Calendar Spreads

Quote from skanan:

Yahoo has earning announcement today afternoon.

The IV on APR 30 put is 91% and MAY 30 put is 42%. I projected both of them to be about 35% after earning. The APR 30 put is at $0.75 and May 30 put is at $1.05. The calendar APR/MAY 30 put calendar is about $0.30. The profit zone is yhoo between $27.69 to $32.95.

The APR/MAY 27.5 put cal is about $0.20 and the profit zone yhoo between $24.78 to $31.07

I planned to do either 30 or 27.5 calendar. Are there any reasons not to do that beside that yhoo may move out of profit zone.

-Nick
More...

Here's a thought, YHOO at 31.30 is right near the midpoint between the 30 and 32.50 strikes. Why not bracket the stock by buying the 30 put and 32.50 call calendars? Should be able to get them both done for $.80. That way you can take advantage of the high vols on the short strikes without making a guess about direction of the underlying.

Will check the vols after the open and maybe do 10 each in the virtual account just to see how it goes.
 
Quote from nlslax:

Here's a thought, YHOO at 31.30 is right near the midpoint between the 30 and 32.50 strikes. Why not bracket the stock by buying the 30 put and 32.50 call calendars? Should be able to get them both done for $.80. That way you can take advantage of the high vols on the short strikes without making a guess about direction of the underlying.

Will check the vols after the open and maybe do 10 each in the virtual account just to see how it goes.
More...

Two issues:

1) The stock closed North of $33 AH.
2) Long calendars are long vega position, short gamma.

I'll admt that this is one is very low-risk. The vols seem absurd in APR, but it's a function of time to exp and IVs on teenies lose resolution this close to expiration.
 
yhoo is now $33.75 so my calendar can be sold back for little money. The may 27.5P is now 5 cents and 30P is 10 cents.
I bought 100 yhoo stocks AH for 32.76 yesterday so now I'm flat.

Quote from skanan:

Yahoo has earning announcement today afternoon.

The IV on APR 30 put is 91% and MAY 30 put is 42%. I projected both of them to be about 35% after earning. The APR 30 put is at $0.75 and May 30 put is at $1.05. The calendar APR/MAY 30 put calendar is about $0.30. The profit zone is yhoo between $27.69 to $32.95.

The APR/MAY 27.5 put cal is about $0.20 and the profit zone yhoo between $24.78 to $31.07

I planned to do either 30 or 27.5 calendar. Are there any reasons not to do that beside that yhoo may move out of profit zone.

-Nick
More...
 
I'm trying to bracket ebay right now.
Bought 2 APR/MAY 37.5P and 1 APR/MAY 42.5C.
Profit zone with IV collapse is $35.39-$44.38

Quote from nlslax:

Here's a thought, YHOO at 31.30 is right near the midpoint between the 30 and 32.50 strikes. Why not bracket the stock by buying the 30 put and 32.50 call calendars? Should be able to get them both done for $.80. That way you can take advantage of the high vols on the short strikes without making a guess about direction of the underlying.

Will check the vols after the open and maybe do 10 each in the virtual account just to see how it goes.
More...
 
Hey everyone.. glad I found a thread that talks only about Calendars!

Since my main trading focus is Diagonal Calendars and has been for quite a while I'm basically looking at sharing my trades in hopes of helping others and maybe getting some feedack in the process.

I've mainly been focused on OIH as I feel comfortable with its movements and I really don't see it dropping substantially in the next 6-8 months, the bid/ask spread is reasonable, and I don't have to contend with earnings, accounting scandals, crazy IV etc. etc. Also the returns seem quite good for an ETF.

I'm hoping maybe someone can point out some flaws in my trading because I've been making consistently 12-20% gains month after month, so I'm starting to feel like its some sort of blind luck. I don't want to get too ahead of myself and actually think that I might know what I'm doing..:D

Here's an example of what my trades have looked like:

BTO OCT 135C
STO MAY 165C (ATM or OTM)

My strategy is to hold the Long and sell front month to hopefully pay for most or all of it. I like the long position to have more intrinsic value and higher Delta. As OIH has mainly been going up my Short calls have finished ITM, but I have still been profitable by closing the position or rolling to the next month after some premium decay.

As time approaches my Long call I usually just roll it forward and start again.(within 60-90 Days)

What are some of the downfalls to this strategy? I've tried to look at every angle, and all I come up with is that OIH drops significantly, but then again I can write calls all the way down or roll forward and keep going. And really Oil dopping significantly during the summer driving season, I don't think so.. IMHO


Thanks for the input and happy trading!!
 
Pipe...thx for joining in the conversation. Yours is a very interesting trade...your Oct is deep ITM and you are hopefully scalping month to month ATM. Do you look at IV much or mainly delta and where you believe fair value of oil to be or to be heading?

Also your cals/diag are a bit longer term than many here that trade 2 or 3 months out. They tend to like to volatility plays so its nice to see a different approach. I guess the only fly in the ointment so to speak might be a slow decline where you lose value in the OCT and can't generate enough cash month to month? you paid $34 for OCT 135's and get abt 5$ a month which would get you to $25 by sept ...not really sure how you analyze it. Do you use ivol or chartbenders or any other softwear to analyze you trades?

Also you said you were pretty comfortable with OIH did you or do you work in that industry?

TIA and thanks for sharing...donna
 
one more question..do you do only call diagonal's? I'm looking now at a put cal OCT/MAY 155 net debt abt 4$ thinking oil is pretty high right now with an overcapacity then odds are it stabilizes and churns...perhaps even goes down a little in May and June...if May's put expires I'll almost have the calendar paid for:)
 
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