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

To: Vol who wrote (1694)	9/24/2000 9:21:20 PM
From: jjs_ynot	Read Replies (1) \| Respond to of 2317

Vol, A sustained rise could be a problem. Can you indicate how far out and ITM you plan to make the long side purchase? Regards, Dave

To: Vol who wrote (1694)	9/25/2000 9:05:33 AM
From: OX	Read Replies (1) \| Respond to of 2317

interesting strategy. I begin to question any strategy when words like "failsafe" and "win/win/win" are used. this strategy sounds just like the opposite of a (LEAPS) Covered Call strategy (covered put), w/ the added twist that it uses euro-style expir options. IMHO, I contend that if one were "expert" enough w/ index option trading, one would probably be able to negotiate a decent profit w/ limited risk using this strategy. the problem lies in w/ significant movement of SPX (+/- 25 pts)... w/ a significant upmove, your long options will lose more value than your short UNLESS you roll up in a timely manner. likewise, w/ a sig downmove. basically you want to stay somewaht near ATM as much as possible, otherwise the long option movement will outpace you. btw, I've been using 20 as the volatility input for SPX for sometime now (close enough for govt work :-). for Dec01 1600P, IV is 18.4, and delta of (-).53 for Oct1450P, IV 19.4, delta -.47 Oct1475P IV 18.26, delta -.61