Riskarb's combo to fly conversion journal

IV_Trader · Apr 27, 2006

Quote from 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?

not at all , also looking at Jan 07. Vols are lower , but the same gain in vega (if vols will collapse). I will probably take small position tomorrow morning , to hot now.

frisbeeca · Apr 27, 2006

ISRG at 117 after hours... Riskarb, did you play it? I did, but not with a combo like you would. Did a double diagonal on it. You were right on above 110.

riskarb · Apr 27, 2006

Quote from frisbeeca:

ISRG at 117 after hours... Riskarb, did you play it? I did, but not with a combo like you would. Did a double diagonal on it. You were right on above 110.

No, unfortunately. I had it set-up on my IB vol-trader but it didn't reach my vol-target on the sale. That wasn't a stock I wanted to chase. The iron time fly [DD] should do ok.

riskarb · Apr 27, 2006

I sold the June Gold 630/640 strangle synthetically for 33.00 at 23% vol. I'll hedge lightly on a break of 623/653 and hope to offset or condor the position at 20% vol next week.

riskarb · Apr 28, 2006

Cyclical sectors look ominous for tomorrow. Expecting 800 lower on SPX in addition to the 200 lower seen on ES tonight. Housing and steels took large hits. The only sector that looks decent is biotech and some pharmas.

mantenar · Apr 28, 2006

I sold 105 ISRG straddle for 17.00 I am planning to convery to B-fly by buying straddle 120/90 for 7.00. The total cost for this B-fly is 10.00 ( credit) . The Max Loss for b-fly is 5.00 if the stock trades out of the range 120 and 90.

I will wait till monday. If the stock drops to around 105, then I want to take the profit by buying back the straddle 105.

IV_Trader · Apr 28, 2006

Quote from mantenar:

I sold 105 ISRG straddle for 17.00 I am planning to convery to B-fly by buying straddle 120/90 for 7.00. The total cost for this B-fly is 10.00 ( credit) . The Max Loss for b-fly is 5.00 if the stock trades out of the range 120 and 90.

I will wait till monday. If the stock drops to around 105, then I want to take the profit by buying back the straddle 105.

I am not sure if Risk meant to enter short combo with possible future conversion on the reporting stocks ( and such a movers as ISRG) in this journal. I don't see how the the buying 90-120 hedge will help you from here. The "right" move would of be to buy the stock around 118 in the pre market (small portion vs. amount of sold calls ) or to close the position for 1-2 loss. IMO

riskarb · Apr 28, 2006

Yes, I would close the ISRG position. Side note: The May110 did is trading -1.00 from yesterday's close.

IV_Trader · Apr 28, 2006

Quote from IV_Trader:

I am not sure if Risk meant to enter short combo with possible future conversion on the reporting stocks ( and such a movers as ISRG) in this journal. I don't see how the the buying 90-120 hedge will help you from here. The "right" move would of be to buy the stock around 118 in the pre market (small portion vs. amount of sold calls ) or to close the position for 1-2 loss. IMO

on the other hand , don't belive anything you read if message number is "666" , lol

IV_Trader · Apr 28, 2006

Quote from IV_Trader:

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

the JAN 07 vols are down 700bp from top of 36 ; I closed almost all short strangles from yesterday and this morning.