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Last week I started a paper "Net Strangle" portfolio. 
I am trying to learn about options strategies,
and I thought that, based on ideas posted here, 
choosing some Net stocks that are highly volatile 
might lead to an interesting, or at least instructive, 
paper portfolio using puts and calls at ~10% OTM.

So the idea was-- choose the five highest rated stocks 
from BAGoldman's Killer Net screen, and purchase 
(on paper) a strangle position on each one.  

The first problem I encountered with this approach was 
finding options for these stocks.  
Out of the top five, I could find only one that had 
options listed (NITE).  So I went down the list and 
took the first five that had options listed at 
options.nasdaq-amex.com.  
These turned out to be NITE, AMTD, GNET, EGRP, and CMGI.

The second problem I ran into was that EGRP split 
during the week, and one of the options disappeared, 
replace by another of apparently equivalent split 
value.  I tried to make the reasonable-seeming 
adjustments in the model.


This turned out to be a great time to start such an 
experiment, since no sooner had I set up the port and 
started tracking, the "Setback" hit, killing some of 
the net stocks (I'm not sure that's what BAGoldman 
meant when he named it the Killer Net screen.)

Daily returns since inception are listed in the table 
below (hopefully the table posts legibly-- this is 
the first time I've tried to post table data, it may 
take a few tries)

The most striking thing about these initial results is 
that even though all of the stocks have experienced 
substantial setbacks, the gains on the puts have not 
kept up with the losses on the calls.  As a result, 
this looks like a loosing approach, so far anyway.


This may have to do with the high premiums on the 
options, which presumably result from the high 
implied volatility that is priced in -- 80%-100%???  
Maybe the net stocks need to lose a lot more before 
the puts win over the calls???

I would greatly appreciate comments and pot-shots 
from the option experts.


				NITE						AMTD						GNET						EGRP						CMGI	
				Call		Put				Call		Put				Call		Put				Call		Put				Call		Put
		Underlying	Oct 1999 75	Oct 1999 65	Underlying	Nov 1999 125	Nov 1999 105	Underlying	Oct 1999 135	Oct 1999 110	Underlying	Oct 1999 130	Oct 1999 100	Underlying	Dec 1999 270	Dec 1999 220
		NITE		TNWJO		TNWVM		AMTD		TAZKE		TAZWA		GNET		GQIJG		GQIVB		EGRP		QGZJM		QGZVJ		CMGI		GCBLN		GCBXD
Buy 5/19/99	$69.5000	$18.5000	$16.6250	$114.5000	$33.2500	$30.2500	$121.3130	$26.3750	$24.0000	$57.2815	$14.1875	$11.7500	$244.6250	$69.5000	$57.1250
May 20, 1999	$64.3438	$14.3750	$15.7500	$106.1250	$46.5000	$31.6250	$119.8750	$27.0000	$13.8750	$54.1875	$13.5000	$11.3750	$238.5000	$63.2500	$59.0000
May 21, 1999	$65.0000	$13.8750	$16.5000	$104.0000	$25.3750	$31.8750	$114.9380	$20.3750	$25.1250	$53.0625	$11.4375	$12.6250	$231.7500	$60.1250	$60.6250
May 24, 1999	$59.2500	$11.2500	$18.6250	$93.4375	$19.0000	$35.6250	$100.3750	$17.6250	$30.0000	$50.0000	$9.2500		$12.5000	$211.0625	$48.6250	$65.1250
May 25, 1999	$52.2500	$7.5000		$21.5000	$81.8750	$13.0000	$40.3750	$97.2500	$12.8750	$30.7500	$45.0625	$7.2500		$15.3750	$191.5000	$37.1250	$72.8750
May 26, 1999	$53.8750	$8.3750		$21.0000	$92.2500	$18.7500	$35.3750	$101.2500	$14.6250	$30.1250	$44.7500	$7.0000		$15.3750	$201.2500	$41.3750	$69.1250
May 27, 1999	$54.6875	$9.2500		$21.0000	$86.8750	$16.1250	$37.6250	$99.2500	$12.8750	$30.5000	$42.0000	$6.1250		$16.3750	$193.3750	$36.3750	$72.0000
															
Return		-22.48%		-54.73%		26.32%		-19.43%		-43.61%		16.94%		-16.54%		-44.55%		25.52%		-21.88%		-50.66%		30.85%		-17.73%		-40.47%		21.01%
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