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Where Is 'Carry' in Your Options Chain? | Trading Deep Dive

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Breakdown

0:00lesson

Adjusting for skew, duration, or size in rising rates

  • Skew is market-determined, not trader-controlled
  • Duration and size are trader-controllable factors
  • Extend duration by trading longer-term options
  • Size small to manage risk
2:01lesson

Duration vs. long duration stocks

  • Duration refers to time to cash flow recovery
  • Long duration stocks are more sensitive to rates
  • Apple is short duration, speculative tech is long duration
  • Russell 2000 companies have weaker balance sheets
3:34lesson

Strategic positioning in higher rate environment

  • Avoid short premium positions in indexes
  • Seek short delta exposure in Russell 2000
  • Trade long put spreads near key levels
  • Avoid speculative tech in higher rate environment
5:16lesson

Why options reprice with rate changes

  • Option value is based on forward stock price
  • Carry cost is embedded in option pricing
  • Higher rates push calls up, puts down
  • Combo price reflects cost of carry
7:35lesson

Carry and put call parity

  • Option holders don't receive dividends
  • Carry sits within put call parity
  • Interest rate changes affect call/put values
  • Calls up, puts down with higher rates
9:28lesson

Catalyst timing and option pricing

  • Options reflect market's view of stock movement
  • Cheap IV doesn't mean mispriced
  • Event timing is not necessarily missing
  • Compare term structure before/after event
11:12lesson

Efficient markets and pricing

  • Markets price in all available info
  • Non-material info may also be priced in
  • Look through term structure for event impact
  • Historical volatility can inform trade decisions
12:53lesson

Liquidity in spread trading

  • Liquidity of long leg affects short leg
  • Trickle-down liquidity in spread trading
  • Price discovery in thin legs
  • Exit risk changes with liquidity
14:55lesson

Trading schedule and contact info

  • Tasty Trader streams on specific days/times
  • Questions can be sent to research at tastylive.com
  • Complaints can be sent to tpttastylive.com

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