Long Box Spread as a Diagional

A

artbos

Hi, does anybody have experience trading long box spreads as a diagonal using ATM long call & put over 1 year to manage theta while rolling shorts? I understand vega is the risk. Assuming VI is at or below historical is this a viable approach to generating income systematically? Thinking of closing the long straddle 6 months from expiration and resetting the position. Thank you for the feedback.
 
Long Positions
IWM Mar 17 2017 109.00 Call @ $7.63
IWM Mar 17 2017 109.00 Put @ $9.12

Short Positions
IWM Apr 22 2016 110.00 Cal @ $1.52
Iwm Apr 22 2016 108.50 Put @ $1.97

Intent is to roll the short positions as close to expiration as feasible and close the whole position when the Long contracts are 6 month from expiration.

Thank you
 
artbos said:
Hi, does anybody have experience trading long box spreads as a diagonal using ATM long call & put over 1 year to manage theta while rolling shorts? I understand vega is the risk. Assuming VI is at or below historical is this a viable approach to generating income systematically? Thinking of closing the long straddle 6 months from expiration and resetting the position. Thank you for the feedback.
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In all honesty I have no idea what kind of position you are describing there (an example could be useful). However even without knowing the details of it I can tell you this with certainty: There is no such thing as systematic "income" generation from options, period.

If you want to make money, you need to risk money. Risk-less profit is beyond the capabilities of retail traders (no matter the instrument).
 
I understand, the position is combining a leveraged covered call with a leveraged covered put using ATM strike price for the stock replacement and taking advantage of offsetting positions to preserve capital.
 
artbos said:
Long Positions
IWM Mar 17 2017 109.00 Call @ $7.63
IWM Mar 17 2017 109.00 Put @ $9.12

Short Positions
IWM Apr 22 2016 110.00 Cal @ $1.52
Iwm Apr 22 2016 108.50 Put @ $1.97

Intent is to roll the short positions as close to expiration as feasible and close the whole position when the Long contracts are 6 month from expiration.

Thank you
More...

Thanks for the example, the position is a variation on a Strangle Swap, you are swapping a short near term strangle for a long far term one (ok in this case is a straddle).

I do strangle swaps from time to time. In particular if near term Implied volatility is very high compared with the back months (I play a few earnings reports that way). But this is not a systematic approach and certainly not one you want to use for index options.
 
artbos said:
Long Positions
IWM Mar 17 2017 109.00 Call @ $7.63
IWM Mar 17 2017 109.00 Put @ $9.12

Short Positions
IWM Apr 22 2016 110.00 Cal @ $1.52
Iwm Apr 22 2016 108.50 Put @ $1.97

Intent is to roll the short positions as close to expiration as feasible and close the whole position when the Long contracts are 6 month from expiration.

Thank you
More...





The short trade conflicts with the long trade. I wouldn't open the long trade until the short trade is closed.




:)
 
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