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Orwell

1,867 Posts.

22/12/14

14:05

Post #: 14496669

Originally posted by semage77 ↑

Hi GJ/Redbecka
I have placed below Bear spread trade.
IV is 11% and net cost was 9 per contract.
Theoretical price is higher for the sold contract compared to bought contract. Is this good?
Could you please comment on this trade from the point of IV and option fair price
hope we all get benefit from the information.
Thanks in advance

XJOMJ7/MH7

Column 1 Column 2 Column 3 Column 4 Column 5 Column 6 Column 7 Column 8 Column 9 Column 10 Column 11

1 Put Debit Spreads expiring 15 January 2015 (24 days to expiry) XJO Last Price = 5388.4 (Historical Volatility=15.19%)

2 Spread Bid Ask Mid IV Volume OI Max Return Max Risk Break Even Return(%)

3 XJOL27/XQ7 4750/4725 -1 2 0.5 23%/23% 0/0 1862/1201 24.5 0.5 4725.5 4900%

4 XJOL47/L27 4775/4750 -2 2 22%/23% 0/0 442/1862 25 4750 0%

5 XJOL67/L47 4800/4775 -1 2 0.5 23%/22% 138/0 1961/442 24.5 0.5 4775.5 4900%

6 XJOL87/L67 4825/4800 -1 2 0.5 22%/23% 0/138 874/1961 24.5 0.5 4800.5 4900%

7 XJOLA7/L87 4850/4825 -2 2 21%/22% 75/0 1543/874 25 4825 0%

8 XJOLC7/LA7 4875/4850 -1 3 1 22%/21% 223/75 555/1543 24 1 4851 2400%

9 XJOLE7/LC7 4900/4875 -2 1 -0.5 20%/22% 140/223 1319/555 25.5 -0.5 4874.5 -5100%

10 XJOLG7/LE7 4925/4900 3 1.5 21%/20% 0/140 475/1319 23.5 1.5 4901.5 1566.67%

11 XJOLI7/LG7 4950/4925 -2 2 20%/21% 15/0 1589/475 25 4925 0%

12 XJOLK7/LI7 4975/4950 -1 3 1 20%/20% 0/15 342/1589 24 1 4951 2400%

13 XJOLM7/LK7 5000/4975 -1 3 1 19%/20% 315/0 9347/342 24 1 4976 2400%

14 XJOLO7/LM7 5025/5000 -1 3 1 19%/19% 0/315 486/9347 24 1 5001 2400%

15 XJOLQ7/LO7 5050/5025 -1 3 1 18%/19% 68/0 1778/486 24 1 5026 2400%

16 XJOLS7/LQ7 5075/5050 -1 4 1.5 18%/18% 0/68 668/1778 23.5 1.5 5051.5 1566.67%

17 XJOLU7/LS7 5100/5075 -2 4 1 17%/18% 35/0 5263/668 24 1 5076 2400%

18 XJOLW7/LU7 5125/5100 -1 5 2 17%/17% 100/35 1048/5263 23 2 5102 1150%

19 XJOLY7/LW7 5150/5125 -2 4 1 16%/17% 2/100 2403/1048 24 1 5126 2400%

20 XJOM17/LY7 5175/5150 -1 5 2 16%/16% 0/2 1133/2403 23 2 5152 1150%

21 XJOM37/M17 5200/5175 1 6 3.5 15%/16% 87/0 5686/1133 21.5 3.5 5178.5 614.29%

22 XJOM57/M37 5225/5200 5 2.5 15%/15% 1/87 1029/5686 22.5 2.5 5202.5 900%

23 XJOM77/M57 5250/5225 6 3 14%/15% 50/1 2010/1029 22 3 5228 733.33%

24 XJOM97/M77 5275/5250 2 7 4.5 14%/14% 25/50 740/2010 20.5 4.5 5254.5 455.56%

25 XJOMB7/M97 5300/5275 2 7 4.5 13%/14% 167/25 4238/740 20.5 4.5 5279.5 455.56%

26 XJOMD7/MB7 5325/5300 3 8 5.5 13%/13% 0/167 652/4238 19.5 5.5 5305.5 354.55%

27 XJOMF7/MD7 5350/5325 3 9 6 12%/13% 325/0 4936/652 19 6 5331 316.67%

28 XJOMH7/MF7 5375/5350 3 11 7 11%/12% 0/325 714/4936 18 7 5357 257.14%

29 XJOMJ7/MH7 5400/5375 5 13 9 11%/11% 55/0 1120/714 16 9 5384 177.78%

Expand

Hi sewage 77. I get IV from the ASX website Margin Estimator tool. But I don't know how to get historical volatility or statistical volatility for a stock or index I noticed it's stated in the top left box of your chart. Can you tell me what data source this chart is from?

