Interesting. I just got a Bloomberg message from my sales coverage at Goldman and he suggests the following: "SPX Index Vol Idea: If you think the SPX will remain range-bound, think about putting on an iron fly. Selling SPX June09 850 straddle vs. buying a June09 800/900 strangle is a great trade. It profits if the SPX stays range-bound between 800-900. The risk-reward is attractive, with a potential payout of ~$44 and a max loss of ~$6."
Kinda fun to think about, seeing that I just said that that was my belief on Friday. Wonder if I should put my money where my mouth is and put some $$$ behind that. Now I'd just have to figure out how to put that trade on in my little E*Trade account, haha.
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