Vol Traders

Quote from Billy Valentine:

They're scheduled to present at the JPM healthcare conf. on Wed. Anyone know if they will discuss the trial results for their make-or=break drug?
http://yahoo.reuters.com/news/artic...1-05_16-30-19_L05670458&type=comktNews&rpc=44
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That's the rumor. The CEO is expected to release whether the end-point was achieved. Stock popped on short covering and vols went North of 300.

Any option-play in AGIX is binary. There is no trade here. 300% vols are cheap if the thing goes to 40. IMO, the data will not meet the end-point and the stock will be trading at $2 after the PIII data is released.
 
Quote from 4_Q:

That's the rumor. The CEO is expected to release whether the end-point was achieved. Stock popped on short covering and vols went North of 300.

Any option-play in AGIX is binary. There is no trade here. 300% vols are cheap if the thing goes to 40. IMO, the data will not meet the end-point and the stock will be trading at $2 after the PIII data is released.
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What type of spread would you do in such a situation having no feeling one way or the other.

Buy a calendar? Sell a Calendar? Diagonal?
 
Quote from xyannix:

What type of spread would you do in such a situation having no feeling one way or the other.

Buy a calendar? Sell a Calendar? Diagonal?
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No trade -- the short 1750 calendar is trading nearly even money.
 
Quote from 4_Q:

No trade -- the short 1750 calendar is trading nearly even money.
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I assume you are talking the calls.

I am a beginner...

What do you look at or calculate, to see that this is even money trade?

Thank you.
 
Quote from 4_Q:
No trade -- the short 1750 calendar is trading nearly even money.
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What do you mean by that? The actual IV's are not so important.
he vega is and is much higher on the deferred month, so you prfit when IV is bloated.
A short calendar would also profit from a sudden move in the price. After which the IV collapses, usually.

Ursa..
 
i have been putting on butterflies and condors. If you are patient you can put them on for even or better. The spreads in the strikes very from .30 to .60 wide so just sit on offers and bids and wait for them to come to you.
 
Quote from xyannix:

I assume you are talking the calls.

I am a beginner...

What do you look at or calculate, to see that this is even money trade?

Thank you.
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Calls or puts, same trade, arb[=]

The July are trading at <$.50 over April. You're not receiving a large enough credit. It's a function of the forward vol surface. The vol is priced for an April release, so nobody will pay-up for duration. IOW, you're only receiving a 50 cent credit and it is a certainty that the stock will make a large move by April expiration. Dollars spent on gammas and vegas rise with premium.

Long and short calendars are two-sides of a market. Simply because it's a short time spread doesn't abrogate the need to price well.
 
Quote from MajorUrsa:

What do you mean by that? The actual IV's are not so important.
he vega is and is much higher on the deferred month, so you prfit when IV is bloated.
A short calendar would also profit from a sudden move in the price. After which the IV collapses, usually.

Ursa..
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The credit received is critical. Simply price this thing at 5 or 25 on the shares. Nobody is going to give you free gamma when vols are trading at 300.

I never stated the vols were trading even.
 
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