please do point me to the post where I made this statement... (which I didn't)...
Protecting a DITM call spread
- Thread starter xandman
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please do point me to the post where I made this statement... (which I didn't)...
Jack, my apologies!
I ran the combos but obv it does reduce further. I saw both a put and call vert but inverted one of the signs, and at one point mixed the 30/60 natural with a synthetic.
Moral... look for (same sign) put and call vert pairs to reduce to a single synthetic vertical (exposure). And Dest is an a$$hole.
Mea Culpa.
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Here. You were quoting the EOM fly when I was quoting the Feb1. It settled at 35.15 (implied by the iron fly credit of 24.85 mid).
So 41.6 less the 35 settle. You implied it dropped 6-7 on "gamma" assuming today's settle at 35.15.
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@destriero apologies accepted... let's move on... and aim for a beer within the next 4 years.
Sounds good.
I'll buy.
Just curious about " long 2200/2260 CS = short 2200/2260 PS (fact) ", when two spreads are traded separately :
Do they have same margin requirement? Probably not!
Do they have same pin risk profile? Probably not!
...
Hey, we're starting again...
I don't know about the margin, probably you are right that they are different. But I was talking about risk profiles.
Pin risk isn't of the highest concern... and that's manageable, though not perfectly. But if there's a 50/50 chance you will be assigned, you hedge accordingly on close. And therefore IMO short ATM put is the same as short ATM call in terms of pin riks.
I don't know about the margin, probably you are right that they are different. But I was talking about risk profiles.
Pin risk isn't of the highest concern... and that's manageable, though not perfectly. But if there's a 50/50 chance you will be assigned, you hedge accordingly on close. And therefore IMO short ATM put is the same as short ATM call in terms of pin riks.