riskarb's trading journal

riskarb · May 18, 2006

Quote from riskarb:

Vanilla trade:

Short 50 GOOG June 390 combos at 38% and $34.50

Sorry, typo on the combo -- short the 390 from 34.50... up 1.50 on deltas and decay. Not really worth mentioning. The OT stuff was more fun. =)

El OchoCinco · May 18, 2006

That is the GOOG trade I was referring to

GOOG was at $370 or so when I saw the post I think.

Cache Landing · May 18, 2006

Risk,

Any opinion on the PAAS IV spike. Candidate for a combo to fly conversion?

CPTrader · May 18, 2006

Quote from riskarb:

Vanilla position:

Sold 16 SGXNK 15750p synthetic pitchforks at 999 and 23% vols:

Sold 16 June future 16050
Sold 50 June 15750p x 233

Delta: ~
Gamma: -7.5
Theta: +225
Vega: -650

Riskarb,

First thanks for the GREAT SERVICE you provide on this forum. We are all GRATEFUL!

With reference to this SGXNK trade. How's the liquidity in those options. When I checked into this last mnth, it seemed there was little to no volume in NK options. Or was I mistaken.

Thanks again!

riskarb · May 18, 2006

Quote from CPTrader:

Riskarb,

First thanks for the GREAT SERVICE you provide on this forum. We are all GRATEFUL!

With reference to this SGXNK trade. How's the liquidity in those options. When I checked into this last mnth, it seemed there was little to no volume in NK options. Or was I mistaken.

Thanks again!

The volume is very thin, but the market is typically 9-10 ticks wide on the atm [$40-$45]. Best gearing of any index option at roughly 40:1. I like to sell gammas in SGXNK when vols hit >23% as they did last night.

Cache: I'll take a look at PAAS. [Easter eggs?] =)

riskarb · May 18, 2006

Quote from optioncoach:

That is the GOOG trade I was referring to GOOG was at $370 or so when I saw the post I think.

Yeah, we were trading 374[?] when I sold it. Didn't seem to make much sense to sell the 380 for flat deltas. I am somewhat bullish on GOOG here. That will change when the position inverts deltas. ha.

segv · May 18, 2006

What do you think about shorting ONXX vols around here? It is at 260% of SV and near historical IV highs. The pump seems attributed to the forthcoming American Society of Clinical Oncology meeting June 2 - 6. IV is not likely to dump until after the conference. Relatively safe +theta until then?

-segv

riskarb · May 18, 2006

Quote from segv:

What do you think about shorting ONXX vols around here? It is at 260% of SV and near historical IV highs. The pump seems attributed to the forthcoming American Society of Clinical Oncology meeting June 2 - 6. IV is not likely to dump until after the conference. Relatively safe +theta until then?

-segv

Hey Seg -- These scenario usually play-out with a ramp in vols into the conference. It's not so much a rise in stat-vol giving way to a rise in implieds, as it is a willingness to keep a floor under the $prem. If they options stay bid the vol must rise.

FV on the calendar is $1.3750 here -- not enough juice to sell the May/Jun 20 spread.

FV on the $22.50 straddle is $4.0725 for June. Again, not something I'd be unwilling to commit to into an onco-conference.

IV_Trader · May 18, 2006

Risk , about conversions...looks like the best time to close (win or lose) position is around 2 weeks before exp when OTM (long) gamma starts collapsing very fast. Is this fact should be consider ?

riskarb · May 18, 2006

PAAS -- I would test the water with a small quantity of the Jun 20 combo. It's trading $2.90 at 63% vols. I rarely sell gamma on stocks <$50/share.