After looking at the price and the low volume/poor liquidity in the Jan07 JPM puts, I decided to stick to QQQQ puts as my bear play. Bought some Jan07 37s. I want to be able to hold into Q4-2006. If the QQQQ reaches 37, my collection of various puts should increase >= $10,000 per 1 point drop on the QQQQ. I have some at the money, some slightly out, and some pretty far out of the money. These low strikes are long term, so if the QQQQ starts down in earnest it will be worth having them. I guess if volatility picks up, I should gain delta on these quicker than I would otherwise expect. If we get down to 34, I am making $25,000 per point on the QQQQ. The QQQ (forerunner of QQQQ) came kissing close to 20 in the fall of 2002,where it halted its long descent from 110 or so during the late great mania. It then turned around. and made it 37 or so by Christmas 2003. Since then it has only managed to add 3 or 4 points, depending on what day you look.
My money says this is one tired dog, and this is the infamous Year 2 of the US Presidential election cycle.
Anyway, if it works for me, I can buy a nice Seattle condo and get the hell off the farm. If it doesn't, turnips anyone?
Ha