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Strategies & Market Trends : Option Spreads, Credit my Debit
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To: Dan Duchardt who wrote (1697)9/25/2000 12:21:42 AM
From: Vol  Read Replies (1) of 2317
 
Dan,

Thanks for your comments. Let me preface this by stating that this is not my strategy, so I don't fully understand it's advantage or whether it is even a viable strategy. It is interesting and I am looking for some input from others.

So we're talking apples and apples, let's use your example.

SPX at 1448.7
DEC01 1600 buy for 151_1/2 (essentially zero time premium)
OCT00 1475 sell for 39_1/8 (~$15 time premium)
OCT00 1450 sell for 27 (~$27 time premium)
also
OCT00 1460 sell for 33 3/8 (~23$ time premium)

Buy DEC01 1600 for 151 1/2
OCT00 1460 sell for 33 3/8
Debit of 118 1/8

Let me address delta.

Delta on the 1600 is only 18% according to my data service (there is no way a long term ITM put is going to have a delta anywhere near 50%)

I plugged the data (using IV of 19%) into an options calculator and got a delta of -60 for the DEC01 1600 puts.
Optionsanalysis has the delta at -50. 216.71.81.240

Maybe 18% is the IV? Please double check me on this.

Vol
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