You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
Calendar Spreads
- Thread starter gatorplease
- Start date
I'd second that motion..I've traded PFE a few times and it does seem to be a good value candidate are you looking at a call or put calendar?
Quote from Sailing:
We're looking at PFE as a possible candidate for a Call Calendar.
This would be a long term Calendar trade.... buying LEAPs... and selling monthly premium at resistance points to pay for the Leap position in a one year time frame.
Still anallyzing the trade... will follow up upon conclusion.
Murray, thanks for posting this. I only got around to looking at it today. I'm looking at:
1) Calendars on indexes
2) Using cals to make my overall position as vega-positive as possible
3) Double cals (what you call M trade, I think)
4) Ratioing M trades
I've dabbled with double diags but have come to the conclusion that I'm going to hold off until I get a better handle on calendars.
1) Calendars on indexes
2) Using cals to make my overall position as vega-positive as possible
3) Double cals (what you call M trade, I think)
4) Ratioing M trades
I've dabbled with double diags but have come to the conclusion that I'm going to hold off until I get a better handle on calendars.
Quote from Sailing:
Tough getting anything done around the house... but a little insight.
Many of you have heard of Terrystips... and all the associated comments around his trading calendar spreads. Although I agree with some of the comments... the site has been a great learning experience for those who have studied his previous 3 years of posting.
It's not the win/loss or profit/loss which I'm referring to... but it's his analysis of his positions... and why the did or didn't work.
I will give Terry his credit due... to his openess and honesty in posting his real trades and follow up reports. He is one of the few who actually allow you to see his accounts and follow them online daily. In fact, I don't know of any others.
Although Terry's philsophy and trading style has changed during the past three years... I would hope so would have everyones. You learn from what you did in the past.. and make adjustments accordingly. I agree that many of his other strategies were... not risk managed, but the strategies themselves were mean to be that way. We could go on and on... but for what it's worth... Terry did provide real, live, market performance and analysis unlike anyone else I have been associatd with.
For the record... Terry made me a lot of money.
Attached is a word.doc which Andy asked about concerning volatility. I also included ratioed and diagonal examples. In no way do I recommend this position... but the strike prices worked well for the example.
Enjoy,
Murray
Murray,
I went through the examples in detail. On the diagonal, you had the farther OTM strike in the near month. I'm used to seeing it the other way around, but I think you wanted the position to suit a bullish scenario.
I'm looking at calendars on SPX. I'm wondering if you or anyone ever does these? The near month vol is almost always less than the far month. What I'm looking at is a bearish scenario sometime between now and MAR06. Here are two OTM put calendars:
1) Calendar Trade #1
SPX DEC/MAR 1150 put
Breakeven is 1090 to 1230
2) Calendar Trade #2
SPX DEC/MAR 1200 put
SPX DEC/MAR 1125
Breakeven is 1090 to 1240
I went through the examples in detail. On the diagonal, you had the farther OTM strike in the near month. I'm used to seeing it the other way around, but I think you wanted the position to suit a bullish scenario.
I'm looking at calendars on SPX. I'm wondering if you or anyone ever does these? The near month vol is almost always less than the far month. What I'm looking at is a bearish scenario sometime between now and MAR06. Here are two OTM put calendars:
1) Calendar Trade #1
SPX DEC/MAR 1150 put
Breakeven is 1090 to 1230
2) Calendar Trade #2
SPX DEC/MAR 1200 put
SPX DEC/MAR 1125
Breakeven is 1090 to 1240
Quote from Sailing:
Tough getting anything done around the house... but a little insight.
Many of you have heard of Terrystips... and all the associated comments around his trading calendar spreads. Although I agree with some of the comments... the site has been a great learning experience for those who have studied his previous 3 years of posting.
It's not the win/loss or profit/loss which I'm referring to... but it's his analysis of his positions... and why the did or didn't work.
I will give Terry his credit due... to his openess and honesty in posting his real trades and follow up reports. He is one of the few who actually allow you to see his accounts and follow them online daily. In fact, I don't know of any others.
Although Terry's philsophy and trading style has changed during the past three years... I would hope so would have everyones. You learn from what you did in the past.. and make adjustments accordingly. I agree that many of his other strategies were... not risk managed, but the strategies themselves were mean to be that way. We could go on and on... but for what it's worth... Terry did provide real, live, market performance and analysis unlike anyone else I have been associatd with.
For the record... Terry made me a lot of money.
Attached is a word.doc which Andy asked about concerning volatility. I also included ratioed and diagonal examples. In no way do I recommend this position... but the strike prices worked well for the example.
Enjoy,
Murray
Here's a Cal strategy I'm considering.
