Boom boom boom boom.
Best June on record, for Toronto real-estate.
Update: No, I don’t really believe, that boom times are here.
Archive for July, 2009
Venga Boys are Back in Town
Monday, July 13th, 2009Haymen Analysis
Sunday, July 12th, 2009This week’s piece by John Mauldin referenced some work by Haymen Capital. Interesting.
(click to enlarge)
I’m curious why they neglect to illustrate foreign sources of capital.
Crane Co. on My Radar
Sunday, July 12th, 2009While I was surfing around the holdings of some of the 4 most popular “water” ETFs…I came across Crane. A company I hadn’t check out yet. Which is by no means a pure play, but they do have some interesting trends going for them, in the other sectors they operate. Right now, about half their sales come from fluid handelling. And we’re talking all fluids, not (just) water. I found their payments / point of sales / vending machine offerings to be something worth considering investing in for macro reasons. Anyway, you can go check out the annual report yourself.
Holy crap that’s big. That’s what she said.
Global Reflation, Domestic Stagnation, Flight to Safety Hedged
Saturday, July 11th, 2009Short OTM calls on ES, rolling to keep some delta, opportunistically covering to resell higher.
Long bullish call spreads on long term oil, selling front month to cover some extra theta and delta.
Short the 30 year Treasury, hedged with OTM almost ATM put sales to keep theta decay as high as possible and delta less than 0.5, but always more than 0.35.
Ratio Spread Greek Sensitivity Cheat Sheet
Saturday, July 4th, 2009After 1000’s of option trades, one begins to have an inate understanding of how options will move relative to volatility and the underlying, as well as the passage of time. With basic linear interpolation, and a full option table, one can approximate expected prices. Nevertheless, there is no substitute for quantified mathematic models.
So, I’ve been meaning to put together a cheat sheet of sensitivities. Armed with my new MoneyPrinter 12000 and Mathematica, I rendered some surfaces. I plotted the sensativities for a 100 call option (red), 100 call option and short 105 call option (green), 100 call option and short two 105 call options (blue)…against a time axis and underlying price. So…I figured I’d share. IV @ 30%, Dividend at 1%, and Intrest Rates are 5%.
Delta
Gamma
Rho
Theta
Vega
If you’d like another combo plotted for a certain greek, or any of these from another angle…let me know.