TLT - Last Price 94.86
Target Price 97.94
Target Date 14/07/2005
chains can be found on http://www.cboe.com/DelayedQuote/QuoteTable.aspx
IV: see chart below
wayneL
23rd-June-2005, 12:48 AM
calls @ 7% IV
puts @ 14% IV
To take advantage of the non parity we can use the EFT(stock)
A reversal would be a risk free trade
short EFT
sell $96 july/aug puts
buy $96 july/aug calls
in equal position sizes....capital intensive but risk free
Another risk free alternative is a synthetic vertical
short EFT
sell july/aug $97 calls
buy july/aug $95 puts
Again capital intensive but risk free....more profit at target price
Otherwise, calls are that cheap, a straight out buy would be OK
Would not sell puts naked as a surprise to the downside would hurt...and...are the put IV's saying something? What if the Fed surprises with a bigger hike? Tankage!......Much much less risk than an ordinary stock though.
