Sold TASR May synthetic...

riskarb · Apr 16, 2004

straddle. Bought shares from 112.50-113.00 and sold the 130 calls for May at 7.00.

Traded a 1x3 ratio, stock to calls.

Hello_Dollars · Apr 16, 2004

Quote from riskarb:

straddle. Bought shares from 112.50-113.00 and sold the 130 calls for May at 7.00.

Traded a 1x3 ratio, stock to calls.

Short deltas on that piggie, Arb?

riskarb · Apr 16, 2004

Quote from Hello_Dollars:

Short deltas on that piggie, Arb?

Not a ton -- the ratio is 2x5 now, don't want to push it

Hello_Dollars · Apr 16, 2004

Quote from riskarb:

Not a ton -- the ratio is 2x5 now, don't want to push it

Yea, its another wild one. I might look to do a cheapie fly on it a la RIMM. That way I can sleep at night.

(BTW, it seems I left a buck on the table closing RIMM out early today. Damn beautiful spring day!)

riskarb · Apr 16, 2004

Quote from Hello_Dollars:

Yea, its another wild one. I might look to do a cheapie fly on it a la RIMM. That way I can sleep at night.

(BTW, it seems I left a buck on the table closing RIMM out early today. Damn beautiful spring day!)

You'll lose a dollar in edge, or close to it. The options are 30-wide in TASR.

Hello_Dollars · Apr 16, 2004

Quote from riskarb:

You'll lose a dollar in edge, or close to it. The options are 30-wide in TASR.

That's criminal.

candletrader · Apr 16, 2004

riskarb,

How often do these kind of short straddles explode on you?

Candle

riskarb · Apr 16, 2004

Quote from candletrader:

riskarb,

How often do these kind of short straddles explode on you?

Candle

more often than I like, but this is fairly low-risk... LOL

If the ratio were 1x2 it would be fungible to the 130c/p straddle. Increasing the ratio to 2x5 lowers the effective strike to 125 and a synthetic straddle credit of $32.50 or so...

candletrader · Apr 17, 2004

Quote from riskarb:

more often than I like, but this is fairly low-risk... LOL

If the ratio were 1x2 it would be fungible to the 130c/p straddle. Increasing the ratio to 2x5 lowers the effective strike to 125 and a synthetic straddle credit of $32.50 or so...

To help me visualize this, could you please post an expiry payoff diagram... thanks...

riskarb · Apr 19, 2004

I am out of the synthetic at a net $1.00 gain. I sold the May 125 straddle at an average $31.80 this morning.

I will look to offset this at $25.00 this week. Should see 3000basis come out of the implieds, but will gamma compensate? Dunno, but should be interesting tomorrow.