I'm looking at MATK (thanks JD) which is in a l/t downtrend. It closed Friday at $26.37.
I'm thinking of selling the DEC 20P @ .30 and buying the JAN 20P for .55 (today's prices) for a net debit of .25.
The thought is if MATK continues it's downtrend by DEC exp the DEC Put will expire worthless and the JAN Put can be sold for more than the .25 Debit.
Feel free to criticize and abuse me as warrented.
I'm looking at MATK (thanks JD) which is in a l/t downtrend. It closed Friday at $26.37.
I'm thinking of selling the DEC 20P @ .30 and buying the JAN 20P for .55 (today's prices) for a net debit of .25.
The thought is if MATK continues it's downtrend by DEC exp the DEC Put will expire worthless and the JAN Put can be sold for more than the .25 Debit.
Feel free to criticize and abuse me as warrented.
No criticism. WHY is matk going down? What are the fundamentals driving this play? It seems like a reasonable position, but we need to research the position.
Quote from nlslax:
Here's a Cal strategy I'm considering.
I'm looking at MATK (thanks JD) which is in a l/t downtrend. It closed Friday at $26.37.
I'm thinking of selling the DEC 20P @ .30 and buying the JAN 20P for .55 (today's prices) for a net debit of .25.
The thought is if MATK continues it's downtrend by DEC exp the DEC Put will expire worthless and the JAN Put can be sold for more than the .25 Debit.
Feel free to criticize and abuse me as warrented.
Andy,
I've never done Calendar spreads on an index. I like to use volatility in the trade... and individual securities rise in volatility much faster than an index.
I much prefer Put Calendar... and do about 4 times as many than those of Call Calendars. Call Calendars... just don't give you that win-win scenario... with volatiilty and movement.
OTM Put Calendars are great strategies.... if the security goes your way. Of course... isn't every strategy good if it goes your way... but I will say... you really like the Put Calendar if it goes your way... great reward potential.
Murray
I've never done Calendar spreads on an index. I like to use volatility in the trade... and individual securities rise in volatility much faster than an index.
I much prefer Put Calendar... and do about 4 times as many than those of Call Calendars. Call Calendars... just don't give you that win-win scenario... with volatiilty and movement.
OTM Put Calendars are great strategies.... if the security goes your way. Of course... isn't every strategy good if it goes your way... but I will say... you really like the Put Calendar if it goes your way... great reward potential.
Murray
While I've got a couple of very good systems to trade long, I've never been good at picking downtrending stocks. What is your approach to identifying candidates for put calendars? Do you use TA? Do you look for front-month vol skews? Thanks Murray!
Quote from Sailing:
Andy,
I've never done Calendar spreads on an index. I like to use volatility in the trade... and individual securities rise in volatility much faster than an index.
I much prefer Put Calendar... and do about 4 times as many than those of Call Calendars. Call Calendars... just don't give you that win-win scenario... with volatiilty and movement.
OTM Put Calendars are great strategies.... if the security goes your way. Of course... isn't every strategy good if it goes your way... but I will say... you really like the Put Calendar if it goes your way... great reward potential.
Murray
Andy,
Track the indexes.... PPH, SOX, OIH, HHH, SMH, etc. When they turn over (bearish)... you sort the secuties within that index and begin your TA and fundamental. The trend is your friend.
You're just playing the trend with the worse in the group. Just the opposite of Call Calendars... when you play the best in the group with an positive index trend.
M~
Track the indexes.... PPH, SOX, OIH, HHH, SMH, etc. When they turn over (bearish)... you sort the secuties within that index and begin your TA and fundamental. The trend is your friend.
You're just playing the trend with the worse in the group. Just the opposite of Call Calendars... when you play the best in the group with an positive index trend.
M~
Murray,
Yes, I do a relative strength ranking of all the sector ETFs each Friday. When the overall market is trending up, I look at the strongest two or three sectors. Then I look at the charts of the stocks in the strongest sectors. Works well in an up trend.
However, doing the opposite in a downtrend is not nearly as good, I've found....
Yes, I do a relative strength ranking of all the sector ETFs each Friday. When the overall market is trending up, I look at the strongest two or three sectors. Then I look at the charts of the stocks in the strongest sectors. Works well in an up trend.
However, doing the opposite in a downtrend is not nearly as good, I've found....
Quote from Sailing:
Andy,
Track the indexes.... PPH, SOX, OIH, HHH, SMH, etc. When they turn over (bearish)... you sort the secuties within that index and begin your TA and fundamental. The trend is your friend.
You're just playing the trend with the worse in the group. Just the opposite of Call Calendars... when you play the best in the group with an positive index trend.
M~