Replies to post #2668 on °¿°

[Myself °¿°]

10~XLFKW Nov23c xlf 10~xlfws Nov19p

I wouldn't do this but I'll paper trade it just for fun

Layout
10~XLFKW Nov23c @1.14 ~b/a 1.05/1.14 could have filled @1.10
xlf
10~xlfws Nov19p @1.10

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2mo Daily
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XLF - 6 Months




Understanding Implied and Historical Volatility

Table for: XLFKW Nov23c, xlfws Nov19p

 
          Symbol       XLFKW       xlfws             
                                         
            Type  XLF Nov 08  XLF Nov 08 
                     23 Call      19 Put 
                                         
                                         
         Bid/Ask * 1.05/1.14 * 0.99/1.10 
           Delta      0.4766     -0.2934 
                                         
  Expires (days)          55          55 
    Implied Vol.       51.15       65.63 
     1 Day Decay     -0.0248     -0.0212 
                                         
   Intrinsic Val        0.00        0.00 
    Time Premium        1.10        1.05 
                                         
       Stk Price     * 21.45     * 21.45 
                                         
                                         
          Loaded   9/27/2008   9/27/2008 
                     7:05 PM     7:05 PM 
 

[AnderL]

At the close
------------
10Oct20c @1.00 XLFJT $1000
10Oct20p @2.20 XLFVT $2200
total value $3200.00

hmmm, my guess is that the move would have had to been more significant for this to work. Enough to nearly wipe out the opposing put or call. Maybe a straddle that is more out of the money in one or another direction


original postion
----------------
buy 10Oct20c @2.30 XLFJT $2300 + 17.49com
buy 10Oct20p @ .90 XLFVT $ 900 + 17.49com
total cost $3234.98

[Myself °¿°]

Table for: XLFJT Oct20c, xlfvt Oct20p

 
          Symbol       XLFJT       xlfvt             
                                         
            Type  XLF Oct 08  XLF Oct 08 
                     20 Call      20 Put 
                                         
                                         
         Bid/Ask   1.18/1.30   2.02/2.10 
           Delta      0.4350     -0.5650 
                                         
  Expires (days)          17          17 
    Implied Vol.      101.79       88.93 
     1 Day Decay     -0.0440     -0.0439 
                                         
   Intrinsic Val        0.00        1.03 
    Time Premium        1.24        1.03 
                                         
       Stk Price       18.97       18.97 
                                         
                                         
          Loaded   9/30/2008   9/30/2008 
                     5:45 AM     5:45 AM