Are we talking either the 90 or 95 straddle here. I don't get quotes anything like that...
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Riskarb's combo to fly conversion journal
- Thread starter riskarb
- Start date
Are we talking either the 90 or 95 straddle here. I don't get quotes anything like that...
Quote from riskarb:
I like the ISRG par straddle at 55vol and a $17 credit for April. Quite a bit of long delta, however you're getting paid 200-250 over the neutral combo to carry those long deltas. $9 in extrinsic value.
B , it's a very good trade , I did the same on ISRG few times , as long as you not shorting report vols ( and you are not). Watch the APR vols go to 40th as soon as they post the report day . This will happens sometimes in the mid-end of March. The only problem is a high SI , sometimes stocks just goes up with no reasons.
IV trader,
I am researching about Reverse calendars. Here is my analysis on ELN
Mar 12.5 IV 172 bid/ask 1.60/1.65
Apr 12.5 IV 115 bid/ask 2.05/2.15
Net credit 0.50
IV about one month back is 88.00
My assumption is that
IV for Mar 12.5 drops to 125 ( -50)
IV for Apr 12.5 drops to 90 ( -25)
IV skew = 25
If stock trades above 15.00 or below 11.00, then there may be some profit.
If IV for the front month drops more than back month (IV skew more than 30%) and if stock does not move much, it may not be good one.
I am researching about Reverse calendars. Here is my analysis on ELN
Mar 12.5 IV 172 bid/ask 1.60/1.65
Apr 12.5 IV 115 bid/ask 2.05/2.15
Net credit 0.50
IV about one month back is 88.00
My assumption is that
IV for Mar 12.5 drops to 125 ( -50)
IV for Apr 12.5 drops to 90 ( -25)
IV skew = 25
If stock trades above 15.00 or below 11.00, then there may be some profit.
If IV for the front month drops more than back month (IV skew more than 30%) and if stock does not move much, it may not be good one.
...posted Jan 29(the above from IV)Quote from IV_Trader:
Donna , if history is any indicator... here is the price and vols action for CME (after report) :
APR 05 , +6.4 , 32
JUL 05 , +2 , 33
OCT 05 , +1, 38
This weekend racked my brain to find a way to play CME...thought of a calendar but didn't like it....double diagonal... but the front month IV's are lower than back month so probably not a good candidate. While I do like the stock I think its rich so have no great directional bias right now.
The IV's at 430 straddle are abt 30 (Looking at April)....soooo...I'm thinking the probability of them going up in the next month or even in the next two weeks is there. Doing a reverse...BUYING the combo now then selling the wings after vol rises/and or playing the directional move over the next few days...is this a rational play?tia
Quote from DonnaV:
...posted Jan 29(the above from IV)
This weekend racked my brain to find a way to play CME...thought of a calendar but didn't like it....double diagonal... but the front month IV's are lower than back month so probably not a good candidate. While I do like the stock I think its rich so have no great directional bias right now.
The IV's at 430 straddle are abt 30 (Looking at April)....soooo...I'm thinking the probability of them going up in the next month or even in the next two weeks is there. Doing a reverse...BUYING the combo now then selling the wings after vol rises/and or playing the directional move over the next few days...is this a rational play?tia
That,s impossible , the reporting month (MAY) is not exists yet , first day MAY option's will trade will be 3/20.