rembrandt .eto help please, page-4

re: rembrandt .eto help please ... arthur Hi Arthur ... yes ... have been out ...

SCENARIO: SHORT STOCK: RIO 17/02/04 > 01/03/04 = +/-
code c/p expiry strike i/vol 35.970 > 34.319 = -4.59%
RIOLB P 25/03/04 34.00 22.00% 0.2560 > 0.5713 = 123.11%
RIOLF P 25/03/04 34.50 22.12% 0.3753 > 0.8116 = 116.29%
RIOLM P 25/03/04 35.00 22.65% 0.5457 > 1.1163 = 104.56%
RIOFH P 25/03/04 35.50 22.81% 0.7402 > 1.4538 = 96.42%
RIOLK P 25/03/04 36.00 24.23% 1.0300 > 1.8655 = 81.12%
RIO3U P 25/03/04 36.50 21.76% 1.1809 > 2.2117 = 87.29%
RIOLL P 25/03/04 37.00 22.39% 1.5104 > 2.6623 = 76.27%

THE ABOVE PROJECTIONS ARE THEORETICAL AND DO NOT REPRESENT ADVICE OR RECOMMENDATION TO TRADE OR OTHERWISE.

Interesting situation here ... the higher the Underlying Price the higher the FAIR VALUE for a given I/Vol.

The above shows the deep OTM $34.00 RIOLB as the profit pick but it is unlikely the I/Vol will hold up over the life of the Option.

BC has also only projected a downside to the Underlying of 4.059% which is modest for RIO.

IMHO ... consider RIOLM a better risk/reward proposition.

Cheers ... tight stops.


This is only my view ... read the red stuff.