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American Capital Agency Corp. Message Board

  • yourbestfriendintheworld yourbestfriendintheworld Nov 19, 2012 2:47 PM Flag

    Already Put My Xmas Dollarmite Up

    Another ratioed synthetic long, because why not make the market pay for itself?

    Per unit: short 1 Dec 31 Put at 1.44, buy 1.4 Dec 31 Calls at 1.02. Net credit 1.2 cents per unit.

    The call delta is .5343 and the put delta is -.4556 and the underlying was 31.10 at entry, so the initial crappa* works out to 1629% on the call and 984% on the put.

    * - % change in option premium per % change in stock price.

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    • yourbestfriendintheworld yourbestfriendintheworld Jan 17, 2013 4:31 PM Flag

      Finally, I can close the book on Q4, and if it weren't for the dividend it wouldn't be pretty. All those goobers bailing because of the fiscal cliff negated all the leverage I had.

      ratio pos ticker strikedate strikeprice option entryunderlying entrydate entryprice closedate closeaction closeprice closeunderlying grossprofit roi irr risk ror irrr

      1 short agnc 12/22/2012 31 put 31.10 11/19/2012 1.44 12/22/2012 expwless 0.00 31.20 1.44 roi na irr na risk 29.66 ror 5% irrr 54%

      1.4 long agnc 12/22/2012 31 call 31.10 11/19/2012 1.02 12/21/2012 sell@bid 0.18 31.20 -0.84 roi -82% irr -939% risk 1.02 ror -82% irrr -939%

      that was the original ratioed synthetic long. then i started trying to hedge and dug myself a hole when the stock cratered in mid-december:

      1 long agnc 12/22/2012 31 call 30.99 12/5/2012 0.62 12/21/2012 sell@bid 0.18 31.20 -0.44 roi -71% irr -1619% risk 0.62 ror -71% irrr -1619%

      1 long agnc 1/19/2013 30 call 30.90 12/13/2012 1.10 1/17/2013 sell@bid 1.28 31.30 0.18 roi 16% irr 171% risk 1.10 ror 16% irrr 171%

      if you go by the irrr number it looks particularly ugly, but when you add up the raw profits it turns out to look more like this, per unit:

      entrydate entryprice closedate closeprice grossprofit roi irr risk ror irrr

      11/19/2012 1.708 1/17/2013 1.712 0.0040 roi 0.23% irr 1.45% risk 63.466 ror 0.01% irrr 0.04%

      yup. just broke even for the quarter on options. made quite a bit trading shares and on the div, though. and the options were absolutely horrid-looking before things turned up. so getting back to parity on the options is actually a bonus.

    • YBF,

      This looks like Déjà Vu all over again. You just told us about bailing for a loss on a similar position upon the slide last week. Why not consider wrapping this Christmas Dollarmite in Pampers so if you S$$T again, upon another #$%$ crash, you won't make a mess....sorry.

      Here is how. Just add a long leg buffer. You can still get the Dec 31/30 Spread for .50 credit. So multiply your present Short position by 3, and you retain your 1.50 credit, and secure your position down to 30.50(BE), and have a maximum .50/spread loss, @ 30.00 or lower.

      Granted your BE with your current position( on the Puts) is 31.00 - 1.44 or 29.56, but you covered last time at about the same PPS, right? This position, I am describing, saves you being in that uncertain position, wondering if we'll go to 15 and stay there.

      So just grab as many Long legs(30's) as you have Short Puts, and then grab additional spreads until you have the same credit, as you now have. For best results you need to hold the spread to either EX or OPEX.

      Just an idea.....


    • I like your trade, buddy : )

      Sentiment: Strong Buy

19.865-0.025(-0.13%)1:00 PMEDT