Riskarb's combo to fly conversion journal

Quote from riskarb:

I rolled into the 80 before the close; covering the 85 for a $.20 loss and selling the 80 at 14.50 and 69% vol. I expect vols to print 65 by Monday, but who knows how much will be lost to gamma. ;)
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Bought the 70/90 strangle for $3.90. Natural fly credit of $.60 before comms.
 
IB's option screener ( beta version) shows highest P/C ratio for ticker IYR ( Real Estate iShares) . Housing Starts and Building Permits on Eco calendar later this week , hmmm...
 
RIMM's vols are 4%th percentile. I'm expecting an 8-12 vol move into Apr 6 earnings. I'm looking at -80c apr,+85c apr. straddle's too much(even if I knew how to scalp gammas). any thoughts on a more appropriate vol trade?
 
Hey risk, converted my SPX straddles since it looks like we may bounce in the 1280s for the next few days. Copied from my thread:

I converted my short straddles on the SPX into IRON FLYs.

Remember initial position was:

- 5 MAR SPX 1275 Straddles @ $19.50

Credit = $9,750

I could have closed the straddle at around $16 with a good fill for a profit of $3.50 or $1,750.

However I decided to buy the MAR 1280C/1270P Strangle for $11.60. This leaves a net credit of $7.90 with a minimum guaranteed credit of $2.90 or $1,450 with the potential for another $2,500.

I may also sell the 128 straddle since I see us being rangebound for the last 4 days and there is still some decent premium to sell. Not sure if I will do it yet but will do smaller contracts as well.

P.S. thanks for sharing this strategy, I have been doing quite well with the 5 or 6 positions I put on (your cut is in the mail! lol).
 
Quote from volatilitypimp:

RIMM's vols are 4%th percentile. I'm expecting an 8-12 vol move into Apr 6 earnings. I'm looking at -80c apr,+85c apr. straddle's too much(even if I knew how to scalp gammas). any thoughts on a more appropriate vol trade?
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All you have to do is sit back and trade 2sigmas against the stock. The uptick in vols will bail you out. All you need to do is earn the 3weeks decay, maybe $2.00.
 
Quote from optioncoach:

Hey risk, converted my SPX straddles since it looks like we may bounce in the 1280s for the next few days. Copied from my thread:

I converted my short straddles on the SPX into IRON FLYs.

Remember initial position was:

- 5 MAR SPX 1275 Straddles @ $19.50

Credit = $9,750

I could have closed the straddle at around $16 with a good fill for a profit of $3.50 or $1,750.

However I decided to buy the MAR 1280C/1270P Strangle for $11.60. This leaves a net credit of $7.90 with a minimum guaranteed credit of $2.90 or $1,450 with the potential for another $2,500.

I may also sell the 128 straddle since I see us being rangebound for the last 4 days and there is still some decent premium to sell. Not sure if I will do it yet but will do smaller contracts as well.

P.S. thanks for sharing this strategy, I have been doing quite well with the 5 or 6 positions I put on (your cut is in the mail! lol).
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Yeah, a third-party out of state payroll check, cool. :p
 
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