Nice execution

Although I was not the trader, just the executor, I find it quite an interesting trade for my education.


It is 8.50AM [10.50 ET] on July 1st 2009. Paulo asks me for quote in a long put at 850strike for Q expiration. Then he finances part of the long position selling a call quite away of market price: 1010. While this was being executed ESU9 quote was around 928.

buy one 850 put at 11.00 points, which had a delta of 0.97.

sell one 1010 call at 3.5 points, which had delta of .98.




In the way out:

sell one put at 18.00 points. delta of 1.0017 [negative of course]

buy one 1010 call at 1.85 points. delta of 



The market was falling 2.89 percent and the position was closed. [very poor jobs report if you get philosophical]


Questions I should answer:

1) How could we calculate the alpha of this trade?

2) What was the risk/reward ratio?

3) What was the stop loss? if any existed.

4) Is this the name of “syntetic short” ok for this position?

One comment

  1. diego joachin · July 2, 2009

    I Forgot to say that the close was 24 hours later at 8.55.09am [put] and 9.08.59am[call], this is chicago time, take one hour out if in guate.

    I find interesting I have posted just good expiriences, very few bad ones, that means I am doing small in my education.

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