![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEirKKbgPoPLBJY9CV792U8mM_lug68_y0Kxxen9ssYCbOQUlOkGxnjsYZ4zOpaYVu33COIH7ERPCSePVftTRuZag4POTA3Pvie3zpFz3xky5-DyitZVGM4R3gnwveTwA7uTeRBKnlRvqKE/s400/tpx_summary_update.gif)
You can read the first blog: HERE.
The straddles were sold @ 3.90 originally. Here is the image of the old trades (click to enlarge): You can also the ale was 56 vol.
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiJosSYLYTwUfKCTxZPEw5WVEzjVsULQoIJ2faJfGQDeYklZl1lwPcg6iC_pmb8lPi-5DvIvLUNEhYNA_SYZhl1gFOXC27OPW-sD4pBTYzpj0pg7Y8Pz_c5T5Et3W_aT1S8qy6gTJsj55s/s400/tpx_trades.gif)
Now the fair value of the straddles is ~0.725 + 1.40 = 2.125. You can see the Options Tab snapshot below (click to enlarge): The gain so far is 100*3800*($3.90-$2.125) = $674,500.
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhqdLf7OjIh73zKjwQA24Sl45DGTVjEH4FC6lNxhLRGSjcG2tGvOfj3FJGvnEhHWq6wxFNGKpbmEfFCdNGmQ8i_4nsCH5aRK_HDFMf3clVbZ4WOlLwMA6tR6LOHjsoRrRFmlMG83L8dG_M/s400/tpx_options_update.gif)
Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html
No comments:
Post a Comment