Riskarb's combo to fly conversion journal

As a reminder, here is a brief overview of the screening parameters I am using:

Implied Volatility/Historical Volatility ratio > 1.15
IV index compared to past year > 0.8 i.e. in 80th percentile or above.
Stock Price > 60
Open Interest > 500

So fairly straight forward. Using stock price > $60 to be consistent with Riskarb. May lower to $40/$50 as I like to live dangerously LOL. I expect the screen to be refined after a few iterations. Any suggestions or astute observations welcome.

Attached is the current list with details of each leg etc. (right click -> save target as...rename to .csv and open in Excel/Open Office)

Remember, this is based on EOD data.

Haven't gone through to weed out obviously poor canidates yet and may be left with none after that process. Others can make their own decisions based on the list.

Will hopefully update before close today as now is a good time to start putting on March candidates for me (<30 days to expiration and Thursday before weekend)

MoMoney.
 

Attachments

Doh! Should have listed tickers for those that weren't interested in the extra data in the download.

Slim pickings here today:

PTR - Petrochina Co - Lot of news recently for this. Earnings due 16-Mar-06-26-Mar-06. So timing off for a March straddle IMO.

GRMN - Garmin - In possible correction after being overbought. Didn't spot any news to drive the move. Strike selection looks tricky but does appear to be in a large rangebound sideways move, so possible candidate for a fly. Earnings 22-Feb-06. IV well above HV currently. Decent open interest.

RTP - Rio Tinto - Not remotely liquid enough. Though possible conversion opportunity here?

SCP - SIG Coal Producers Index - Not interested.

EPX - SIG OIL Explore & Productions - Not interested.

RIMM - Research in Motion - Earnings due 06-Apr-06 - so possible candidate for next month. Not this month. May have another look later.

LTR - Loews Corp - Earnings this morning. Missed the boat. No go.

In summary, GRMN most promising of the bunch IMO.

Good luck!

MoMoney.

Quote from momoneythansens:

...Haven't gone through to weed out obviously poor canidates yet and may be left with none after that process. Others can make their own decisions based on the list.

Will hopefully update before close today as now is a good time to start putting on March candidates for me (<30 days to expiration and Thursday before weekend)..
More...
 
riskarb , today for a first time I saw such a drastic dump in vols going into three days weekend, on many , many stocks (while XIX is somehow up 4.5%). Did someone else noticed it too ?
 
Quote from IV_Trader:

riskarb , today for a first time I saw such a drastic dump in vols going into three days weekend, on many , many stocks (while XIX is somehow up 4.5%). Did someone else noticed it too ?
More...

It's a typical occurrence into a long weekend. They mark down vols to reflect the Monday closure.
 
Quote from IV_Trader:

riskarb , today for a first time I saw such a drastic dump in vols going into three days weekend, on many , many stocks (while XIX is somehow up 4.5%). Did someone else noticed it too ?
More...

lucky I got out of some goog 400c with a small loss soon after open, when vols are usually pretty high; common waz down a buck at my exit and yet when went up $4 those calls where lower than @my exit.
:eek;
 
Hey Riskarb....sorry if this is redundent but have you posted an update on the combo's you put on prior to Feb expiration? I know how CME turned out since I've followed it ....but if possible could you summarize whether or not the strategy worked out for Feb? (in general?) tia donna
 
They were positive for the month, but I don't have the breakdown in front of me. Some were offset on Thursday and Friday, while CME and PD were assigned. CME alone made up for all the debits on the losing flies.

I will be starting a vega-trading journal next week. Trading in back-month short gamma in equity and equity index. Possibly some replication trades as well, but all will be predominately vega-plays/gamma.
 
Quote from riskarb:

They were positive for the month, but I don't have the breakdown in front of me. Some were offset on Thursday and Friday, while CME and PD were assigned. CME alone made up for all the debits on the losing flies.

I will be starting a vega-trading journal next week. Trading in back-month short gamma in equity and equity index. Possibly some replication trades as well, but all will be predominately vega-plays/gamma.
More...

thx:)
 
Quote from IV_Trader:

riskarb , huge vols smile [puts] on NTES , reporting AC.
What trade would you suggest here ?
Tnx
More...

The 20d puts are trading 1250 basis / 20d calls. I would sell the put backspread and match gamma -- post report gammas will be flat-position at 74, post earnings on the following:

Long the 75p x short*3 65p

If trading a stock combo:

Short 100 shares x short 4[or 5] 65p, 4 if slightly bearish, 5 for a neutral position here at $74 on shares.
 
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