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</x-html>From ???@??? Tue Mar 14 12:35:12 2000
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Tue, 14 Mar 2000 11:14:32 -0800
From: "Gitanshu Buch" <OnWingsOfEagles@xxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Subject: [RT] RE: last night overnight insurance
Date: Tue, 14 Mar 2000 14:17:42 -0500
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Status:
Ben, at your convenience.
Questions:
Below makes you net long 4 contracts at 1300 and flat at 1400.
Assuming June SP opens some AM at 1290 after closing at (say) 1320.
- What protection does this strategy serve in gap limit down move when
options are closed?
- What is "overnight" in reference to? This seems like an initial move.
- How do you change if after gap down open at 1290 it continues south and
next limit open is 1200, where you are not filled due to order overflow?
Thanks
Gitanshu
>since being short 4 June SP
>the overnight insurance was
>selling 8 May 1300 puts at $5000 (40000)
>and buying 4 April 1400 calls at 9750 (39000)
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