Price 190.15. (Close of 10/12/2009)
Earning date: 10/15/2009 (Thursday) BMO
IV is around 2 year low.
BTO Nov 16, 2009 190 call at $8.95
BTO Nov 16, 2009 190 put at $9.05
===========================
Net debit $18.00
BE - $172 and $208 at expiration.
PE: 10% - 20% profit
SE:
Slightly bullish (price slightly above $195)
Watch the movement and convert to LC + Bull Put (STO Nov 16, 2009 195 put)
Slightly Bearish (price slightly below $185)
Watch the movement and convert to LP + Bear Call (STO Nov 16, 2009 185 Call)
Stagnant – (Price between $185 and $195)
1) Close the trade for slight loss
2) Convert to double diagonal
Roll both LP and LC out in time, and sell short term put/call.
Risk Profile
Posts
Joseph,
ReplyDeleteGreat. Let us know the adjustment. There are a lot of variations we can do for straddle. It will be a good education experience.
I will post more comments on this trade in a separate post later. There are some ideas of comparing it with a backspread trade which can give the same results but cheaper.
After GS earnings, the price is around 188. It did not have the big move I expected. Close the trade for 14% loss.
ReplyDelete