Sell Open AGNC Jun 16 '12 $26 Put $2.60 Executed
Buy Open AGNC Jun 16 '12 $26 Call $2.30 Executed
Net credit of 100*($2.60-2.30)=$30/pair.
Risk of 100*[(Put strike - Put premium) + Call premium] = 100*($26-$2.60+$2.30) = $2570/pair.
This impounds margin, but incurs no margin debt.
I expect to close these shortly before the late December ex-div, netting a higher Call premium less a lower Put premium. Getting only $100 each would be a disappointment.
The ceiling at 29 isn't helping but I'm comfortably in the green on 3 of 4 legs.
Something about the March calls (the only red mark here) is funny. The book on all of the at- or in-the-money calls has no time premium to speak of. Total bargain if you're the slightest bit bullish and have cash.
January 12 calls (not part of this play) have the same situation. They're almost trading under water. There's volume, but it's not raising the bids. Nobody seems to expect any upward motion at all between now and ex-div.
Here's looking at their disappointment. (drink a shot)
The only calls showing any ITM time premium are June 12's. Puts, on the other hand, are fat wads of cash. Hope that holds until I clear these positions out.
Closed the short Puts.
Buy Close AGNC Jun 16 '12 $26 Put Executed 1.65
Buy Close AGNC Mar 17 '12 $29 Put Executed 1.85
The Junes I sold for 2.60, and the Marches for 2.65. But I did twice as many of the Junes. So the average realized gain is (2*(2.60-1.65)+(2.65-1.85))/3 or 0.90 per contract.
The average risk is (2*(26-2.60)+(29-2.65))/3 = 24.383 per contract.
The overal ROR is then 0.90/24.383 = 3.7%
Given the egging we've been taking this quarter, I'm satisfied with that.
The two sets of calls (June $26 and March $28) are still open. I think maybe I can pay for the commissions if I wait until Monday, or I can just ride those into next quarter. Especially the March tranche, which as we speak is a pitiable shade of crimson owing to the self-abnegating reticence of someone else to let me call their shares away.
Nope. E*Trade shows the current values of the greeks at the bottom of an option quote, and calculates implied volatility.
I'm not trading with the kind of splayed-out volume that would make the greeks a significant source of arbitrage, anyway.
Let the MM's play according to the digits. The greeks are based on formulae that assume more randomness than this stock actually has. I'll be happy to take the cyclical value they leave behind.
The actual Greeks have been a more significant source of information than the greeks have, lately.
"I expect to close these shortly before the late December ex-div, netting a higher Call premium less a lower Put premium.'
The problem is the spread on the Put premium when you go to buy back. Extrapolate the 26Put as if the PPS was 2.00 higher today. The amount for the "ask" using the 24Put as proxy is 1.60. yielding .60 for a 2.00 change or a -.3 Delta.
The Call side is great Delta = +1.00
So is the risk for a -.3 Delta worth it on the low end when you could have paired your call with a Short Dec28Put for .60, gotten the same bounce by letting it expire worthless in a few weeks?
Thanks for posting your trades. Always good to share ideas...
I know. I think I made a mistake going for the June expiries. One reason I pulled back and got the ratio on the March instead.
With the price move since I did that, though, I might try to recoup with a little martingale on the Dec or Jan options.
It's all fun and games until someone gets a margin call.
Just ratioed up.
Buy Open 2X AGNC Mar 17 '12 $28 Call Limit 1.30 (filled at 1.29!)
Sell Open 1X AGNC Mar 17 '12 $29 Put Limit 2.65
These filled immediately, even though I set the limits just inside the stagnant book. The MMs are being twitchy today. I have no idea what it means for my limit order to have been filled at a price better than my limit when there was no such price on the book. Secret writing with invisible ink in the book? Crossing limit trades? Stimulus plans for options hacks? Dunno. Doncare. Thanks for the copper, market gods.
This play has twice as many long calls as short puts, to neutralize the total price paid as well as possible, crediting me a net 6 cents per set (I'd have accepted up to a dime in outflow as well, if the book had moved against me). I figure if the stock goes up a dollar the calls will go up 50 cents and the puts will go down 60 cents, for a total profit of of 2*.50+.60 = $1.60 per set. Effective delta = 1.60, in other words.
Risk is (put strike - put price) + 2*(call price) = (29-2.65)+2*1.29 = 28.93.
That means, to get that extra 60% profit per dollar rise in the stock, I took a risk premium of about 65 cents vs the stock. And cashed-in to open.
A dollar move would be nice. If only there were reason to believe such a thing could happen. If only there were some predictable event between now and March that would have the tendency to draw the stock price upwards. If only this stock paid a quarterly dividend covered in honey and wagyu beef...
While there's no volume, there is a book, and it's showing the current bid on the Calls is the ask I paid, and the current ask on the Puts is the bid I collected. So, in theory, the next nickel is profit.
Take THAT, Papandreou.