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Sean,
The closing prices I mentioned were the bids for the straddle and the asks
for the strangle. Why do you say that no one on the floor would do the
package at that price? Whenever I've entered equity options orders to be
executed at the close, I'm always filled at the bid or ask, and sometimes a
little better(in between), although I've had to debate the fill price at
times, and have always won.
> On Friday I noticed that OEYGE (Jul 625 calls) and OEYSE (Jul 625 puts)
> closed for a combined premium of $36.60, and that OEYGF (Jul 630
> calls) and
> OEYSD (Jul 620 puts) closed for a combined premium of $29.80. If
> one were to
> sell the straddle and buy the strangle, the net credit, excluding
> commissions, would be $6.80, and profitability would be $1.80
> assuming that
> either one or the other leg of the straddle was assigned. Is this
> not a free
> lunch? What have I missed?
>
> Colin West
Sounds like the 625s settled on their offers while the 620p and 630c settled
on their bids. If the market usually shows a .50 ba spread, that would work
out about right. Of course, no one on the floor will do the package with
you at that price.
Sean
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