Calendar Spreads

[RichardRimes]

Quote from Prevail:

entered a double diagonal today.
short aug 1225px1335c strangle; long sep 1160px1370c strangle.for .2 debit.

I'm looking to put this on paper trade to follow but computer says 1160 is not tradable. then I looked and there are no 1160(sept) puts...did you mean 1165? thanks

ps. very interesting trade this close to aug exp..essentially your getting a long call and put for sept very cheap...then you can scalpe all you want come post aug...very nice..using 1165 I'm getting a debt of .30

pps.oops accidently sent it in at the natural and got debt of 1.20 glad I did this on paper. I can't yak and trade at the same time

 

[rallymode]

Just giving an update on the vix bets. Stat vols are falling off a cliff and the horizontal skew has flattened dramatically turning any long calendars into big winners this month. A fellow trader had a big nov/aug 15 calendar position for $.50. It was offset today for $1.6 after a week or so. I know some of you put on some calendars a couple of weeks ago so you must've done comparably well.

Going forward, as i mentioned a couple of weeks ago, i still favor the risk profile of the +delta/gamma diagonals given the vertical skews which are still quite pronounced.

Good luck guys. Will do an update on my diagonals when vix aug options expire.

 

[yip1997]

Quote from Prevail:

entered a double diagonal today.
short aug 1225px1335c strangle; long sep 1160px1370c strangle.for .2 debit.

Pervail,

The long/short strike difference is 35 points apart. Is that a reason for it?

 

[Bob Lawbla]

Quote from rallymode:

Just giving an update on the vix bets. Stat vols are falling off a cliff and the horizontal skew has flattened dramatically turning any long calendars into big winners this month. A fellow trader had a big nov/aug 15 calendar position for $.50. It was offset today for $1.6 after a week or so. I know some of you put on some calendars a couple of weeks ago so you must've done comparably well.

Going forward, as i mentioned a couple of weeks ago, i still favor the risk profile of the +delta/gamma diagonals given the vertical skews which are still quite pronounced.

Good luck guys. Will do an update on my diagonals when vix aug options expire.

Very interesting. Tenor skews will overwhelm spot vol decrease approaching expiry, rewarding long vega, long calendars.

Question: Will tenor skew stay relatively static as a function of the imbedded forward variance(or other factors at play)?

 

[RichardRimes]

Thanks for the imput and charts Rally...I'm just trying to get my feet wet

 

[Prevail]

simply getting the debit as small as possible. thnx.

Quote from yip1997:

Pervail,

The long/short strike difference is 35 points apart. Is that a reason for it?

 

[RichardRimes]

Quote from RichardRimes:

Today:7/24

STC 5 OIH Jan 150 calls @ 6.80 debt
STO (20)140Aug ..credit 2.75
STO (20) 125/115Putspread credit 2.15

did this before the OIH pop so made a little with the put spread and lost with the 140. we'll se how Aug goes...

on 7/25 rolled up the 140Aug call to Sept 145 for a .45 credit

today closed the put spread..BTC 125p debt .30

STO 140/130 Sept P credit spread net credit 2.45 decided to tighten it up with OIH now over 145.

 

[rallymode]

Quote from Bob Lawbla:



Question: Will tenor skew stay relatively static as a function of the imbedded forward variance(or other factors at play)?

In my opinion yes. I believe so. Unless the sp makes another run for the highs and stat vols stabilize.

 

[RichardRimes]

Quote from RichardRimes:

on 7/25 rolled up the 140Aug call to Sept 145 for a .45 credit

today closed the put spread..BTC 125p debt .30

STO 140/130 Sept P credit spread net credit 2.45 decided to tighten it up with OIH now over 145.

with OIH chugging higher this am I rolled the Sept 145 to Oct 150. this time a debt of .05 I've re-established the calendar with the Long 150 still Jan...Not feeling too wild about the trade but at least the Bull put credit spreads are doing well.

 

[RichardRimes]

Quote from RichardRimes:

Today: 7/24

STC 5 OIH Jan 150 calls @ 6.80 debt
STO (20)140Aug ..credit 2.75 STO (20) 125/115Putspread credit 2.15
did this before the OIH pop so made a little with the put spread and lost with the 140. we'll se how Aug goes...

8/01 BTC 125AugP for .30 Booked profit of $2.80 ( 3.10-.30) X 20.. $5600 the 115 pts will expire worthless(I think)..loss will be .95X 20 ($1900) allowed the July 150 call to expire +5900 and BTC 5 Jan 150..net loss(4600)

8/04 BTO 10Oct 140P @ 8.60

WHY?

Current Position: @=Mark

+20 Aug 115P @.07 (1750)
+20 Sep 130P @2.925 (1950)
-20 Sep 140P @6.55 (4200)
+10 Oct 140P @8.65 50
-20 Oct 150C @5.95 8960
+20Jan 150C @10.45 (11100)

Delta 86.44 Gamma 1.86 Theta -35.9 Vega +459

so I'm losing abt $36 per day and the biggest risk is I'm long vega so I would like some increase in volatility. I bought a put to be a little less delta long. The official option term of my current position I believe is called a Clusterf*ck

when I looked at the TOS exp of margin which describes my position (as they see it). I have :

a Long Oct/Jan (20)150 call (cal) vertical
a Long Sep/Oct (10) 140 Put cal
a Short (10) Sept 140/130 vertical
a Long (20) Aug 115Put
a Long (10) Sep 130 put

The overall risk in the position is still outside my comfort zone but OIH does move dramatically at times and the near/intermediate bias on my part is that we will not see dramatic drops in the price of Oil thus the oil services should continue to have decent profits.

I'm vowing not to mess with this mess until mid Sept.