SLV Straddled Here

[spindr0]

Quote from shortie:

because eventually it will stop moving like crazy

That's when you sell straddles. When it'moving like crazy you want to be long.

 

[shortie]

i have built a test position. i watch how it behaves to see if I actually want something different. Short May @38 straddle and Long June $33/43 strangle. Right now I think the strangle is too close and will eat away a lot of profit.

 

[newguy05]

down another $2.3, slv is now sitting on a raising 50ma. Should at least be a short term support, time to get a little bullish.

I wonder if they will take this below the support first to flush out the weak hands.

$10 drop in 4 days, fucking a!

 

[JJacksET4]

On 4/25 with SLV in the 46 range, I did the following trade:

Long Oct 51 Calls

Long Jul 45 Puts
Short Jul 35 Puts

I closed the position probably one day too early on 5/3, but made about 16% or so. Figured silver was going to move one way or the other but I wanted a cheaper purchase then a full long straddle, so I bought OTM calls and near the money put spreads for a shorter (but still enough time) month.

JJacksET4

 

[Strangler]

Quote from EliteThink:

can you please expand? what index, what filters do you use, how long have you done it?

thanks.

- I stick primarily to SPY, EFA, EEM.
- Been doing it for a couple years.
- Usually no more than 5 weeks to expiration.
- No strict filters. Will usually look to adjust when I get short/long around 50 deltas.

 

[EliteThink]

Quote from Strangler:

- I stick primarily to SPY, EFA, EEM.
- Been doing it for a couple years.
- Usually no more than 5 weeks to expiration.
- No strict filters. Will usually look to adjust when I get short/long around 50 deltas.

thanks.

I've performed a decent amount of research on this. The 4-5 week short straddle for the spx/spy typically represents about 1 sigma and will make money historically. Some of those months represent a reversal into the profit zone though. Still evaluating it largely.

 

[Strangler]

Quote from EliteThink:

thanks.

I've performed a decent amount of research on this. The 4-5 week short straddle for the spx/spy typically represents about 1 sigma and will make money historically. Some of those months represent a reversal into the profit zone though. Still evaluating it largely.

I haven't done much historical analysis so I appreciate the info.

What do you mean by "Some of those months represent a reversal into the profit zone though"?

Anyways always looking to tweak my strategies. If you wanna discuss more you can send me an email to socc2@yahoo.com.

 

[Strangler]

Quote from Strangler:

What do you mean by "Some of those months represent a reversal into the profit zone though"?

I assume you mean the position ran past the breakeven point (ie a loss) then came back into the profit zone later.

The flip side is there are months when I close the position at a profit before the position runs into the loss zone at expiration.

That's one problem with using historical data for the straddles. History assumes the position is held to expiration, though in practice that rarely (never) happens.

 

[shortie]

Quote from shortie:

i have built a test position. i watch how it behaves to see if I actually want something different. Short May @38 straddle and Long June $33/43 strangle. Right now I think the strangle is too close and will eat away a lot of profit.

the position is doing fine despite -10% in SLV today. what this means is that the Wings should have been further (I overprotected myself). a little heat would not be too bad, but the wings will cut into profits later.

 

[spindr0]

Quote from shortie:

the position is doing fine despite -10% in SLV today. what this means is that the Wings should have been further (I overprotected myself). a little heat would not be too bad, but the wings will cut into profits later.

Tho it's not the kind of position that I would have taken in a clearly directional market, if I had this beast I'd be looking at adjusting the profitable wings, particularly if you had any directional bias. If down, consider just the 38c and I'd start looking at the long put if price broke through its strike.

I've been gamma scalping a gold and an oil stock for a bit and this week has been gravy. SLV would have done nicely as well.