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call calendar or put calendar?
- Thread starter yip1997
- Start date
Quote from yip1997:
You are right. With slippage, there is no arb opportunity.
Even with no arb opportunity, are there any advantages of opening long call calendar vs long put calendar (if we can get it at mid?)
Check out this TOS chat transcript for the call calendar vs. put calendar discussion.
Quote from MTE:
Check out this TOS chat transcript for the call calendar vs. put calendar discussion.
Thanks a lot.
From the transcript:
Tom Preston: So, if the put calendar is cheaper than the call calendar, would it be better to buy it?
Tom Preston: Not really. Even though the call spread is more expensive, all things being equal, the back month call will be worth more than the back month put at the front month expiration by an amount approximately equal to the amount of carry between the front and back month expiration.
Not sure if that's what you're asking.
Tom Preston: So, if the put calendar is cheaper than the call calendar, would it be better to buy it?
Tom Preston: Not really. Even though the call spread is more expensive, all things being equal, the back month call will be worth more than the back month put at the front month expiration by an amount approximately equal to the amount of carry between the front and back month expiration.
Not sure if that's what you're asking.
Quote from cdowis:
The call calendar costs more, which results with the put calendar having a better R/R ratio.
Am I missing anything here?