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Strategies & Market Trends : Option Spreads, Credit my Debit -- Ignore unavailable to you. Want to Upgrade?

To: Iraklis who wrote (1136)	1/9/2000 7:52:00 AM
From: jjs_ynot	Respond to of 2317

Iraklis, I have found that delta-neutral strategies are difficult to maintain when the underlying is near the strike price on the short side. Also, you can still move money with a delta-neutral approach as the time-value component of the short option becomes intrinsic value during a trending move. Thoughts from others welcome. Dave

To: Iraklis who wrote (1136)	1/9/2000 10:11:00 AM
From: tyc:>	Read Replies (1) \| Respond to of 2317

You and I have exactly the same objective. I too am looking for some discipline for my "gut feel" approach. My usual routine has been first to buy stock of a company that I am bullish on. When the price goes up, I realise that covered calls are attractive so I sell calls, making a mental note of the downside break-even. Then I realise how converting the covered call to a short straddle by selling puts at the same strike will enhance the situation. From that stage, it should be possible to ignore the underlying common stock position, adjusting the short options to modify the profit profile of the short options. One should be able to sell the common, or retain only sufficient to ensure that the overall position has the delta bias to satisfy your "gut feel". Right now on the Canadian market I hold such eclectic positions on T.ATI (nasdac ATIT), T.PDG (Placer Dome), T.dfs (Dofasco), and a nascent position in Power Corp (T.POW). Instead of discussing academic rules out of a book, would anyone be interested to take part in a discussion of actual positions; the attactiveness of the profit profile vis-a-vis technical indications on a chart, Bollinger bands, RSI, etc. If you look at a chart of DFS (dofasco) and of PDG (Placer) you will see two diametrically opposed positions. Would it not be interesting to discuss what short option positions are appropriate to each ? Any takers ?

To: Iraklis who wrote (1136)	1/9/2000 1:05:00 PM
From: jjs_ynot	Read Replies (1) \| Respond to of 2317

A fairly complete discussion of one of my most popular indicators, MACD: stockcharts.com

To: Iraklis who wrote (1136)	1/9/2000 8:01:00 PM
From: ron delany	Read Replies (1) \| Respond to of 2317

Iraklis It's been mentioned before but i find the best site for greeks or IV type info is optionsanalysis.com. They have a a pay site but the free info is incredibly useful for spreads on equities. just type in underlying symbol for all the greeks and IV and IV history charts 6mo and 2 years plus even volatility skews.

To: Iraklis who wrote (1136)	1/11/2000 10:30:00 AM
From: KFE	Respond to of 2317

Iraklis, I'd like to identify mispriced options and construct corresponding hedges which combined togther produce delta neutral positions which are not (that) sensitive to changes in the underlying. Do you, or others on this board, construct such option positions? If so, I'd be interested in learning from your experiences. I take it that you mean gamma neutral when you say "delta neutral which are not sensitive to changes in the underlying". This position would have to be put on by first using options to get the gamma to zero and then establishing a position in the underlying to neutralize the delta. Creating this position for the retail investor shouldn't be too hard but the adjustments necessary to keep the position delta and gamma neutral is just not practical in my opinion. Maybe if I analyze a trade that I posted here last week it will help. I shorted calls on BGLX Jan45 and bought the Feb45. Long calendar spreads are generally considered delta neutral spreads. This particular spread had a very slight positive delta because the underlying was below the strike at the time. It now has a negative delta because the underlying has risen above the strike price. The position also has a negative gamma which means that I don't want a large move in the underlying. Reasons why I put on the spread: 1. The short option was overpriced compared to the long option. 2. I expected an increase in the implied volatility.(The price of the long will increase more than the short because it has longer to run) 3. I figured that the position would be profitable if the underlying traded in the 40-50 range in the two weeks till expiration of the short. Remember that delta neutral trading does not mean risk free trading. Events such as a large move against you in the IV can make the position unprofitable. Hope this helps. Regards, Ken