/2260 CS + long 2230/2260 PS = short 2200/2230 PS, since
short 2200/2260 PS + long2230/2260 PS = short 2200/2230 PS

So there is your dangling PS... you just don't want to see it... and I honestly think you need glasses and a calculator for that....
 
I understand you don't want sle or mav to get involved, because you're afraid they will laugh... which is totally understandable...

But remember, I offered an olive branch. You didn't take it. I thought about sending you a PM, so we can sort this shit out like adults, and then we could have a beer whenever I'd show up somewhere in SoCal or NoCal or wherever the f^$ck you are...

But you just keep responding like an ass... I honestly don't get that behaviour.

I would be the first one to admit when I'm wrong, which I have done in the past on ET. Why can't you I wonder?
 
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