Naked Options Selling! - Page 2
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Thread: Naked Options Selling!

  1. #11
    Update (May 13th): New Zealand retail sales came out better than anticipated... NZD/JPY jumped about 60 pips from the low of the day. The New York trimming (10:00am EST) is only about 14 hours away and I still have about 115-125 pips of leeway between the attack and the current price.

  2. #12
    Sold short NZD/JPY call, strike 89.60, expiry May 21st, 2007 for 14 pips.

    Upgrade (May 14th): Still have a neutral-bearish bias on the pair as well as GBP/JPY and AUD/JPY.

  3. #13
    Quote Originally Posted by ;
    Can you cover yourself if your selling naked options by purchasing far out of the money look back at stakes for traders. Spotted this exotic arrangement on their yesterday. They have 11 or so currency pairs. Ranging from 1 -20 per point. Worth a look can eliminate a few of your risk exposure when moving naked.
    Thank you for the trick! I'm convinced my broker provides exotic choices in addition to the vanilla, however, the former is not immediately available through the platform. I would probably have to work out something with the dealer.

  4. #14
    Sold short AUD/JPY call, hit 100.55, expiry May 28th, 2007 to get 14 pips.

    Update May 21st, 2007: Neutral-bearish sentiment on this pair.

  5. #15
    Quote Originally Posted by ;
    Could you pay yourself if your selling naked options by buying far from the money return at stakes for traders. Spotted this exotic structure in their yesterday. They have 11 or so currency pairs. Ranging from 1 -20 per point. Worth a look may remove some of your risk exposure when moving nude.
    I checked with my broker and they don't offer exotic options. Only vanilla options, therefore this egy would need me to use a second broker.

  6. #16
    Upgrade May 22, 2007: Forgot to mention that I held the same view for NZD/JPY and GBP/JPY. I chose AUD/JPY since there were not any substantial news announcements to be released this week for Australia. Together with the others, NZD trade balance, BoE meeting minutes and UK GDP is set to be released this week. Thus far the position remains fairing well, wasting away as blossom draws nearer. Hedge orders nevertheless firmly in place.

    Upgrade May 23rd, 2007: Carry trades have exploded with important JPY weakness across the board. The pair came to within 20 pips of this attack.

  7. #17
    Update May 24th, 2007: Profit-taking in JPY-based pairs ahead of Japan's CPI data.

  8. #18
    Sold short GBP/JPY call, hit 242.54, expiry June 4th, 2007 for 21 pips.

    Update May 29th, 2007: Not much to report on the place. GBP/JPY dropped to as low as 240.50 thereabout before rebounding a little, now around the 241 level. Employment data helped rally the yen. It will be intriguing to see if/how the coming industrial manufacturing figures, if positive, impact the pair.

  9. #19
    Update June 1st, 2007: JPY crippled against CAD, AUD, NZD. Reversal imminent. Saxo Bank recommends purchasing short-dated put options. Personally, I would *consider* an out-of-the-money set time spread on the carry pair I think could fall the hardest... when I wasn't so bent on selling options. It'll be interesting to see what happens. US non-farm payroll report due out in a couple of hours.

  10. #20
    Quote Originally Posted by ;
    Are you going to buy a set debit disperse? Which month? How far out do you typically buy?


    Frank
    Hey Frank. I am probably not going to buy any spreads or do any risk reversals. I have never tried the egy before. If I did, I'd probably sell approximately 45-60 days ahead and buy 90 days ahead. The set time spread functions well when volatility is low (like it is now) and when prices are overbought. Someone I know advoed a risk reversal. The latter is really a fantastic egy as well, but has unlimited upside losses in this instance (market the call, buy the put).

    Below are some examples of put time spreads and 3-month risk reversals one may use to profit off a carry unwind within the next 2-3 months:

    market AUD/JPY 99 place Aug 24 for 19 pips
    buy AUD/JPY 99 place Sept 24 for 61 pips

    3M R/R: market 107 call, buy 100 put

    market CAD/JPY 110 place Aug 24 for 19 pips
    buy CAD/JPY 110 place Sept 24 for 55 pips

    3M R/R: market 118.7 call, buy 111.2 put

    market CHF/JPY 98.3 place Aug 24 for 24 pips
    buy CHF/JPY 98.3 place Sept 24 for 55 pips

    3M R/R: market 102.6 call, buy 98 put

    market EUR/JPY 160.7 place Aug 24 for 44 pips
    buy EUR/JPY 160.7 place Sept 24 for 90 pips

    3M R/R: market 169.5 call, buy 160.8 put

    market GBP/JPY 237.7 place Aug 24 for 79 pips
    buy GBP/JPY 237.7 place Sept 24 for 161 pips

    3M R/R: market 251 call, buy 237 put

    market NZD/JPY 88.4 place Aug 24 for 23 pips
    buy NZD/JPY 88.4 place Sept 24 for 67 pips

    3M R/R: market 97.5 call, buy 89.5 put

    market USD/JPY 120.7 place Aug 24 for 53 pips
    buy USD/JPY 120.7 place Sept 24 for 101 pips

    3M R/R: market 125.5 call, buy 119 put

    The strike prices for the place time spreads are based on the 61.8% retracement of the lows made around late February to early March 2007 and the current highs. The 3-month risk reversal attack prices have roughly a 22-delta in the time of this writing. Each one of the risk reversals posted here could cause a net debit. To fully finance the place, I'd buy deeper out-of-the-money places.

    If I had that OptionVue software or comparable, I would have the ability to figure the maximum profit for the spread (which could occur if the pair expired at the strike).

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