XJO Value at posting: 5,418.1

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	Column 1	Column 2	Column 3	Column 4	Column 5	Column 6	Column 7	Column 8	Column 9	Column 10	Column 11
1	Put Debit Spreads expiring 15 January 2015 (24 days to expiry) XJO Last Price = 5388.4 (Historical Volatility=15.19%)
2	Spread	Bid	Ask	Mid	IV	Volume	OI	Max Return	Max Risk	Break Even	Return(%)
3	XJOL27/XQ7 4750/4725	-1	2	0.5	23%/23%	0/0	1862/1201	24.5	0.5	4725.5	4900%
4	XJOL47/L27 4775/4750	-2	2		22%/23%	0/0	442/1862	25		4750	0%
5	XJOL67/L47 4800/4775	-1	2	0.5	23%/22%	138/0	1961/442	24.5	0.5	4775.5	4900%
6	XJOL87/L67 4825/4800	-1	2	0.5	22%/23%	0/138	874/1961	24.5	0.5	4800.5	4900%
7	XJOLA7/L87 4850/4825	-2	2		21%/22%	75/0	1543/874	25		4825	0%
8	XJOLC7/LA7 4875/4850	-1	3	1	22%/21%	223/75	555/1543	24	1	4851	2400%
9	XJOLE7/LC7 4900/4875	-2	1	-0.5	20%/22%	140/223	1319/555	25.5	-0.5	4874.5	-5100%
10	XJOLG7/LE7 4925/4900		3	1.5	21%/20%	0/140	475/1319	23.5	1.5	4901.5	1566.67%
11	XJOLI7/LG7 4950/4925	-2	2		20%/21%	15/0	1589/475	25		4925	0%
12	XJOLK7/LI7 4975/4950	-1	3	1	20%/20%	0/15	342/1589	24	1	4951	2400%
13	XJOLM7/LK7 5000/4975	-1	3	1	19%/20%	315/0	9347/342	24	1	4976	2400%
14	XJOLO7/LM7 5025/5000	-1	3	1	19%/19%	0/315	486/9347	24	1	5001	2400%
15	XJOLQ7/LO7 5050/5025	-1	3	1	18%/19%	68/0	1778/486	24	1	5026	2400%
16	XJOLS7/LQ7 5075/5050	-1	4	1.5	18%/18%	0/68	668/1778	23.5	1.5	5051.5	1566.67%
17	XJOLU7/LS7 5100/5075	-2	4	1	17%/18%	35/0	5263/668	24	1	5076	2400%
18	XJOLW7/LU7 5125/5100	-1	5	2	17%/17%	100/35	1048/5263	23	2	5102	1150%
19	XJOLY7/LW7 5150/5125	-2	4	1	16%/17%	2/100	2403/1048	24	1	5126	2400%
20	XJOM17/LY7 5175/5150	-1	5	2	16%/16%	0/2	1133/2403	23	2	5152	1150%
21	XJOM37/M17 5200/5175	1	6	3.5	15%/16%	87/0	5686/1133	21.5	3.5	5178.5	614.29%
22	XJOM57/M37 5225/5200		5	2.5	15%/15%	1/87	1029/5686	22.5	2.5	5202.5	900%
23	XJOM77/M57 5250/5225		6	3	14%/15%	50/1	2010/1029	22	3	5228	733.33%
24	XJOM97/M77 5275/5250	2	7	4.5	14%/14%	25/50	740/2010	20.5	4.5	5254.5	455.56%
25	XJOMB7/M97 5300/5275	2	7	4.5	13%/14%	167/25	4238/740	20.5	4.5	5279.5	455.56%
26	XJOMD7/MB7 5325/5300	3	8	5.5	13%/13%	0/167	652/4238	19.5	5.5	5305.5	354.55%
27	XJOMF7/MD7 5350/5325	3	9	6	12%/13%	325/0	4936/652	19	6	5331	316.67%
28	XJOMH7/MF7 5375/5350	3	11	7	11%/12%	0/325	714/4936	18	7	5357	257.14%
29	XJOMJ7/MH7 5400/5375	5	13	9	11%/11%	55/0	1120/714	16	9	5384	177.78%

the Good ol' Days - Monday, page-5

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