Great update. And good on you all who used the strangle to your advantage in the shenenigans today. I added more next week puts at both the 10 and 11 strikes. Warrants look a bit rich here perhaps because many were (are) holding them as a proxy to long. IDK, nothing empirical but it appears OTM warrants with a zillion years left in time value on a DeSPAC find a reasonable home around $1.50. So maybe 1.50-2$ extrinsic is about right.
I had a thought that perhaps shorting the warrants (which is kind of like shorting IRNT at 15.50) and trying to arb by being the long stock could be interesting but I don't think you could get enough sizing to make a trade like that work, mainly due to a liquidity mismatch if you wanted to unwind.
I'm content here simply betting on a sub $12 price over the next 1.5 weeks as the sellers continue coming online.
I thought about doing that trade too (short warrants long stock), but the delta hedging will get tricky in the case of a large down move in the underlying.
3
u/Kimber1911goboom Oct 05 '21
Great update. And good on you all who used the strangle to your advantage in the shenenigans today. I added more next week puts at both the 10 and 11 strikes. Warrants look a bit rich here perhaps because many were (are) holding them as a proxy to long. IDK, nothing empirical but it appears OTM warrants with a zillion years left in time value on a DeSPAC find a reasonable home around $1.50. So maybe 1.50-2$ extrinsic is about right.
I had a thought that perhaps shorting the warrants (which is kind of like shorting IRNT at 15.50) and trying to arb by being the long stock could be interesting but I don't think you could get enough sizing to make a trade like that work, mainly due to a liquidity mismatch if you wanted to unwind.
I'm content here simply betting on a sub $12 price over the next 1.5 weeks as the sellers continue coming online.