Calendar Spreads

Quote from RichardRimes:

I might load up the boat on Sept 12.5 puts (short) I don't think we will see the vix at 10:eek:
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Dont know why you would possibly want to do that? Those are bid at only $.25 and they will lose most of that value very close to expiration. Not alot of reward for the risk you will be taking should the SPX challenge the may highs. It's a gamble at best unless you are convinced that the vix will spike in which case i can suggest much more rewarding trades for much less risk. For one, i much rather be a net buyer here than a seller.

In my opinion, the VIX options are best to be avoided for the time being. Just sit tight, the skews will be back when the market heads south and traders rush to hedge port downside by buying front month vix calls. Then we will do the calendars/diagonals again. Market was shaken up the last few months and those trades were raining money for those who jumped on board but the risk profile is no longer favorable as i see it.
 
Your right. I had forgotten they were only .25 :( I did decide they wern't worth it. I'll keep my eye on them. For me since I am long delta's in the overall portfolio I like the idea of selling the puts as a bit of downside insurance...if we go up the rest of the portfolio looks pretty good.
 
A final report on my IWM dual calendar, Aug/ Sep 66 and 69 put spreads.

After closing out the 66 leg, I nursed the 69, trying to get at least a 10 cent profit.

Very instructive on how vega and gamma loss can outrun the theta gain, even in the last week of expiration. Final outcome was a nickle loss.
 
Thanks for the report...I've only tried one dual calendar on a stock and didn't have much luck. A little tricky to play I think. I'm wondering tho if more than a 2 month dual would give you more time to take profits on one side then the other?
 
Multiple months means greater vega risk, along with the gamma risk. With the volty so low, perhaps a good time to try it. This is a good time for multiple month horizontal spreads, IMO.
 
Thanks for the feedback everyone.

I plan to bracket a few indexes while VIX is low. Will look at ATM or close to it with the short month 30-60 days out.

Trying to be more disciplined with using Calendars during low VIX periods and credit spreads when the VIX is up. Did OK (just OK) last few months and will try to improve my batting average going forward.
 
Hey Rally...right now you can get .40 on the 12.5 VIX... that 3.2% return in 4 weeks and given that the VIX sep expiration is after the normal expiration perhaps the vol will be up during exp week and can close for a nickel...whadayathink?

of course ATM sep SPX is predicting 10 IV
 
Quote from RichardRimes:

Hey Rally...right now you can get .40 on the 12.5 VIX... that 3.2% return in 4 weeks and given that the VIX sep expiration is after the normal expiration perhaps the vol will be up during exp week and can close for a nickel...whadayathink?

of course ATM sep SPX is predicting 10 IV
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I thought you have noticed by now that while i am a big fan of net selling premium, i dont like picking up quarters and dimes only to lose the jar later on.

In my opinion, selling the 12.5s for .40 falls right into that category of trades. :eek:
 
Quote from rallymode:

I thought you have noticed by now that while i am a big fan of net selling premium, i dont like picking up quarters and dimes only to lose the jar later on.

In my opinion, selling the 12.5s for .40 falls right into that category of trades. :eek:
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I know:) I guess I thought 3% pretty good! But your right in this case with the spx showing a 10...R/R probably not so ood
 
Quote from RichardRimes:

I know:) I guess I thought 3% pretty good!
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I dont look at things like that. The 3% isnt yours. The way i see the trade is this, risk a couple of points to make .40 and i have to wait for atleast 3 weeks to book the gains if i am right as the put will stay bid up close to the end unless we see a major selloff.

Not so rosy now is it? Will have more fun in vegas :D
 
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