Calendar Spreads

[xtrhvydty]

started an ES OTM Call Calendar spread today

+1 OCT ES 1305 C ($28.5, STP LMT at 24.00, 25.5 trigger)
-1 AUG EW 1305 C (exp 8/31) $7.5
(note ES futures about 2pts above SPX)

Game Plan:

Rangebound: With the EW exp on 8/31, there is good time decay with position theta=~+.3

Upside: Since it is OTM at 1305, a grind up will benefit from time decay; the net position is still slightly delta positive. For a quick breakout to the upside, I'll rollup the short strike and the STP LMT, maintaining a slightly positive to neutral delta position.

Downside: I set a STP LMT at the long call triggered at 25.5, LMT at 24. This leaves twice the b/a spread (.75) to close the trade in case of a rapid drop. The 25.5 figure is based on the option price on 8/16, below the current channel. The idea is that on the way down, the short call will minimize the 4.5pt drop in the long.

comments please
many thx

 

[cdowis]

Oct/Sep 52.5 put calendar in COST at .65

It was interesting that the mark was .70 and got this fill immediately as if it were at market. Closed at .60, the deltas are against me, at 12, so it's a risky position by itself. However I have a 1260/1240 SP (futures) put spread to balance it off.

 

[xtrhvydty]

Have any of you ever tried an aggressive ratio calendar spread? For example, with 10 days left, buying 3 backmonth longs, 2 current month shorts to keep DN and then scalping high theta. Could also sell the short at a different strike than the long to more closely match the deltas. At low IV this would give favorable Vega, Theta risk. Gamma risk and slight delta changes could be hedged via SPY. Any thoughts?
many thx

 

[xtrhvydty]

Interesting to note that this spread stayed perfectly hedged all the way to 1292 futures (about 1290 SPX). I left it on and canceled the STP LMT on the long. A 1305 +/-10pt range would be nice. We'll see.

+1 OCT ES 1305 C ($28.5, STP LMT at 24.00, 25.5 trigger)
-1 AUG EW 1305 C (exp 8/31) $7.5
(note ES futures about 2pts above SPX)

 

[RichardRimes]

Quote from cdowis:

Oct/Sep 52.5 put calendar in COST at .65

It was interesting that the mark was .70 and got this fill immediately as if it were at market. Closed at .60, the deltas are against me, at 12, so it's a risky position by itself. However I have a 1260/1240 SP (futures) put spread to balance it off.

Interesting that you chose an ITM...do you plan to close at Sep exp? Thanks for sharing. COST has come off the highs...do you think there is more downside?

 

[RichardRimes]

Quote from RichardRimes:7/28

due to Chewbacca's foray into options I looked at XLE and decided to try a put calendar on this.
7/27
BTO Dec 55P -2.3
STO Sep 55P +1.05

net debt 1.25

in the watching paint dry category...all those following/trading this play. I took a peak today at the roll SEP/OCT of the 55's and the credit would be .65. There is still .30 time/extrinsic value so letting it sit for at least one more week. Anyone else rolling or closing? Its been a very nice little play thus far....

 

[Bben1006]

I agree. So far, it is playing well. Here is what I got on XLE:

06/30/2006: BTO: DEC/SEP 61/68c and 63/56p @ $0.05 (debit)

08/11/2006: RLL: SEP/SEP5 58/57c and 56/57p @ 1.55 (credit)


I am now considering rolling SEP5 to OCT—and of course there are a number of possibilities. For instance, I can get now SEP5/OCT 57/57c and 57/57p for $1.05 (credit), but I hope I’ll be able to get on it a bit more ($1.5) later on this week. We will wait and see.

Regards,

Ben

Quote from RichardRimes:

in the watching paint dry category...all those following/trading this play. I took a peak today at the roll SEP/OCT of the 55's and the credit would be .65. There is still .30 time/extrinsic value so letting it sit for at least one more week. Anyone else rolling or closing? Its been a very nice little play thus far....

 

[RichardRimes]

Very nice DD Ben I think a week will give us a little more (without being greedy of course

 

[dqtmg2]

Quote from Bben1006:

I agree. So far, it is playing well. Here is what I got on XLE:

06/30/2006: BTO: DEC/SEP 61/68c and 63/56p @ $0.05 (debit)

08/11/2006: RLL: SEP/SEP5 58/57c and 56/57p @ 1.55 (credit)


I am now considering rolling SEP5 to OCT—and of course there are a number of possibilities. For instance, I can get now SEP5/OCT 57/57c and 57/57p for $1.05 (credit), but I hope I’ll be able to get on it a bit more ($1.5) later on this week. We will wait and see.

Regards,

Ben

Ben,

I was trying to look at your position and am wondering if there were some typos in your post. Was the original Sep short call the 58 instead of 68 and the original Dec long put the 53 instead of 63? I trade DDs on XLE as well, so I am very interested in how you set them up.

Tim

 

[Bben1006]

Tim

My bad. The correct numbers are:

06/30/2006: BTO: DEC/SEP 61/58c and 53/56p @ $0.05 (debit)

08/11/2006: RLL: SEP/SEP5 58/57c and 56/57p @ 1.55 (credit)

--sorry about it.

Ben

Quote from dqtmg2:

Ben,

I was trying to look at your position and am wondering if there were some typos in your post. Was the original Sep short call the 58 instead of 68 and the original Dec long put the 53 instead of 63? I trade DDs on XLE as well, so I am very interested in how you set them up.

Tim [/QUOTE