Calendar Spreads

cool I'm fairly bearish on the financials as well...I'll take a look...decided today that rolling RMBS might be good. Feb Vol is 10 points lower than Mar Vol on the 30's but I'm legging out of it...finally got filled on buying back at 2.55 and am currently trying to sell Mar for 4.40 for a +1.85 for the roll which is better than the 1.80/1.75 for the mid(not legging) not terribly concerned if it isn't filled...RMBS is trading up on a rumor which is par for the course...if the market goes down this week it will go down harder.
'
Quote from volatilitypimp:

I put on a new calendar today. AMBAC Financial Group.( ABK) The implied volatility looks 'overvalued' compared to historical volty over a 52wk period, past IV action looks really stable and passes my under 30 IV guideline. By 'overvalued' I mean historical volty resides beneath implied volty, thus we are earning some nice coin on our sold legs. The ATM march/may IV skew is less than +1%, which tells me there are no news items pending(earnings,mergers,etc). I picked march/may because I will still have 1 roll opportunity. Long Aug seems a bit too far away and could have some delta issues down the road. So I decided to buy the ABK 75 strike put calendar(mar/may) The calls were slightly ITM so I decided on the puts. I will update on any adjusments/rolls.
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Another position. Black & Decker. BDK. Bot the May 85 call, sold the Mar 85 call. I may buy the 80 put cal. if current underlying trend continues. I will update any adjustments.

Good Trading.
 
Quote from DonnaV:

cool I'm fairly bearish on the financials as well...I'll take a look...decided today that rolling RMBS might be good. Feb Vol is 10 points lower than Mar Vol on the 30's but I'm legging out of it...finally got filled on buying back at 2.55 and am currently trying to sell Mar for 4.40 for a +1.85 for the roll which is better than the 1.80/1.75 for the mid(not legging) not terribly concerned if it isn't filled...RMBS is trading up on a rumor which is par for the course...if the market goes down this week it will go down harder.
'
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I did get filled on the Mar 30P for 4.40 (yeah) now I have pared down the risk/debt for the May RMBS 30P to 1.65 or $1650 with one more roll left (April). current Delta +55 G -17 T+17.68 V +21.79

WFMI is scheduled to report earnings on Wed...hopefully Thurs or Fri Vol will go down and I'll look to roll that one
 
Quote from volatilitypimp:

Another position. Black & Decker. BDK. Bot the May 85 call, sold the Mar 85 call. I may buy the 80 put cal. if current underlying trend continues. I will update any adjustments.

Good Trading.
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we just went out to replace the peicee of s..hit black and Decker toaster/oven we have:p bought another pos black and decker:D
are you bullish or bearish...looks like kind of neutral
 
Donna,
Is that you talking or your inner 'Tim the 'Tool man' Taylor talking? OK, I was neutral, now I'm jonesin' for a synthetic put ratio backspread. Quick, all you aspiring or ex-floor traders out there, how does one accomplish the aforementioned from a mar/may 85 call cal.?:confused:
 
Quote from volatilitypimp:

Donna,
Is that you talking or your inner 'Tim the 'Tool man' Taylor talking? OK, I was neutral, now I'm jonesin' for a synthetic put ratio backspread. Quick, all you aspiring or ex-floor traders out there, how does one accomplish the aforementioned from a mar/may 85 call cal.?:confused:
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Its me...Tim and I are from different planets...:eek:
 
Yes, do tell the greatness of it. There are 2 schools of thought regarding selling extreme front month IV skew. I'm of the opinion if your front month carries +25% vols(as in your W.R. Grace cal. in your example) you are almost certain of a big delta move. Obviously, you do earn bigger initial premium, but at what cost? Interesting site btw, what guidelines do you use to filter candidates?
 
Quote from volatility:

Yes, do tell the greatness of it. There are 2 schools of thought regarding selling extreme front month IV skew. I'm of the opinion if your front month carries +25% vols(as in your W.R. Grace cal. in your example) you are almost certain of a big delta move. Obviously, you do earn bigger initial premium, but at what cost? Interesting site btw, what guidelines do you use to filter candidates?
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since its only you and I right now I assume your talking to me:)
actually I don't have WR Grace...its Whole Foods..WFMI and your right about front month but thats because tomorrow is earnings.
I'm not sophisticated enough in these cal's that I have much filter. My background in stocks has been a strong fundamental one so its very hard for me NOT to take a directional bias due to fundamentals of the underlying. I'm using technicals to guide the timing but am learning the greeks to time, buy and manage. However in selecting candidates I'm still using my basic fundamental thoughts and many are stocks I've owned or watched for some years. The exercise in this thread for me is to watch and learn:) and hopefully people like yourself will have good imput and insight for me as well:p
 
I've put an order in on SHLD but don't know if it will be filled as VP said sometimes volume is skinny on the put side...also thanks VP for helping me think "outside" the box on these...what I'm trying to do is Jun/Feb 120/115 and smaller number of Jun115/feb115...I'll see if it fills.
 
Good luck getting filled on your Sears position. I bot the BDK 80 put calendar (mar/may)ratioed 6:5 to represent a slightly bearish tint. I bot a mar/may AIG 65 put calendar.

Good Trading!
 
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