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Delivering Delta Neutral

Published in Automated Trader Magazine Issue 15 Q4 2009

Joseph Corona, Director of Strategic Planning at ConvergEx’s LiquidPoint, profiles a volatility trade executed using an advanced option execution algorithm capable of handling both the option and stock legs of the trade simultaneously. 

The Scenario: It is early June 2009 and a trader at a mid-sized US proprietary trading group is scanning the market for possible volatility trades. The trader's attention is drawn to a significant patch of resistance in Google's stock price around 444-449 (see Figure 1). Google failed to break through and close above this region during an abortive rally in the long downtrend in late 2008. This is also the first time Google has approached this zone (which also represents the t

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