Calendar backspread

[crazyoptiontrader]

You really need to stop typing.

A long backspread is not a long theta proposition.

And you need to stop breathing.. I mean thinking..

 

[convexx]

And you need to stop breathing.. I mean thinking..

ok sailor, show us the long thetazzzzz.

 

[newwurldmn]

Wake up people -so you'd close out before expiry-and let's say your front month short is trading at 80% vol,andf your longs at 40%? -do the maths-you have to understand that one month bears no relation to the next,and if it's a stock,you could get the stock put to you yadda yadda- use iVolatility.com's calculator and have a play with the volatility and vega, and be assured that vega is utterly unreliable

What are you talking about? All the months do trade in relation to each other.
Are you saying that negative forward variances occur on the surface?

Read convexxs explanation of the earnings example. It's good.

 

[crazyoptiontrader]

ok sailor, show us the long thetazzzzz.

You will need to come to motel6 for me to show you a loonnngggg Theeeetaaaa

 

[convexx]

You will need to come to motel6 for me to show you a loonnngggg Theeeetaaaa

I can show you a long backspread that is long theta. The SPX 1700/1950 put backspread. Long two of the 1700s, short one of the 1950s; pick a duration. It's so wide that it's a short put while conforming. Nobody would trade it as a b-spread as it's the risk on a short put.

Why are you and windleshits so intent on immortalizing your ignorance?

 

[crazyoptiontrader]

I can show you a long backspread that is long theta. The SPX 1700/1950 put backspread. Long two of the 1700s, short one of the 1950s; pick a duration. It's so wide that it's a short put while conforming. Nobody would trade it as a b-spread as it's the risk on a short put.

Why are you and windleshits so intent on immortalizing your ignorance?

Please see the previous comment..

 

[Windlesham1]

what a shame people here choose to lose by ignorance of all the risks- after 15 years of profitable trading I'm enough of trying to help people see the picture. Education is expensive-lack of education is seriously expensive-and PIN risk for the idiot poster- what did Fisher Black say about it? Do your homewrok and stop being so arrogant

 

[the learner]

what a shame people here choose to lose by ignorance of all the risks- after 15 years of profitable trading I'm enough of trying to help people see the picture. Education is expensive-lack of education is seriously expensive-and PIN risk for the idiot poster- what did Fisher Black say about it? Do your homewrok and stop being so arrogant

Hi and thanks for the reply. I hope you can share your opinion about the calendar backspread strategy.

 

[convexx]

Vega is morew fickle than you think,thjat's all and you need to know that the front month can get weird,and PIN risk is also an unknown,and if it's exercised early you can really get cleaned up-seen it happen a few times-just saying if life was as simple as relative thesta we'd all be betting the farm

There is no pin risk in a calendar-backspread.

 

[Windlesham1]

for a calendar to be optimised you run to expiry whereupon th front month goes out for zero-or you find yourself unpleasantly deep ITM nursing a loss-most people panic in expiry week- me included from time to time