Saturday, March 21, 2015

April is the cruellest month

Lew Burton (one of those mathematical finance professor types) just tweeted:

Well I guess we might find out how much short gamma there is around the $44-5 in . On the surface it looks insane. Moar popcorn plz.

Lew it seems is a good guess.

Ackman has a big (off market) put position expiring in April in the middle of this range.

Specifically he has 12600 April put contracts at $44.50 and another 20,000 at $44.99.

This is a bit over 3 million shares.

If you are short gamma April is the cruellest month.



Anonymous said...

John...are you implying market manipulation?

Anonymous said...

John, when you say "off market" what do you mean by that? Also, how do you know what Ackman's position is?

And get some sleep, it's like 3:30 AM in Sydney right now.

Anonymous said...

In listed or OTC strikes?

No real OI in listed strikes.

John Hempton said...

Yes I konw Billy's off-market OTC position.

And it is only 12.30 in China. I am in Shenzen...

Oh, and I visited a few Herbalife clubs in China... but that is another post...


Anonymous said...

March is pretty cruel too if you're still short RTRX...

Anonymous said...

John, do you have any thoughts on NTP? It's developing some RE in Shenzen...currently selling below net cash.

Anonymous said...

I have a question.

I do not have a position either way.

When bithers accused Barack Obama of not being born in the US, it's obvious why Obama did not immediately disprove this. It benefited him to a certain extent to have these nutters out there on the airwaves.

Herbalife is being accused of being a pyramid scheme. You cannot argue in any way that it benefits them not to disprove this immediately. This clearly affects its ability to recruit new people.

Couldn't Herbalife make this go away in an instant if they were really legit?

Couldn't they prove beyond doubt that they are not a pyramid scheme?

What has Herbalife done thus far?

Anonymous said...

The answers to your question are 1) yes, they could prove it by counting and disclosing retail sales data and 2) they have instead chosen to attack accusers and throw disproportionately huge lobby dollars around.

Anonymous said...


Can you write a blog post explaining what just happened here with Herbalife? You are an options guru. I need help understanding.


Anonymous said...

John - how can one reconcile these three recent public statements by Bill Ackman:

January 2015:
(Ackman states Pershing Square's breakeven point is in the low 30s)

March 2015:
(Ackman states Pershing Square's breakeven point is in the MID 30s)

March 2015:
(Ackman states that Pershing Square has not traded around the position)

How does your breakeven point change if you haven't traded around a position?

Anonymous said...

You know what the short case needs? Another six hour presentation by Bill Ackman.

Anonymous said...

Was Nixon as bad as all you Lefties say?

He advocated for the Civil Rights Act on 1957 and was friends with MLK, he gave you the precursor to the EPA (Council on Environmental Quality), opened China, ended the draft, Nixon hated pointed headed intellectuals, kudos for that and growing up dirt poor and becoming President of the USA-impressive.

John I am surprised you believe in red state/blue state.

Post Script: The first birther was Hillary Clinton, look it up, as First Lady she did have a tendency to snoop through peoples passports-see Craig Livingstone 1996.

Strange enough, if it is Hillary v Jeb, I will vote for the old lady, she will spend the next four years erasing Obama.

Anonymous said...

April was not a bad month to be short gamma at all.

You would have actually made money.

Connelly Barnes said...

Interesting. Options are great but I never learned all those Greek variables. It seems easier and more robust to just price them based on fundamental value.

Anonymous said...

"How does your breakeven point change if you haven't traded around a position?"

Because there is more than delta to an option lol

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