Calendar Spreads

Quote from DonnaV:

http://www.elitetrader.com/vb/showthread.php?s=&threadid=49586&perpage=6&pagenumber=796

Rallymode..do you use chartbenders, ivolity or any other service to find candidates or do you have a stable of stocks you follow?tia
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donna,

I do both. I have a watchlist that i follow and i use a volatility scanner. Usually the stocks that you find with IV skews before earnings will have those skews every earnings season. These are the best free volatility skew finders on the net.

1. ivolatility.com
2. optionetics.com (bottom right corner tab for options volatility ranking, click on expensive)
3. Interactive Brokers IV skew market scanner (for customers only)

optionclub.com was the best one out there for a while but it shut down.

Volatility skew between the two months 10-15%, ideally 20% but very hard to find on nondrug stocks. Oh yeah, whatever you do, dont do calendars on biotechs or drug companies. :D

Also, when picking out IV skew based calendars please bear in mind that the front month options are more expensive for a reason, most of the time its pending earnings or major news. With that in mind moves of 5-10% are a norm. However, the trick is 1. trying to find that stock that wouldnt move much, or 2. picking the right strike 5-10% away. If you follow the same companies earnings season after earnings season it becomes easier to work with this.
 
Quote from nlslax:

Haven't tried it. Does it work for you?
Was hoping OX or TOS had a way to scan.
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TOS doesn't have a scanner particularly for IV skews however it does have spread hacker which give you candidates with higher probability for success...I actually follow certain stocks at this time don't use scanners. However when I'm alerted to a candidate have been following vol's pretty closely...also using the IV to help pick the time to roll or close. For now TOS has all the tools I can effectively use. Down the road I may check out the other sites.
 
Quote from rallymode:

donna,


Volatility skew between the two months 10-15%, ideally 20% but very hard to find on nondrug stocks. Oh yeah, whatever you do, dont do calendars on biotechs or drug companies. :D
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:D I've given up trying to even trade biotech's (I did one a long time ago and not a happy ending:eek: ) I do actually have PFE but sell the straddle on it. Have also traded MRK with reasonable success. I'm discovering the best candidates ARE the ones with fairly stable IV's (other than as you suggest very short term vol plays) and larger $$wise stocks.
 
Quote from DonnaV:

Quote from DonnaV: FEB 13

SHLD... rolled the Feb 115 to Mar 120 at 5.10 leaving a diag for my June 115 and cal for June 120...reason...stock could go up in Mar at least enough to justify the upward roll have reduced debt now to 1.70 for the 115's and 4.05 for the 120's with two rolls left.


FEB 22
SHLD
In the past week the Mar 120 puts had shrunk to the pt that I decided to go ahead a roll 10 Mar 120 to April...for a credit of 2.20...leaving 5 to possibly roll later (to April 115)
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bump
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Quote from DonnaV:

bump
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ok can't find it in the journal but Mar 22 rolled SHLD Apr 120's to Apr 125's..I know I logged it in... anyway...15 contracts...credit $1.0

Today:sold 15 SHLD May 125put +.85
buy 15 SHLD Apr 125put -.10 net credit is .75

Shld is continuing to go up so now I have a diag with a time component. The Apr 125's were selling for a .10 and felt getting the added theta for May was worth the early roll.

Curent position

-15 SHLD May 125puts mark .90 (figures)
+ 5 SHLD June 115p mark .85
+10 SHLD June 120 p mark 1.45

delta 22 Gamma -9, + Theta 11 and vega +27
 
Any opinion on today AMD calendar for the earning ?

I'm thinking about selling APR 35 and buy May 35 put. IV of APR 35 is 65% and May 35 is 45%

I estimate IV of APR 35 to drop to 43% and May 35 to 40%. The profit zone would be when stock is between 32.50 - 38.20.

-Nick
 
Hi Nick,
I bracketed AMD last week when it was around $34. If the calls remain ITM I plan to close the spread by Tues or Wed.

.AKDDG AMD APR 35 Call $1.30
.AKDEG AMD MAY 35 Call $2.00

.AKDPZ AMD APR 32.5 Put $0.80
.AKDQZ AMD MAY 32.5 Put $1.40

The current mid on your 35 put spread is .50, with the short month covering ~70% of the long month. Looks great, much better entry than mine. I think I might piggy back on your trade.
 
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