Volatility Arbitrage (ARB)

[dr_praeses]

QQQQ ~ in these Dec5 options, rather than closed them, thanks to the tankage, I rolled out to the Jan expiration but both in the 50 strike. ALSO got an additional fill in a Jan 08 51c @ 1.35. SO:

in 1 QQQQ Jan 08 51c @ 1.35

Roll 1:

out 1 QQQQ Dec5 08 48c @ 3.25

in 1 QQQQ Jan 08 50c @ 2.02

net credit = 1.23

Roll 2:

out 1 QQQQ Dec5 08 50c @ 1.27

in 1 QQQQ Jan 08 50c @ 2.02

net debit = .75

So now, current position is:

long 2 QQQQ Jan 08 50c from 2.02 avg
long 1 QQQQ Jan 08 51c from 1.35
long 1 QQQQ Jan 08 52c from 0.90

losses are posted into the books for the Dec contracts: 4.02-3.25 = .77 loss on the 48c, 1.65-1.27 = .38 on the 50c, net loss on QQQQ is 1.15 so far on try. See if I can't make some o this back!!! We'll see.