You def don't want to short the Sep here. You don't want to sell downside strikes, even if you have to short shares, bc the skew is up/out. Vol crush happens on the event, but also as the shares drop. The neutral straddle was the 110 due to the huge vols. Oct vol below.
Yeah but I threw out there to buy the $105 call as insurance. It was $2. I'm also pricing in an $80 put insurance, it was $2 at the time too. So you're basically $8.50 into it. You lose $6.50 at $105, but above $105 your insurance kicks in.
The 80/105 strangle was 5.10 offered. Probably buy it at 5. A net 7.5 credit for all. If so, you're looking at a 100% loss on risk above 105, terminally. The 105C went off at 275x285. The 80P went off at 220x225. 495x510 offered. Shares drop and strips crush on event. Vol and price are inversely correlated within a sigma on index beta. IOW, as long as indices don't crash the vol moves inverse to index vols. So? You price the delta neutral straddle. Vols are stupid so it's going to be a lot higher than the synthetic px (share synthetic). In this case it was 111 or so. Obv this is hindsight but the DN combo was the short.
Let me look at the T&S when I made that post. I'm pretty sure it was $6.00 bid on one and $6'50 on the other. So $12.50 credit. The 80 put was 2 and the 105 was too. +/- a little. I'll look at the T&S though for accuracy. I do know the stock was right at $90.15 though. I'm pretty sure I'm close.
Yeah I'm with ya on what you're talkin' about. 100% right. It was a crappy idea either way. I should have seen that pop coming. $111 now. Ahhhh, I'll get the next one right. But... the trade as I outlined, assuming my numbers were correct, basically just went flat, so it wasn't a completely bad idea. I'll take a wash. Can't win em all. Break even is good. If it stays at or above $111ish.