Sold TASR May synthetic...

riskarb · Apr 19, 2004

Quote from candletrader:

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

Sorry Candle, I don't run diagrams on my positions, only tabular-data. This is a synthetic straddle, albeit slightly asymmetric favoring a bear-move, but only marginally.

Long stock/short 2 calls = synthetic short straddle. I was short 2x5, thus lowering the effective strike from 130 to 125(approx.)

Hello_Dollars · Apr 19, 2004

Quote from riskarb:

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.

Those implieds are ridiculous. I'm still toying with a fly, but the spreads remain outrageous. I'll probably revisit it in the last hour.

riskarb · Apr 19, 2004

Quote from Hello_Dollars:

Those implieds are ridiculous. I'm still toying with a fly, but the spreads remain outrageous. I'll probably revisit it in the last hour.

And they're getting worse, best bet is to sell a straddle(small) and fly it off at a large credit tomorrow

Hello_Dollars · Apr 19, 2004

Quote from riskarb:

And they're getting worse, best bet is to sell a straddle(small) and fly it off at a large credit tomorrow

Arb, good idea. Now I have pick strikes. But with this thing, I should probably just throw darts.

riskarb · Apr 19, 2004

Anyway, sold the May 120//125 strangle in TASR at $28.00 average. Sold the 125 straddle this morning, the 120 this afternoon -- equal numbers.

I shut down my analytics, but I believe the vol-line was something approaching 107%. Looking for 90% tomorrow, but a slight increase in stat-vol, with the drop in implieds dominating the action.

Hello_Dollars · Apr 19, 2004

Quote from riskarb:

Anyway, sold the May 120//125 strangle in TASR at $28.00 average. Sold the 125 straddle this morning, the 120 this afternoon -- equal numbers.

I shut down my analytics, but I believe the vol-line was something approaching 107%. Looking for 90% tomorrow, but a slight increase in stat-vol, with the drop in implieds dominating the action.

I chickened out of the short straddle and legged into a few flys this afternoon, ending up with a pretty cheap 70/80/100/110 condor. Max profit about 5:1 between 80 and 100. So short some deltas here. But no biggie if the thing defies our expectations and gaps to $200 tomorrow as it should be fun to watch regardless.

riskarb · Apr 19, 2004

Quote from Hello_Dollars:

But no biggie if the thing defies our expectations and gaps to $200 tomorrow as it should be fun to watch regardless.

F*ck, perish the thought!!!

Hello_Dollars · Apr 19, 2004

Quote from riskarb:

F*ck, perish the thought!!!

Oops, sorry! What I meant to say is no biggie if the stock doesn't budge and the implieds shrink to 70%.

riskarb · Apr 19, 2004

Quote from Hello_Dollars:

Oops, sorry! What I meant to say is no biggie if the stock doesn't budge and the implieds shrink to 70%.

Yes, much better... :mad:

:eek:

Hello_Dollars · Apr 20, 2004

Quote from Hello_Dollars:

I chickened out of the short straddle and legged into a few flys this afternoon, ending up with a pretty cheap 70/80/100/110 condor. Max profit about 5:1 between 80 and 100. So short some deltas here. But no biggie if the thing defies our expectations and gaps to $200 tomorrow as it should be fun to watch regardless.

Okay, looking good. Implieds are coming in as expected, and given the asymetrical nature of my condor, best case is for the stock to settle at 80, next best at 100, and third best somewhere in between. Unfortunately, there's plenty of time to May expiration, so it may make sense to close out or whittle down the position for significantly less than max profit. Not sure yet.