Short TIF

Ticker: TIF
Instrument: Option
Type: Put
Strike: 60
Maturity: 2011-05-21
Buy/Sell: Buy
Price: 3.45
Implied Vol: 34.5%

Close Out TIF Strangle

Good that we turned the short into strangle. TIF seems to be hitting bubble territory. Put goes worthless, Call closing at 4.85

Close Out (GOOG)

Closing out on google call spread. Still bullish on google, however slowing down for the holiday season.

Short PLL

Ticker: PLL
Instrument: Option
Type: Put
Strike: 50
Maturity: 2011-01-21
Buy/Sell: Buy
Price: 1.45

Close Out NAT/ERF

NAT at 26.02, ERF at 28.44

Quick One (Short NFLX)

Sell December 10 200 call at 0.35

GOOG call spread update

For most part it should be self explanatory. This is the performance impact for the stock price move for a Bull call spread taking google as an example. The total capital allocated in the portfolio is $59,400. If one wants to look at a different portfolio one could just use the P/L information which is based on one contract.


 

Portfolio Market Value	$59,400
Type	Call	Call
Expiry	12/17/2010	1/21/2011
Time to Maturity (Years)	0.02	0.12
Risk free rate	0.13%	0.13%
Volatility	28%	28%
Dividend Yield	0%	0%
Strike	600	600

The payoff function is based on entry price of 13.2 for the long call, and 4.0 for short call. 

Now let's see how this could turn into a black swan. Suppose we get a little greedy and sell one day call at strike 600. What's the probability of Google jumping $10 in one day? If it doesn't happen we get to keep $69 on one contract. If it does here's how it looks. A good 10% of the portfolio is wiped out if Google jumps to $646 by Friday morning... Given all the info about Gingerbread, chrome OS that is already out there is this likely?

 

Covering Some GOOG exposure

Selling Dec 600 Call at 4.0 (Keeping the January 600 Call open). In addition there's a small exposure through Short Dec 10 600 Call.

The portfolio is now net zero. Gross exposure is 62%. 

Close Out (ITW/IEX)

ITW at 50.4, IEX at 38.67

Short MAR

Buying two January 39 Puts at 0.49