Calendar Spreads

Time to go back to school:

Using paper trading in TOS, I placed three trades in QQQQ: calendar, double diag, and ATM diagonal. I made all three trades to have similar characteristics (greeks, breakeven, etc). Want to see what happens over the next couple of weeks to expiration (using the Sep quarterly against the Oct).
 
Here are the results for today (couple of days after placing):

showing type, delta, gamma, theta, p/l

cal 4.4 -87 5 +5
dd -7.7 -93 6 +10
diag -44 -81 6 +5

The diag is not quite the same -- used sep5/dec, and while the others are oct/sep5. (sep5 means a quarterly expiration). But this gives me a risk curve more similar to the other positions.

I don't know whether the differences in gamma is significant.
 
Quote from RichardRimes:

9/11 finally did roll theXLE DEC/SEP 55put cal to OCT but only got .80 for it as delta trumped theta. net debt reduced to .25. I think all of us that did the XLE will be happy with two more rolls left.
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I just rolled Oct to Nov for .45, locking in a .10 profit (or about breakeven considering commissions).
 
Quote from Eliot Hosewater:

I just rolled Oct to Nov for .45, locking in a .10 profit (or about breakeven considering commissions).
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amazing Eliot over the weekend I was thinking the same and put an order in to roll mine this morning as well, hopefully if you got filled I got filled:p (great minds think alike:D)

My reasning was two fold. 1st we may have bottemed out on xle and if we head up then by end of oct exp we may not even get .45 for the roll. 2nd simply put the .45 gives us (even me:p) a profit or BE and if xle stays the same, moves up a little or down a little we can close for a bigger profit in Nov.
 
Quote from RichardRimes:

amazing Eliot over the weekend I was thinking the same and put an order in to roll mine this morning as well, hopefully if you got filled I got filled:p (great minds think alike:D)

My reasning was two fold. 1st we may have bottemed out on xle and if we head up then by end of oct exp we may not even get .45 for the roll. 2nd simply put the .45 gives us (even me:p) a profit or BE and if xle stays the same, moves up a little or down a little we can close for a bigger profit in Nov.
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Similar to my reasoning also. I decided to go for the sure thing now rather than wait for something better. Besides, XLE looked like it was going to tank after jumping up this morning. The natural was .20 when I put in my order. I'm still kicking myself for not rolling Terry's Tips 55, 56 and 57s on my own for $2 total. Instead I waited for Terry's instructions and got about .40.

I see volume on the Nov 55 P is 34. Ten of those are mine so let's hope yours are in there too.
 
20 are mine.(and they did fill)..while tips are nice its much better to make the final decision yourself...remember Terry did blow up as anyone can so tread carefully around any paid subscription. GL
 
Update on my education on the QQQQ positions:
delta, gamma, theta, p/l to date
market at 40.11, expire in 11 days.

cal 5 -94 6 +10
dd -8 -108 8 +20
diag -44 -92 7 +10

Anyway, any suggestions on which position is preferable, simply based on the greeks? If I were to close everything out but one position, which one would it be.

One thing I notice is the obvious link between gamma and theta. Did not realize how closely tied they are to each other.

The double diag is moving nicely ahead in profit, has greater gamma risk. But the delta is lower than for the diag.

I am fairly a newbie on the calendars and diag, so any ideas would be greatly appreciated.
 
closed all three positions yesterday -- about 10 days to expire, Fed meeting:

cal +15
dd +20
diag +15

The dd had more more commissions, so it was close to the others in profit. This is TOS paper trading, so the actual results may have been somewhat different.
 
Looking at SP Oct/Nov 1290/1275 put diag, around 360. Past couple of months these put diag have been very profitable as the market moves down, and very little loss when it goes up.
 
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