calendar straddles...?
- Thread starter propslave
- Start date
About double the risks of a single put or single call calendar...
Yeh, I do them for earnings situations where there's inflated IV and horizontal skew. They tend to be ratioed in order to distribute the P&L graph more to my liking.
Tho it was a reverse calendar spread or sorts, you can get an idea of some possibilities by taking a look at bebpasco's chain:
http://www.elitetrader.com/vb/showthread.php?s=&threadid=167252
Tho it was a reverse calendar spread or sorts, you can get an idea of some possibilities by taking a look at bebpasco's chain:
http://www.elitetrader.com/vb/showthread.php?s=&threadid=167252
An atm long/short calendar will perform inside/outside the atm straddle range, or approx a sigma, provided there is a flat term-structure of volatility and no stock-specific vol anomalies. Of course, most traders treat them as binary event wagers.
ATM long calendars are generally a poor-proposition in a tight range as you're winning on gamma but losing on vega. You've bought the position at best-case, so I'd rather trade them directionally, as hedges, or neutral with some term-structure edge.
ATM long calendars are generally a poor-proposition in a tight range as you're winning on gamma but losing on vega. You've bought the position at best-case, so I'd rather trade them directionally, as hedges, or neutral with some term-structure edge.