The AMEX FRO (Fixed Return Options) Thread

Quote from IV_Trader:

the sum of the call and put across the same strike should always be equal 1 on the fairval , right ?
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Yes, I assume you mean on duration.
 
Quote from tropicaltrader:

After looking at these, I see a debit spread FRO is equivalent to a short IC and a credit spread FRO is long IC. So they're just the opposite of vanillas in terms of selling/buying premium.

These don't seem like gambling any more than existing strategies.
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Let's talk in terms of the natural condor. It's confusing to some as a short IC is short gamma as is the long natural condor. They're not arbitrage equivalent to the vanilla condor. An XYZ FRO 100/100 spread is not equivalent to the vanilla 100 body or 100/105/110 condor. It's most similar to the vanilla vertical, but the payoffs will not be equivalent.

The Euro-convention barrier range exotic is the practical equivalent to a vanilla condor, but again, the payoffs differ. A 70/100 "short" barrier range will payout 100 at a pip under either barrier [at expiration], while the condor would likely show a loss. The vanilla position is analog in payout.

Has anyone traded these? I could use some help with symbology. I'd like to quote some this week.
 
Quote from IV_Trader:

House wins big on ATM…expect spike in pinning (literally this time) / Max Pain theory related posts on ET

:p
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Yes. I am certain the 10 contracts traded are a force to be reckoned with.
 
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