Topic Archives: Trade Ideas

06-25-12 LPNT trade idea

Trade idea I believe that there is an opportunity to buy LPNT 3.5% converts due 5/15/14 ahead of the Supreme Court ruling on the proposed healthcare reform. The converts trade at 103.25 versus 37.6. Using 350 credit, the converts imply 27 vol, theo delta of 30 and premium of 42%. A trade set-up on 27 […]

06-15-12 ONXX trade idea

Trade idea I like the ONXX 4% converts and would set it up on a 70 delta and sell 30 of the 7/21/12 44 strike call options at $4.3 to get to a 78 total delta. Using 450 credit spread I get 38 implied vol compared with Jan 2014 options implied vol in the low […]

06-10-12 TIVO trade idea

Trade idea: Long 1m Tivo 4% converts due 3/15/16 on 53 delta, short 200 Jan 2014 12 strike call options at 90c. The converts trade at 108 vs 8.17. Using 500 credit spread, the converts imply 35 vol compared to 46 vol for the call options. Using 500 credit spread and 40 vol, the implied […]

06-04-12 CRM

Salesforce.com (CRM) 0.75% converts due 01/15/15 trade at 164.25 vs. 131.5, which using 150 credit spread implies volatility of 43. Options implied vol 2014 is much higher at about 50. The converts have a theo delta of 87. We can put this trade on a slightly higher delta of 90 to better capture the downside […]