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Sugar#11



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Trevor

With Sugar IV at an all time high, selling a negative gamma strategy is
conceptually sound save that I expect that this commodity is subject to
considerable insider information.

My real concern is your question as to whether Sugar has bottomed. 

If this is your interest then you are a directional trader and should not
be selling gamma and vega. You can't have it both ways. 

The only way to satisfy your apparently contradictory desires is to sell
the near month (Jul) strangle and buy the next month (Oct) straddle - being
sure to be delta neutral.

This is messy and incurs high commissions, but it meets your needs. Max
profits on the first expiry will be at the wings of the near month
strangle.

This will work because the IV of the near month is 5% higher than the IV of
the next month.

Good luck

Graham Critchley
Box 330 
South Melbourne VIC 3205
AUSTRALIA

Phone      0416 171 006
Intl Ph      61 416 171 006
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