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Hi Rich,
Next time get the bid and offer for your specific spread from the floor
through your broker. That will give you much better information than trying
to piece the two legs together from your screen, which is practically never
accurate in the futures options.
Regards,
Tom Alexander
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> From: RParrBIRD@xxxxxxx
> To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
> Subject: S&P Option spreads
> Date: Sunday, July 06, 1997 8:11 PM
>
> RealTraders:
>
> Last week on Thursday I wanted to go long the S&P's but to mitigate the
> effect of volatility and downside risk I entered with a bull spread in
the
> July calls rather than take an outright futures position. With the
> underlying at around 890 I bought an S&P 910 call and sold a 940 for a
debit
> of about 8.30. Delta on the position was around +25 meaning it would
move at
> about one quarter of the speed of the future. Late in the day after a
nice
> move up I decided to not be greedy but to go ahead and get out with my
profit
> I had then of roughly $1000. So I entered an order with my broker to
sell
> the spread at net credit of 10.40. The market continued to move up the
> remainder of the day and the spread closed at over 12.30. After the
close my
> broker told me "unable" on the fill.
>
> I couldn't figure why it didn't fill but since the market was acting
quite
> bullish I figured it was a mistake somewhere but as the position had
gained
> in value I wasn't going to cause too many waves about it.
>
> So Friday the market again surges up and I again place my order to exit
late
> in the day at around 13.00 (about a $2500 profit). Again the market
surges
> well above my exit point and the spread closes at about 15.00. And
agiain
> the result is "unable".
>
> What's going on here? Volume on each option is not that thin (200 - 400
> contracts per day on each option) and the market had moved well beyond
what I
> needed to get filled. Any Ideas?
>
> Rich Parrott
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