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This updates prior posts for those looking:
6/16 position:
With the Dow at 10,600 (ie DJX at 106.00)
Long Jul 108 c
Long Jul 104 p
Paid $3.25
Adjustment 6/21:
With the Dow at 10,440,
Bot Jul 106 call
Sold Jul 108 call on a spread.
Paid 75 cents.
Adjustment 6/27:
With the Dow at 10,600
Bot Jul 106 put
Sold Jul 104 put on a spread.
Paid 68.75 cents.
Net position going into FRB decision:
Long Jul 106c
Long Jul 106p
Total position cost: $4.6875 (equivalent to 470 Dow points)
6/27 ASK value of 106 straddle: $4.50 (this is how much I would pay if I
were to buy the package right now).
Trading Slippage = 18.75 cents (this is the difference between how much I
would pay now versus what my manouvering cost me).
However:
106 straddle value 6/16: $5.50 with the Dow at 10,600
106 straddle value 6/27: $4.50 with the Dow at 10,600
Value eroded due to time: $100 per straddle.
Amount saved:
$1.00 value eroded - $0.1875 trading slippage = $81.25 per straddle.
See you after expiration or FRB or breakout or fizzle, whichever happens
first.
Gitanshu
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