I often realized that the most interesting debit spreads are the one
with high IV on both legs.
Going further I also could see that when
you initiate a far ITM debit
spread for both legs you sometimes can have
very low breakeven points
(for bull debit spread).
Let's take an
example: on June 3, 2008, MYGN is trading at 48.60 with
an IV of more than
100%; if I was to select a debit spread buying 1
CallNov08 35 and 1
selling Call Nov08 40, I would pay around $250 for
this spread. And my
breakeven at expiration would be...11 points below
the current price:
37.60 !! An almost no-risk trade but my question is:
would I run the risk
to be exercised on my solf call before expiration
although I own a long
call at a strike below??
Anyone have any experience on this?
Thank
you,
Carl