Another IMCL PCCRC

How to view the entire chart:


1. Try clicking on the name of the most recent article in the column on the right. This will remove the "Archives" list.
2. Try right click on the chart itself and open it on a separate window.


I am sorry that I cannot always make the chart small enough to fit neatly on the left column. I want you to be able to see the details I want to point out.


I Hope this helps,


Juan

---------------------------------------
ICML has once again caught my attention due to a wide volatility skew between June and November options, both calls and puts.

I entered the long portion of the position at about 2 pm EST, and got filled partially. Only 15 calls and 15 puts were filled and I could not fill the rest at all. At 3 pm I cancelled the long order and entered a short straddle order for 8 calls and 8 puts. This got filled at about 3:30 pm EST.

Having a trade filled "partially" is great because it mean that your bid was exactly right at that time. The remaining of the postion could still be entered tomorrow, who knows perhaps even at a better price.

Here is the resulting risk graph with my actual fill prices:



Note the huge discrepancy between longs and shorts in their I.V.



What do you all thin?