Riskarb's combo to fly conversion journal

Quote from riskarb:



The risk of carrying a large overnight gamma positions requires owning some portfolio protection through some short index futures, bear risk-reversals or long VBI vol-futures -- or some active delta hedging.
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That was my major concern when I was testing samples some time ago, as some stocks may open violently sometimes.
Thus my assumption was, that proper overnight protection is the key.

I believe that great number of opportunities in options is hidden in dynamic conversions, which cannot be computed yet, therefore is not available to everyone.
 
Phil and Riskarb,

I have learned a lot from your real trades and the analysis. I really appreciate your contributions. I want to know how to find the trades with High IV. Are there any free scanning tools to search the stocks which have high IV.

Options express
volatility
Tradeking.
Optionetics has explosive options - I do not think it is real time.


Riskarb said that Bloomberg can be used. Is it a paid subscription.
 
Well all I can tell you is that I use chartbender.com. They have a daily IV scan report which is e-mailed to me every day for $9.99 a month. It lists high and low IV options, high and low IV straddles (which is where I scan) and calendar spread candidates.

So Just scan the list of high IV straddles and then look at the charts and chains to see which ones I like. If you are interested they have free trials, or you can e-mail them and tell em Coach Phil send you. I am friendly with the guys who started it up and they are pretty cool.

If you work for a firm or have the cash you can use Bloomberg but I doubt the average retailer uses Bloomy :) like Risk does.
 
Wow $9.99 /month for this tool? That sounds great coach. I pay $39.99/mo from ivolatility.com and that's for just the calendar spread filter(it still doesn't give me a great selection after i filter them either)i will cancel once i find something better. I just bot a trial to optionvue 5, I heard they are fantastic but it's like a grand for the software. All i need is IV and HV(SV) levels and skewing over 1 or 2 yrs for calendars and double diag.

I'll look into that and tell them you referred me, thanks coach!
 
I'm not Phil or Riskarb so make of this what you will:

The Spread Scanner from IVolatility.com is $29.95/month and lets you scan for various 2 legged strategies based on EOD data. The USP is the inclusion of their proprietary IV index methodology. Whether you think paying a premium to have access to this data is worth it is another matter. Suffice it to say, it is suitable for scanning short straddle candidates which can be used for this strategy.

I outlined my filter parameters for this tool a couple of pages ago and will probably update some candidates today.

The Real-Time Strategy Scanner is pretty slick but is probably overkill for using with this strategy and doesn't allow quite enough granularity when specifying IV parameters.

The Real-Time Option Scanner is also very slick and features a ridiculous array of parameters to set and choose for scanning individual options i.e. it is not a strategy oriented tool. Not neccessarily applicable for this combo to conversion strategy.

You can get all three of the above and more in a package for something like $79.95/month OR you can purchase individually. For me, $79.95/month is peanuts considering what you get. I have no concerns as yet over the quality of the data.

As for Tradeking, well they appear to be using white label versions of the Real-Time Option Scanner and Real-Time Strategy Scanner from IVolatility.com. So, if there are no sign-up fees, platform fees, minimum account levels, inactivity fees etc. if you sign up with Tradeking, you will get the two real time tools from IVolatility.com for free!

If you are with thinkorswim, they are due to update/improve their IV data offerings in the near future. To paraphrase one of the senior analysts at ToS, "In a few months you won't need Optionvue"

Enjoy!

MoMoney

Quote from mantenar:

Phil and Riskarb,

I have learned a lot from your real trades and the analysis. I really appreciate your contributions. I want to know how to find the trades with High IV. Are there any free scanning tools to search the stocks which have high IV.

Options express
volatility
Tradeking.
Optionetics has explosive options - I do not think it is real time.


Riskarb said that Bloomberg can be used. Is it a paid subscription.
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Those MRVL IVs have come down pretty hard. From 67 down to 56 in a week and earnings still a week away...

Risk, have you converted yet or just taking profits on the straddle?
 
Quote from optioncoach:

Those MRVL IVs have come down pretty hard. From 67 down to 56 in a week and earnings still a week away...

Risk, have you converted yet or just taking profits on the straddle?
More...

I traded the 55/75 wings ths morning -- $1.50 debit for the 55/65/75 on half of my position; the remaining half was offset at $8.40 on the 65 straddle -- initial sale was $10.50. Net-net, I own the fly for a credit when accounting for the offset on the straddle.
 
So you closed half for a profit and converted the other half to the wide FLY?

I have been thinking along the lines of a wider strike because it does not make sense for me to double up on a 60/65/70 FLY unless I really feel that the stock will stay in that tight range. Thus I am also looking into something wider or perhaps allowing for profit if the stock moves outside the 60/65/70 range.

I am looking at the ITM 60/70 strangle but the price is just above the price I need so I might have to wait. To much time to expiration I think to be able to get it.

I could do something similar and close 3 of the naked straddle and leave 3 Iron FLYs and get my net locke din credit that way. Since the stock is right around $65, I am just gonna keep monitoring the wings and body.


Quote from riskarb:

I traded the 55/75 wings ths morning -- $1.50 debit on the 55/65/75 on half of my position; the remaining half was offset at $8.40 on the 65 straddle.
More...
 
Quote from optioncoach:

So you closed half for a profit and converted the other half to the wide FLY?

I could do something similar and close 3 of the naked straddle and leave 3 Iron FLYs and get my net locked in credit that way. Since the stock is right around $65, I am just gonna keep monitoring the wings and body.
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Right, the net position results in a $1.50 risk fly on half and a booked $2.10 gain on the reamining body combos.

I prefer to trade 10-wide whenever possible. I'll normally take the gains on the straddle if i can't make a case for the 10-wide.
 
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