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To: SAJ

—and metals futures are down this AM.

If you get a chance, I’d be grateful for some help w/ acronyms ZH and OBRA. In the mean time, I know I got homework to do on Implied Volatility Arbitrage.


9 posted on 09/17/2013 5:59:37 AM PDT by expat_panama
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To: expat_panama
Sorry, Pete. ZH is zerohedge.com, the notorious gloom-doom-and-we're-all-gonna-die site that rants regarding financial matters.

OBRA (sic) is a typo. Should have typed OPRA, the Option Price Reporting Authority. Yesterday, oppie prices were simply unavailable for 30-40 minutes. The ultimate player/arbiter/everything else here is OPRA.

The IV trade I'm trying is buying an Oct ATM staddle and writing slightly more OOM strangles that expire this Friday. Clearly, this situationally limits opportunities to those stocks that have weeklies (except for the week of the 3rd Monday of the month), but, seems to me that if there happens to be excess IV on the short side (and, here, it is small, just a couple of points), then the trade should profit.

We shall see, shortly.

10 posted on 09/17/2013 6:11:28 AM PDT by SAJ
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