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Colin,
I doubt if you can do it, but if you can do the trade, do it as
many times as you can.
You haven't missed anything in calculating the b-fly. There's no
risk. Min. profit is 1.80 and max is 6.80.
Paul
----- Original Message -----
From: "caw" <cwest@xxxxxxxxxxxx>
To: "OmegaList@xxxxxxx Com" <omega-list@xxxxxxxxxx>
Sent: Saturday, June 16, 2001 12:29 PM
Subject: RE: please criticize this hypothetical trade
> 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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