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The attached chart shows that implied volatility of
the OEX which usually tracks 30 day historic volatility has increases
substantially in the last few weeks.
Good luck and god trading,
Ray Raffurty
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
M.
Simms
To: <A title=realtraders@xxxxxxxxxxxxxxx
href="">realtraders@xxxxxxxxxxxxxxx
Sent: Wednesday, March 12, 2003 1:56
AM
Subject: Whopping Premiums, was : RE:
[RT] Re: Fedback-This Week's Most Unusual Covered Call
Speaking of
options, has anyone taken a gander at the whopping premiums of index options
like the OEX in the current expiration Month ?
Holy
moly....lots of opportunities here in shorting premium if the angst is near
it's max.
2 weeks ago,
long puts was a great position, but RIGHT NOW I can't see going long
<any> options at this juncture, can you ?
<FONT color=#0000ff
size=2>
<FONT color=#0000ff
size=2>
<BLOCKQUOTE
>
<FONT face=Tahoma
size=2>-----Original Message-----From: Ray Raffurty
[mailto:r.raffurty@xxxxxxxx]Sent: Saturday, March 08, 2003 6:00
PMTo: realtraders@xxxxxxxxxxxxxxx; John CappelloCc:
MedianLine@xxxxxxxxxxxxxxxSubject: Re: [RT] Re: Fedback-This
Week's Most Unusual Covered Call
Correction: The <FONT face="Courier New"
size=3>cash in lieu of 0.30422 share of Travelers Property Casualty Corp.
Class A ("TAP.A") Common Stock; plus cash in lieu of 0.84326 share of
Travelers Property Casualty Corp. Class B will be a lot more than what I
said since TAP.A is at is at $14.40 and B is at 14.44. Sorry, but it
will be around $16.20 per contract.
<FONT face="Courier New"
size=3>
Good luck and
good trading
<FONT face="Courier New"
size=3>
Ray
Raffurty
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Ray
Raffurty
To: <A title=jvc689@xxxxxxx
href="">John Cappello ; <A
title=realtraders@xxxxxxxxxxxxxxx
href="">realtraders@xxxxxxxxxxxxxxx
Cc: <A
title=MedianLine@xxxxxxxxxxxxxxx
href="">MedianLine@xxxxxxxxxxxxxxx
Sent: Saturday, March 08, 2003 5:40
PM
Subject: [RT] Re: Fedback-This Week's
Most Unusual Covered Call
Hi John,If you purchased 100 shares of C and
sold 1CLTCC call your are NOTcompletely covered. In August of
2002 Citigroup spun off it's TravelersInsurance division <A
href="">http://www.citi.com/citigroup/press/020820a.htm
anddistributed the Traveler shares to owners of Citigroup stock in the
ratiodescribed at<A
href="">http://www.cboe.com/common/pageviewer.asp?file=02-454.doc&dir=ttstocksm&head=stock%20splits%20%26%20mergers&sec=5Since
options, including the March 15 CCC calls, where trading at the
timethose contracts had to be adjusted to include the shares
distributed and theoption symbols where changed to as the LT thus
CLTCC is a nonconformingoption. At the time of the distribution
a new series was created foroptions sold after that date without the
LT symbol to indicate 100 shares ofCitigroup only. In other
words if you owned 100 shares of C in early August2002 and sold (1) 15
CCC call you would be required to deliver both the 100Citigroup shares
PLUS the shares of Travelers you received, if exercised,and the symbol
was changer to CLTCC. After the distribution date if
youpurchased 100 shares of C and sold 1 CCC 15 call you would be
covered. Asfar as I know the unusual option symbol is always the
nonconforming one.If you look at the attached chart you will see
that in every case the optionwith the LT designation is trading at a
higher bid and ask for the samestrike than the option without the
LT. This occurs because the value of theoptions are determined
by adding the value of the various Travelers sharesto the 100
Citigroup shares.I don't what Smith Barney told you but CLTCC is a
15 strike, it's just formore than 100 shares (nonconforming). If
you go to the OptionXpress website and go to the calls only option
chain you can check a box to show thenonconforming options. If
the box is checked the LT series shows and if itis not checked they
don't show.I believe the quote you got over the week end on CCC
was erroneous. Theremay not even be a market in that option
currently (in is no longer showingup). It is possible that the
data from which the various option chains arecreated had defaulted to
an old quote when it found no new prices. Also,when you use a
website to search for option yielding a high % on coveredcalls you
must be very careful. They often do not screen out
nonconformingoptions but calculate the % gain based on 100
shares!!!!!!!!!!!!!!!!!!! Ihave been burned this way and learned
to check the CBOE's web site whensomething looks to good.If
you entered an order to sell CCC, I would question why your
brokersubstituted the nonconforming CLTCC and demand it be
undone. He should haverejected the order or given you the price
on CCC. If, however, you enteredthe order to sell CLTCC you need
to either close the trade before expirationor plan to purchase the
various Traveler's shares required to be covered(more
commissions). In this case, perhaps your kindly old broker will
undothe trade..., NOT. You can always do nothing, but you will
be shortTravelers on 2/24/03 after the options are exercised.
You can then buy toclose the short, but the market has a way of moving
to make this the worstpossible outcome, not to mention additional
commissions.The short will be: 4 shares of Travelers
Property Casualty Corp. Class A("TAP.A") Common Stock; plus 8 shares
of Travelers Property Casualty Corp.Class B ("TAP.B") Common Stock;
plus cash in lieu of 0.30422 share ofTravelers Property Casualty Corp.
Class A ("TAP.A") Common Stock; plus cashin lieu of 0.84326 share of
Travelers Property Casualty Corp. Class B("TAP.B") Common
Stock.Also notice that there are 2 "cash in lieu of"
components. This means youwill need to pay out that cash to the
option holder ($1.15 per contract).This cash is probably to adjust for
fractional shares that wheredistributed, but which could not be
accounted for otherwise.I think the odds are against you on this
and you will be lucky if you onlytake a small loss.
Unfortunately the market does not hand out money thisway.
Occasional there will be small discrepancies in option price to
stockprice, pennies or less. Then professionals will move
quickly on volume andlow commissions to close the
discrepancy.Good luck and good trading,Ray
Raffurty----- Original Message -----From: "John Cappello"
<jvc689@xxxxxxx>To: "Ray Raffurty" <r.raffurty@xxxxxxxx>;
<realtraders@xxxxxxxxxxxxxxx>Cc:
<MedianLine@xxxxxxxxxxxxxxx>Sent: Monday, March 10, 2003 2:07
PMSubject: Fedback-This Week's Most Unusual Covered
Call> Dear Ray,>> I just did a double check
with Smith Barney and the correct symbol> for the $15 strike price
is CLTCC.... which is what I sold. Options> Express also confirms
this. The other designations just further> describe the Travelers
acquisition from last year...and have nothing> to do with pricing
other than history.>> When I first looked at this trade, the
$17.50 strike price was in the> profit mode to sell the call and
buy the stock...that is now close to> parity.>> Hope
this helps.>> Sincerely,>>
John>>>>> ------------------ Reply
Separator --------------------> Originally From: "Ray Raffurty"
<r.raffurty@xxxxxxxx>> Subject: Re: [RT] This Week's Most
Unusual Covered Call> Date: 03/08/2003
06:54am>>>
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