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Strategies & Market Trends : Jim's Nasdaq100 Special as a basket. -- Ignore unavailable to you. Want to Upgrade?

To: stockycd who wrote (1309)	10/11/1999 10:39:00 PM
From: OX	Read Replies (1) \| Respond to of 2103

premium decay is not a factor because the (-) decay in the long put is offset by the (+) decay in the short call. what's more likely to get you, if anything, are the bid/ask spreads. that's why you want to stay w/ near month series where the spreads are narrower (1/4 vs 1/2 in some cases). I've not held these synthetic positions for more than a few days myself, so my range of calcs are done w/ theoretical values. I've done some w/ 'reasonable' extreme values and it doesn't knock results out of whack more than a few pennies (differing volatilities, etc.), but if there's a way to get screwed, I'm sure it can happen to you with options :-) you're mileage may vary. oh... I'm not sure if I need to mention that you should enter these as 'spread orders' w/ your options broker. not to leg into them, unless you've got a lightening quick execution system.