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Most of your posts to this thread seem to have been done late at night. You start with your "monkey" calendar without the monkey, and right away you get rid of the vertical and go with a straight calendar. Then you forget and think that you still have the vertical. You don't report the...

What is the "means" you are talking about? You haven't done any adjustments. You started with a calendar and a vertical, so where are your adjustments?

Quotes from cdowis: What difference does it make whether it is a "test". Whether test or real, you are losing money. Why don't you tell us what the 135 calendar is worth? I told you yesterday what it was worth, and you didn't disagree. So that means you lost money, or are you now...

You must be drinking some kind of potent juice to think that your IBM 135 put calendar is profitable. You put it on for a 3.40 debit (if you were lucky) on 5/30 and it is now worth 2.40. Wake up. You have lost at least $1 or about 30%. You should have adjusted it days ago. If you had...

IB's Optiontrader is a good platform for ES options. They are extremely liquid and easy to do, and you can also see SPY options on the next tab. A notable difference will be how the options are settled at expiration. If you don't go to expiration then the only difference will be the value...

Although the linked interview mentions the BDT Model, it does so in passing and says practically nothing about it, so it is not possible to comment on it based on the interview. Perhaps if you found another source ... ?

This is an IBM trade -- not SPY. You seem to be saying that the calendar is not a good short term hedge but is a good long term hedge. I don't know whether that is true, or if it is true whether it would also be true for a half-dozen other hedge positions. The thing about hedges is that...

The idea of combining a calendar with a short vertical for greek neutralization is interesting and should be explored. db I don't know how the double calendar got into the discussion. Are you talking about an opening trade or an adjustment? In any case to be consistent with the existing...

Talking about the resulting greeks is good. db I agree that this would work toward neutralizing vega and delta exposure. You know traders who routinely add the calendar to their threatened short verticals? Interesting, and this does make some sense looking at the greeks...

Some of your statements are puzzling to me, so I have to ask what you are doing. Perhaps you can clarify. You don't like ICs, but you plan on having one in this trade by legging in if the market goes down. So do you now like ICs if they are in combination with a calendar? It would make...

Your plan was to make money on the downside, but adding the calendar? I wonder if you realize that now if you are right and the market goes down, you will no longer make any money on the downside, unless through vega? It seems you just got nervous and wanted to hedge an upside gap move over...

Real numbers are also accurate numbers, which yours are not. You don't say when you attempted to copy these, so perhaps next time you could say when you got your numbers. It is best to use EOD numbers so others can see them also, and you should triple check them for accuracy. For example...

dmo -- a lot of my stuff is done with index futures also, so I know what you are talking about and agree with you. In fact, your post brings out the point that hedging the calendar gammas also neutralizes the thetas -- not desireable. All we would have left is the long vegas, so as you...

"Fine"? That would imply that you realized you made the wrong assumption. But instead you continue to press forward with your mistaken critique of a short calendar based on your continued wrong assumption. So I guess I have to make it crystal clear and spell it out. His calendar = long...

Your critique is flawed. Why would you assume that a calendar spread is opposite to what it is?

dmo, I agree with all of what you say in your excellent comment, which generally pertains to the effect of time on greek neutrality. However, IMO a more important reason that hedging with calendar spreads is so difficult is because the the variance in gamma with time. Let's forget about the...

Johno, it seems that the "castle secrets" are being kept with the authors of these papers I reference. One guy moonlights for Goldman and writes about the theory, testing results, and conclusions rather than practical examples. There are formulas given for finding these hedging options but it...

I'm not sure what you mean by this comment. Hedging is done off the greeks, meaning using the greeks. I don't know any other way. I think what you are hinting at is that some methods of hedging require a lot of capital which reduces the ROI. I assume you are getting delta neutral or...

This article has nothing to do with the subject of this thread (Monkey Calendar) so you should start a completely different thread for it. If you think the article might already been posted, it is quite easy to search for that. A synthetic put calendar being equivalent to a collar trade...

Yes that is a good question. The call calendar would be indicated. A more serious problem is the use of the Jul/Aug calendar rather than the Jun/Jul calendar. Similarly the short vertical should be in June rather than July.... if time decay is at all important here. I've looked at the...