Calendar Spreads

WFMI Feb/May 72.5 P cal update
went to Vegas for the Jan 16 position and portfolio management class given by TOS. Had a chance to ask about possible adj to my spread and adv was to wait and let Theta do as much as possible to the Feb put. Stock did turn up first part of week and now is sitting right at 72.5..position now is slightly positive.

I wish when I had initiated the spread I had put in the Greeks...
better late than never...Delta +23.77 Gamma -32.46 Theta +24 and Vega +83...this will be good to compare when I do roll.

I'm thinking that the best time to roll to March would be before earnings which I think are coming out Feb 11th.
 
donna,
looks like u have a nice looking wfmi calendar on your hands, there. i also enjoy using calendar spreads on equities. i'm also pretty sure wfmi reports earnings on Feb. 8, so u may want to roll that short strike before that.
Sometimes I like multiple strike calendars using both put and calls. They are not really expensive because the otm "legs" don't cost very much. The p&l graph at expiration looks like a big-top circus tent(wide profit area).
ie. 14 lot Feb/May bmc 20strike put calendar,10 lot feb/may 22.5 call, 10 lot feb/may 25 call. Volatility on this position is up sharply, i have a dilemma myself on adjustment. I'm pondering just closing it out for a small profit. Earnings are Feb.7. Although i have no directional bias on this stock, the volty will get crushed after earnings which would kill a multi-strike calendar. Does anyone have thoughts on adjustment?
 
thx VP...I like the idea of multi strikes and will look at doing that when I get a better feel...for what ever reason I'm calenderizing several spreads lately:) I'll look to close before Feb 8 but not sure it will matter that much in terms of profit (if earnings are up and it closes above 72,5 then can let put expire..if earnings go down and stock is lower can roll into Mar.

I owned BMC over a long period of time and I think you have a nice calendar put with bmc at 22. Not experienced enough to suggest what you should do but with BMC up and vol up my directional compass says the downside is more likely than further upside. I would love to know the greeks in the total position...
Quote from volatilitypimp:

donna,
looks like u have a nice looking wfmi calendar on your hands, there. i also enjoy using calendar spreads on equities. i'm also pretty sure wfmi reports earnings on Feb. 8, so u may want to roll that short strike before that.
Sometimes I like multiple strike calendars using both put and calls. They are not really expensive because the otm "legs" don't cost very much. The p&l graph at expiration looks like a big-top circus tent(wide profit area).
ie. 14 lot Feb/May bmc 20strike put calendar,10 lot feb/may 22.5 call, 10 lot feb/may 25 call. Volatility on this position is up sharply, i have a dilemma myself on adjustment. I'm pondering just closing it out for a small profit. Earnings are Feb.7. Although i have no directional bias on this stock, the volty will get crushed after earnings which would kill a multi-strike calendar. Does anyone have thoughts on adjustment?
More...
 
I've added a RMBS Feb/May put cal. Have history with this @#%&
so it will be an interesting ride. 10 contracts
Feb 30 Put IV 92.93 +1.30
May 30 Put IV 99.23 -4.80

Delta -59 (should have ratioed to be more delta neutral?)
Gamma -19
Theta +22
Vega +39

these are all expressed in $$ terms
 
Donna,
Here's the greeks for the Feb/May Long calendar 20 put, 22.5 call, and 25 call.

Delta Gamma Theta Vega
88.09 -103.75 33.02 89.61

I'll probably leave it be and roll short strikes early Feb exp weekish.

Very interesting RMBS reverse calendar play. I love the neg(-) vega play at these levels. Keep me posted!



:)
 
oops didn't do the reverse :eek: missed typed I sold feb at 1.30 and bought May ...so not so interesting:p

Quote from volatilitypimp:

Donna,
Here's the greeks for the Feb/May Long calendar 20 put, 22.5 call, and 25 call.

Delta Gamma Theta Vega
88.09 -103.75 33.02 89.61

I'll probably leave it be and roll short strikes early Feb exp weekish.

Very interesting RMBS reverse calendar play. I love the neg(-) vega play at these levels. Keep me posted!



:)
More...
 
Quote from DonnaV:

oops didn't do the reverse :eek: missed typed I sold feb at 1.30 and bought May ...so not so interesting:p
More...
edit...come to think of it THAT would be interesting...hummmmmm
 
Donna,
I don't want to talk u out of your own trade. On the other hand, the stock could consolidate here, and although 'reversion to the mean' should occur, IV could stay near 100% for some time. I'm afraid I'm a neophyte calendar spreader myself. :confused: :confused:
 
you are right and thats why I like the calendar...I will hopefully be able to roll a couple of times before it goes down significantly
Quote from volatilitypimp:

Donna,
I don't want to talk u out of your own trade. On the other hand, the stock could consolidate here, and although 'reversion to the mean' should occur, IV could stay near 100% for some time. I'm afraid I'm a neophyte calendar spreader myself. :confused: :confused:
More...
 
interesting that your gamma is so much higher than mine (compared to the other greeks) why?
Quote from volatilitypimp:
edit..because you have call spread as well?

Donna,
Here's the greeks for the Feb/May Long calendar 20 put, 22.5 call, and 25 call.

Delta Gamma Theta Vega
88.09 -103.75 33.02 89.61

I'll probably leave it be and roll short strikes early Feb exp weekish.

Very interesting RMBS reverse calendar play. I love the neg(-) vega play at these levels. Keep me posted!



:)
More...
 
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