Riskarb's combo to fly conversion journal

[riskarb]

Quote from DonnaV:

riskarb did you play CME earnings? I threw on a Bear call CS last nite 500/510 for a 4.05 credit....now I'm thinking of doing a put CS ...but then thought what about covert to B-fly by buying 490/500....I'd love your thoughts on doing the IC vs the B-fly...

Yeah, Donna. I sold the Sep 380 combo at an average of 82 last week, forgot the vols, but they were in the high 30s.

You'd need to sell the iron fly with a 500 body strike to convert. I wouldn't want to be neutral at 500. Selling the 60/70 put spread will only net you a $4.00 credit here for the IC.

With this drop in vols, both the IC and fly look like a pass with what you're holding. I would probably take you delta/vega gains on the bear call spread and call it a day with CME.

 

[volatilitypimp]

i am doing another ic on CME this month. I scooped up a may 440/430 put spread for 1.30 this morning. I think i'm gonna wait for it to gap fill before i sell the calls. if it stagnates in this area, i'll sell calls early next week.

Even after last months CME debacle I still made $2.10 on the thing. I closed last friday right before the close, when it printed 500.11 at the close(where my short call was 500).

I'm looking at 520/530 right now it's a buck. roughly a 26% gain currently for 25 days work(full ic). hmmm....

 

[RichardRimes]

thanks...vols are sub 30 now for what I'm looking at..I think your right!

 

[knocks420]

Quote from knocks420:

Thanks guys. I sold the following as well:

NTRI 50 straddle @ 7.70
IV = 70%
Earnings came out AH, stock gapped +$13-$14

This will probably be a good example for worse case scenario for this strategy. Huge gap before protective wings are placed. It will be interesting to see what happens tomorrow but unfortunately I will be in NYC for an interview. Open to suggestions for adjustments, the most prudent thing seems to be to close for a loss.

btw, these are paper trades only.

Update to the NTRI position:

NTRI gapped $17!!!

NTRI 50 straddle @ 18.55
Loss of -$10.85

it would seem prudent to stay away from 'hot' or volatile sectors such as oil, some tech, pharmas, apparently weight loss! companies, etc. and also check for past earnings surprises as a filter. Any thoughts?

 

[frisbeeca]

On RMBS, I papertraded this Riskarb,
Short 10 Jan35 Calls, Short 10 Jan45 Calls,
Short 20 Jan35 Puts, Short 10 Jan45 Puts
And it's up $9800 now. How do you convert this into a fly and lock in yoor credit?

 

[riskarb]

Quote from frisbeeca:

On RMBS, I papertraded this Riskarb,
Short 10 Jan35 Calls, Short 10 Jan45 Calls,
Short 20 Jan35 Puts, Short 10 Jan45 Puts
And it's up $9800 now. How do you convert this into a fly and lock in yoor credit?

I would offset both the PF and the straddle into those gains, but to answer your question:

1) Fly everything -- sell 10 x 35c, buy 20 x 40c, buy 20 x 30p = 20-lot short 30-35-40 iron fly[long natural fly]. Buy 10 of the 40p/50c wings to convert the 10 x 45 straddles into a 10-lot 40-45-50 short iron fly.

2) Take profits on either the PF or the straddle -- fly the remainder depending on your bull[40-45-50] or bear[30-35-40] bias.

3) Take profits and liquidate entire position -- there isn't much juice left since the ruling, vols got crushed -- would be my choice, hands-down.

 

[caddyshack2006]

Quote from riskarb:

I would offset both the PF and the straddle into those gains, but to answer your question:

1) Fly everything -- sell 10 x 35c, buy 20 x 40c, buy 20 x 30p = 20-lot short 30-35-40 iron fly[long natural fly]. Buy 10 of the 40p/50c wings to convert the 10 x 45 straddles into a 10-lot 40-45-50 short iron fly.

2) Take profits on either the PF or the straddle -- fly the remainder depending on your bull[40-45-50] or bear[30-35-40] bias.

3) Take profits and liquidate entire position -- there isn't much juice left since the ruling, vols got crushed -- would be my choice, hands-down.

yo mofo, der ba a book i can read to undastan yo rap,
shiiiiiit mother-f@#er

 

[riskarb]

Quote from caddyshack2006:

yo mofo, der ba a book i can read to undastan yo rap, shiiiiiit mother f@#$er

50-cent's, " Get rich with options or die tryin' "

 

[IV_Trader]

Anyone thinking of shorting AET vols at those levels ?
35-40 strangle looks good .

 

[frisbeeca]

The current vol's of 49 are very high. The low vol seems to be 23. The breakeven would be between 33.3 and 41.7. Would you only consider doing the May strangle?