My apologies. That wasn't my intention (spamming that is). You have a good journal here.
Riskarb's combo to fly conversion journal
- Thread starter riskarb
- Start date
My apologies. That wasn't my intention (spamming that is). You have a good journal here.
How does one post take this whole thing off topic? The ISRG trade was a combo to fly conversion.
Risk-
You may have addressed this earlier in the thread, but does it matter to you about earnings reports/announcements? I know that that is when you are going to have the off the charts IV, but it just seems a bit like russian roulette holding naked straddles through earnings.
The initial impression that I had was that you were just going to sell straddles thurs or fri and fly or offset within a week for stocks with IV over 40 and price over 60, hopefully capturing some theta and a drop in vols. Would there be enough picks from your scans if you didn't want to hold through earnings/fda/legal announcements? If so, they would likely be leading up to an event (say 2 weeks away) and are these likely to just continue to gain iv, thus defeating the goal?
Just wondering if it is possible to reduce some risk without killing gains. I guess that's the purpose of diversification, but it hurts to even watch some of these trades.
You may have addressed this earlier in the thread, but does it matter to you about earnings reports/announcements? I know that that is when you are going to have the off the charts IV, but it just seems a bit like russian roulette holding naked straddles through earnings.
The initial impression that I had was that you were just going to sell straddles thurs or fri and fly or offset within a week for stocks with IV over 40 and price over 60, hopefully capturing some theta and a drop in vols. Would there be enough picks from your scans if you didn't want to hold through earnings/fda/legal announcements? If so, they would likely be leading up to an event (say 2 weeks away) and are these likely to just continue to gain iv, thus defeating the goal?
Just wondering if it is possible to reduce some risk without killing gains. I guess that's the purpose of diversification, but it hurts to even watch some of these trades.
Quote from optioncoach:
How does one post take this whole thing off topic? The ISRG trade was a combo to fly conversion.
ISRG is in the mid 125's. You're making some dough OC.
IV, I was referring to iloveoptions. I don't like ppl shitting on my lawn. It's no big deal, you guys are contributing excellent info. Good luck.
Arb -- I try to stay away from the insane betas; one of the factors which kept me out of ISRG. These have to played small, and preferably outside of quarterly releases.
Also the reason I only did 3 of these 
Got it. As much as you wanted to make this as simple as possible, there's always discretion.
Any possibility of buying straddles into earnings on low IV/stat vol to combine with these, or just a bleed to death proposition? I mostly trade index options, so haven't spent much time looking at these. The prems on the indicies are getting so cheap that I am starting to find myself being long prem. Could be the kiss of death :eek: , but it sure makes sleeping easy.
With respect to low IVs, I have been pondering doing the opposite.
Buying strangles further out in time and as IV expands look to sell the strangle banking on IV contraction overcoming theta.
The idea would to be have short-term plays on selling the straddles at higher IVs and longer-term plays on buying the strangles on low IVs.
Have not tested this or done it, just thinking out loud. I am also an index trader so taking this in small steps.
Buying strangles further out in time and as IV expands look to sell the strangle banking on IV contraction overcoming theta.
The idea would to be have short-term plays on selling the straddles at higher IVs and longer-term plays on buying the strangles on low IVs.
Have not tested this or done it, just thinking out loud. I am also an index trader so taking this in small steps.
Quote from Arb Under Par:
Got it. As much as you wanted to make this as simple as possible, there's always discrection.
Any possibility of buying straddles into earnings on low IV/stat vol to combine with these, or just a bleed to death proposition? I mostly trade index options, so haven't spent much time looking at these. The prems on the indicies are getting so cheap that I am starting to find myself being long prem. Could be the kiss of death :eek: , but it sure makes sleeping easy.
FWIW, I tried a similar approach to this with poor results in the past. The main motivation was to avoid being naked.
I just found that I was fighting theta and delta too much most of the time. Waiting for the IV pop was painful and was accompanied with delta consequences. However, if you tie this strategy in with the IV peaks and troughs of earnings as I believe you intend to do then you may fare much better.
One possible benefit with going long the strangle is that you have the choice of subsequently either shorting an inner strangle or outer strangle i.e. convert to long or short condor as the conditions dictated.
Anyway, there are naturally a lot of factors that can differentiate my approach with someone elses and I'm sure you'll come up with a novel solution to make this work.
Good luck.
I just found that I was fighting theta and delta too much most of the time. Waiting for the IV pop was painful and was accompanied with delta consequences. However, if you tie this strategy in with the IV peaks and troughs of earnings as I believe you intend to do then you may fare much better.
One possible benefit with going long the strangle is that you have the choice of subsequently either shorting an inner strangle or outer strangle i.e. convert to long or short condor as the conditions dictated.
Anyway, there are naturally a lot of factors that can differentiate my approach with someone elses and I'm sure you'll come up with a novel solution to make this work.
Good luck.