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Delta Interval Research Note

MIN MTR RESEARCH

November 21, 2008

1 - Research In Motion Ltd. (RIMM) MTR Report

Min 12-m. Monthly Trading Range: $13.86,
Average 12-m. Monthly Trading Range: $26.77,
Month of the Min 12-m. Monthly Trading Range: Apr-08,
We enter straddles, strangles, and double diagonal positions.

2 - Price Behavior Graph

3 - Options Trade

This month we work with AAPL, POT, GS, AMZN, MA, and RIMM; volatile stocks. Each stock position has 2 parts - a straddle and a double diagonal. The straddle is aimed at capturing over +10% if a stock acts volatile during the period. The double diagonal is aimed at capturing over +10% if a stock does not show extreme volatility (such as aggressive $30-$40 directional moves).

Since the time value decay in options accelerates the most during the last week of 1-m options' life, the last week is when we’d typically move into a positive performance territory. Up until the last week of the month, we’d fluctuate between -3% to +3%, that seems to be the norm. We buy one contract of Jan-09 RIMM 45 options straddle (note: trade Jan) and a combination of long Jan-09 RIMM 40Call /50Put options strangle and short Dec-08 RIMM 55Call /35Put options strangle.

This means we are indifferent to the direction of the stocks move, even though there is a high chance of a correction downward or a sudden rally. We monitor our directional risk by delta and our time exposure risk by theta. The market fluctuates enabling us to achieve a target return of +5-10% per trade within a monthly period. (learn more)

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