Wednesday, September 17, 2008

SKF Call Spreads

I have a big SKF trade on right now. I am long, for example, Apr 09 130 calls and short the 180s.

However, because of the potential counterparty risk in SKF, I also own some SKF 65 puts; enough to make me whole if SKF were to fail.
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2 comments:

  1. SGSeptember 17, 2008 at 5:54 PM

    what counter-parties are you concerned about?

    Do you feel Proshares is a risk, or does it have to do with the underlying swaps making up the index?

    Do you have any specifics?

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  2. CPSeptember 17, 2008 at 5:56 PM

    I have not been able to determine who the counterparties are. That is my concern.
    For ~$400, I bought $65,000 worth of protection on my position. Seemed like a reasonable thing to do - one less thing to worry about.

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