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RParrBIRD@xxxxxxx wrote:
>
> RealTraders:
>
> Last week on Thursday I wanted to go long the S&P's but to mitigate the
> effect of volatility and downside risk I entered with a bull spread in the
> July calls rather than take an outright futures position. With the
> underlying at around 890 I bought an S&P 910 call and sold a 940 for a debit
> of about 8.30. Delta on the position was around +25 meaning it would move at
> about one quarter of the speed of the future. Late in the day after a nice
> move up I decided to not be greedy but to go ahead and get out with my profit
> I had then of roughly $1000. So I entered an order with my broker to sell
> the spread at net credit of 10.40. The market continued to move up the
> remainder of the day and the spread closed at over 12.30. After the close my
> broker told me "unable" on the fill.
>
> I couldn't figure why it didn't fill but since the market was acting quite
> bullish I figured it was a mistake somewhere but as the position had gained
> in value I wasn't going to cause too many waves about it.
>
> So Friday the market again surges up and I again place my order to exit late
> in the day at around 13.00 (about a $2500 profit). Again the market surges
> well above my exit point and the spread closes at about 15.00. And agiain
> the result is "unable".
>
> What's going on here? Volume on each option is not that thin (200 - 400
> contracts per day on each option) and the market had moved well beyond what I
> needed to get filled. Any Ideas?
>
> Rich Parrott
Rich,
To answer your question, I need to know how you are determing the
current market value of the options involved. Are you looking at last
price or bid/ask, etc.? What exchange and vehicle is this? CME or CBOE?
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