Re: SPY and 5 point strikes


Jul 9, 2014

 


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#1020 Jul 9, 2014

Hello Frank,

Yes, I am pulling my hair out trying to figure out what I am going to do.

My first thought is to call the trade desk and see if they can negotiate having more strikes put on.�� That probably won't work...

I will most likely choose a strike a little closer in and be quick to defend it.�� For example the Jul4 200 calls have some premium in them and are 13% ITM and I am also looking at the Aut1 200 calls but they are 19% ITM.

The other thing I am looking at is holding the calls a little beyond 50% of maximum profit.�� If there is no opportunity to put on a decent new position I tend to think about riding the option to expiration to collect the rest of the premium.�� I am not sure this is a good way to go, but I am thinking about.�� Perhaps riding it to 60% profit or something like that.

Tom



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#1022 Jul 10, 2014

Have you considered using a synthetic short call - short underlying + short put? This would be much more flexible as it allows the closer put strikes.

Because of skew, for the same premium the put would be much further out than the call. Short ES future at 1950, the ES AUG1900P is $13.00 and the corresponding ES AUG2000C is $5.00..

I'm not sure if the synthetic short AUG2000C would be the AUG1825P for $5.00 or the AUG1900P for $13.00, any thoughts?



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