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Went ahead and closed out the complete position as it is basically at a scratch currently, my position has become almost entirely dependent on terminal distribution and I am not sure if this little rally can continue. Some excellent lessons learned here. First, I probably should have...

Out of 1 calendar at 4.70, holding the remaining one w/ the hedge.

In what will likely prove to be either a very smart move or a very dumb one, I added another 1-lot at 4.00. Edit: watching the index collapse after the close added a DITM SPY put as a partial hedge.

Long the AAPL Sep6 470/495/520 iron fly from 8.81 risk (16.19 credit). I think the chart looks like ripe for a small correction, and the currently elevated VXAPL should drop soon giving the position a nice boost. “If your actions inspire others to dream more, learn more, do more and...

In the GLD Aug30 126/132/138 iron fly from 2.72 risk (3.28 credit). "You will find rest from vanities if you go about every act in life as though it were your last." -- Marcus Aurelius

Long the SPX Aug23/Aug30 1665 call calendar from 4.70. "Concentrate all your thoughts on the task at hand. The sun's rays do not burn until brought to a focus." - Alexander Graham Bell

It might be due to changes in the implied volatility of your long calls. As being long an option you are long vega, you will be helped if IV increases and hurt if it decreases. As the stock is moving up, the IV of your (otm?) calls may be dropping, and as the stock moves down IV may be...

Out for a scratch. I expected a significant move downward, which has not materialized in the timeframe I expected. When I put on a purely directional trade like this one, I try to be quick to cut them if they aren't producing gains. In this case I was also worried about an upward retracement...

Long the ES Aug23 1660/1630 put spread from 11.75. "I firmly believe that any man's finest hour, the greatest fulfillment of all that he holds dear, is the moment when he has worked his heart out in a good cause and lies exhausted on the field of battle - victorious.” - Vince Lombardi

Thanks for the outstanding thread NoDoji! I have been chopped up on far too many occasions; now I'm starting to understand why.

Changed my mind; out of the remaining 1-lot at 38.00. Vola dropped so much this morning that the fly was up 2.00 despite ES moving against me and putting it on at the close yesterday. Entry 36.00, average exit 37.25. 2.5% return on risk inc. commissions.

Thanks!

Scaled out of half the position (1-lot) at 36.50. I lightened up as I think I put the position on a little too large yesterday relative to my account size. Also, if we see a partial retracement today of yesterday's drop, I want to ensure that I don't get shaken out. I am confident that there is...

Long the ES Aug30 2/3/1 1600/1640/1720 put fly from 36.00 risk, 2-lot.

I plan for this to primarily be a discretionary volatility trading journal, although I may make straight delta bets occasionally. I expect my “bread and butter” strategies to include butterflies (including asymmetric), calendars, and occasional verticals. Position holding time will range...

I would venture that you also should not have to pay the full bid-ask spread unless the options are very illiquid. On very liquid high-priced issues (e.g., AAPL, GOOG, SPX) you can generally get a spread filled at a few cents off mid unless it is a fast-moving market.

Solution enclosed. Make sure you're only doing the summation for the first term, then adding it to the second term at the end.

Absolutely! Thanks, Maverick. That is by far the best explanation I have ever heard of the risks in a short calendar. Unlimited, indeed...

Thank you for the explanation and sharing your experience. One question though: my impression was that, so long as the underlying is the same and the front month has not expired, you are in fact hedged. For example, if you are short a call calendar and the back month implied vol explodes, you...

Time to admit I was wrong (at least for now); out at 98.75. My real trade lost a small amount as I began at 99.2 and had taken partial profits at 100, but the call here did not work at all. Will consider reentry at 101.