Search results

I agree, legging into the spread will cause additional risks, which may not be necessary for the success of this strategy... Walt

I'm looking for the IV to increase, as I selected options with a lower HV than IV. The bigger issue is theta working in my favor. I may consider Dan Sheridan's "guerrilla" strategy, as theta is the only cause for a quick profit. Walt

I believe the volatility crush after earnings sometimes provide an ideal circumstance for entering the calendar spread. This would increase the vega probability in your favor. Of course, one may average-in on calendar spreads if the IV continues to go lower. Dan Sheridan, one of the most...

I can't argue with the fact that a ratio calendar spread would favorably impact gamma... I'll certainly try to get a better grasp on the risk/reward probability impact of your suggestion. I guess that I'm banking on the favorability of the vega & theta impact. I'm not terribly concerned...

Your point on vega impact is well taken; however, I'm afraid of losing my delta neutrality, although I can hedge it against buying/selling the underlying. Since I'm doing a call & a put calendar spread (strangle swap), it could become very complicated/expensive to continually adjusting my...

Hi Div Arb, I intend to dynamically hedge and close the spread once my profit thresholds are met. I'm considering a leg-in/average-in method for getting better spreads, but I've yet to test it. I use various IV/HV analysis tools (OptionsXpress & IB) to assess appropriately low IV...

Blackjack & dmo, Thanks for your input... regarding blackjack's concern about an increase in IV, I think dmo addressed it perfectly. This strategy absolutely wants/needs the IV to rise. That's why a key condition to the trade is to enter the spread with a low IV in effect. dmo, I...

Hi OddTrader, Please be reminded that the returns I mentioned were Returns on Investment, not Returns on Assets. Also, the 20% - 40% per month is after the incubation period of about 3 - 4 months, and it would be against the margin invested. Walt

I'm sorry cdowis, But I don't think adding vertical calls ITM would benefit this strategy. Although it may bring in more profits, it also provides more risk. Walt

Thanks IV Trader, any thoughts or warnings... Walt

I must admit that I feel a little selfish, but I'm compelled to share my strategy for the following three reasons: (1) I've benefited from some of the information that others have shared on this forum, therefore, in return I should "give back"; (2) The Lord Himself stated that "it is better to...

Perhaps I should start a new thread dedicated to long term or leap calendar spreads. Given that this could provide a 60% ROI, I'm surprised there aren't more contributors to this idea... Walt

Hi Steve, thanks for responding; however, I'm not planning on a diagonal calendar spread, but a horizontal calendar spread - long term or leap (i.e. Dec & Jan expiration dates). Depending on the pricing, I may enter a front month as little as 3 - 4 months away, especilly if the IV is much...

Thanks, I was only familiar with HV... any thoughts on the long term or leap calendar spread concept??? As much as ET is renown for constructive criticism, I'm surprised that nothing negative or any words of caution were offered... I guess the long term calendar spread must be a pure...

Thanks for your response IV Trader, What are your thoughts on the concept of long term or leap calendar spreads? For example, selling a Dec 08 call ATM and buying a Jan 09 call ATM; as well as selling a Dec 08 put ATM and buying a Jan 09 put ATM. Am I missing something other than bid/ask...

thanks Steve... Have you entered into leap or long term calendar spreads before? Looking at the theta impact of how the spreads diverge over a few months, I'm suprised that not many people are discussing it... Walt

leap or long term calendar spreads anyone??? Also, your views on entering a reverse calendar strangle swap on high IV stocks right before earnings, with a near term expiration??? Thanks, Walt

Does anyone have experience with leap or long term calendar spreads? The only drawbacks I observed was the reduced liquidity and the bid/ask spread. Nonetheless the diverange cause by the Theta can be very profitable. Specificially, I'm planning on entering a calendar spread about 6 months...

thanks for the advise guys... Walt

I'm sorry Andy, but I don't have the details any longer, but it was a crude oil spread between June & August. However, hopefully you can help from a conceptual point of view. How do you manage a spread that goes from contango to backwardation, or visa versa, when you've already entered your...