The Perfect Option position

[tikipoki]

Quote from jansen_ja:

for example:
dec03 ATM 10 options short.
jan04 otm short 12 times (both sides 12 times, below and above,is that a strangle?)
and mar04 ATM short 7 times to get vega neutral.
Adjusting delta with stock.
Maybe a bit different, depending on volatiliy.
This above will work with stock at 30, 30 atm 25/35otm. volatility 50.

That will do, but i dont believe in this kind of strategies.
Or is it a bit more complex and genious this stratege we are looking for?

Err how do you benefit from a huge breakout? I'd say that when stock rams from 30 to 50, it has also rammed apart your ass (literally: your wallet.)

Or did you mistype somewhere and are you supposed to go long on one of the 3?

Tiki

 

[jansen_ja]

sorry...
the januari strangle of course long...
little type mistake....
very sharp...

 

[jansen_ja]

this was a win-win trade:
Cvtx
Nov 22.5 call +3 2.30
Nov 27.5 call +7 0.50
Nov 20 put +7 0.80
Dec 22.5 call –25 4.80
Jan05 30 call +20 5.00
+200 a 23.18
this trade was done some 2 weeks ago, when volatility jumped into december, due to news to be expected in december, but not so much yet in later months, and neither in the november month.
Very exciting.

it is the same idea, but the fun is here, that the dec was trading at volatility 140, the nov at 80 and the jan05 at 60.

now the stock is at 17, time to buy 400 deltas to close in profit traded, there was virtually no risk with this trade.
But this is an opportunistic trade, on circumstances, it wont be possible to set up this kind of stuff everyday.

 

[Maverick74]

Quote from jansen_ja:

for example:
dec03 ATM 10 options short.
jan04 otm short 12 times (both sides 12 times, below and above,is that a strangle?)
and mar04 ATM short 7 times to get vega neutral.
Adjusting delta with stock.
Maybe a bit different, depending on volatility.
This above will work with stock at 30, 30 atm 25/35otm. volatility 50.

That will do, but i don't believe in this kind of strategies.
Or is it a bit more complex and genious this strategy we are looking for?

Yeah this one is really confusing. Looks like you are taking an astronomical amount of risk with all those naked options. Am I reading this correctly. Are you proposing to buy any options here? If not, how can you ever be long vega at any point. My position has long vega at a certain point and long gamma, not neg gamma.

 

[jansen_ja]

the jan is long, i made a mistake typing...
so dec atm short jan long otm march atm short.
and make all that stuff delta/vega/gamma/theta neutral.

 

[Maverick74]

Quote from jansen_ja:

this was a win-win trade:
Cvtx
Nov 22.5 call +3 2.30
Nov 27.5 call +7 0.50
Nov 20 put +7 0.80
Dec 22.5 call –25 4.80
Jan05 30 call +20 5.00
+200 a 23.18
this trade was done some 2 weeks ago, when volatility jumped into december, due to news to be expected in december, but not so much yet in later months, and neither in the november month.
Very exciting.

it is the same idea, but the fun is here, that the dec was trading at volatility 140, the nov at 80 and the jan05 at 60.

now the stock is at 17, time to buy 400 deltas to close in profit traded, there was virtually no risk with this trade.
But this is an opportunistic trade, on circumstances, it wont be possible to set up this kind of stuff everyday.

Are you saying this position had positive theta? My position is theta neutral to theta positive at the beginning and during most of the front month. Unless the stock makes a big move in either direction and then it becomes theta negative and long premium.

Once again, not a bad position and I'm happy to hear it worked out, but if you graph your position and my position they look nothing alike.

 

[recoba71279]

off the top of my head, a wrangle appears to fit the description.
cheers

 

[Maverick74]

Keep it coming guys, this is fun. Don't be afraid to post a stupid trade. There are no wrong answers here. All these trades are good in their own right. I bet we will discover a lot of cool interesting trades on our way to the one I am looking for.

Keep it up.

 

[jansen_ja]

this positition was vega positve, theta positive and gamma positive.
due to expensive gamma in december...
though on thing to be mentioned, dec volatiliy will walk up (nov is estimated 80) so dec must be getting higher everyday.
this trade would only become loosing trade up to november experiation with dec volatility going higher than 170, with jan05 still trading at vol. 60 more or less....
that was the gamble...
now dec is at 140 vol trading, and jan05 already at 70....
so its working out...
apart from that the trade was gamma long...
there was also a big move in nov. from 24 to 16 ,where you could even scalp gamma (now to buy 400 deltas at 17/18)
this trade is not your strategy, but another example of an interesting option-combo.

 

[Maverick74]

Quote from recoba71279:

off the top of my head, a wrangle appears to fit the description.
cheers

Wow! Someone is getting awfully warm here and new poster too I might add. It looks like a brought a newbie out of the corner and into the light. That's what I'm talking about.