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Riskarb's combo to fly conversion journal
- Thread starter riskarb
- Start date
Quote from riskarb:
Buying one side? Are you referring to put vs. call or body vs. wings? I am selling the body combo into the weekend and buying the wing combo at a future date not to exceed 10 calendar days. When/if the conversion takes place is dependent on some variables; decay, decay marking-down vols, strip vol increase/decrease, smile vol +/-, delta accumulation, etc.
There are no predictions involved; it's a shotgun approach to see how well/poorly a generic strategy will perform. I won't be trading these large, and I certainly wouldn't expect anyone else to do so.
So Risk, in the Ceph example your position would end up as:
Short 2 Feb 75 call
Short 2 Feb 75 puts
Long 2 Feb 80 calls
Long 2 Feb 70 puts
Quote from IV_Trader:
I was planning to go long straddle on this one next week , lol , I better think twice now
My best value add is likely as a contrarian indicator, so you'll probably be wildly successful going long. I am short the 370/380 combo from 34.00 due to some vol-gains. I expect to see 2800vols on the report. I don't see the earnings-suprise risk associated with a GOOG.
Quote from riskarb:
My best value add is likely as a contrarian indicator, so you're probably be wildly successful going long. I am short the 370/380 combo from 34.00 due to some vol-gains. I expect to see 2800vols on the report. I don't see the earnings-suprise risk associated with a GOOG.
right , no earnings surprise here , but they still will pump it to 45 vols (and high 20th on the morning after).
Anyway , I don't want to be on the other side of your trade
Quote from riskarb:
My best value add is likely as a contrarian indicator, so you're probably be wildly successful going long. I am short the 370/380 combo from 34.00 due to some vol-gains. I expect to see 2800vols on the report. I don't see the earnings-suprise risk associated with a GOOG.
Mr. clueless here, does this mean you covered the 380 put and sold the 370 put?
Riskarb,
Enjoy reading your posts. Thanks for the contributions.
Not to split hairs, though, but your initial short position is the straddle and not the combo, right?
just to clarify: Your initial position in the CEPH example is short 1 75 call and 1 75 put. You would be at risk on the straddle for a max of ten days. Then to complete the iron fly you would buy 1 80 call and 1 70 put hoping that your net position would be an iron fly for less than fair.
Am I getting you correctly?
Enjoy reading your posts. Thanks for the contributions.
Not to split hairs, though, but your initial short position is the straddle and not the combo, right?
just to clarify: Your initial position in the CEPH example is short 1 75 call and 1 75 put. You would be at risk on the straddle for a max of ten days. Then to complete the iron fly you would buy 1 80 call and 1 70 put hoping that your net position would be an iron fly for less than fair.
Am I getting you correctly?