My Calendar Journal

TheBigShort

TheBigShort

I am going to start a calendar ONLY journal. Most will be a 1:1 long calendar. The strategy will be finding value in the term structure. Calendars are a bet on forward volatility (the future implied vol). I trade almost every day. Returns will be posted daily. I am doing this journal to hopefully grab the attention of people who would like to collab and also get trade ideas.

I look to take positions off once I believe fair value is reached or when the underlying moves outside the body

Current positions:

JPM 109 June29/July13 for .55
GS 230 June29/July6 for .63
IBM 145 June29/July6 for .26
MPC 75 July20/27 for .23

Today Closed:
NKTR 55 July20/27 for 1.95 originally bot at 1.55
NKE 75 June15/22 for 1.28 originally bot for 1.02
 
Secret Santa said:
These are pretty tight. What's your expected profit vs transaction costs?
More...

What do you mean by pretty tight? I am using some of your methodology for these trades. (Comparing IV with forward vol). I can send you R code if interested on how I value them. I clear with IB. My transaction costs vary. Im averaging .37 a contract (providing liquidity and getting a rebate). I have most of them valued at a 50-100% gainers.

MPC is estimated to have earnings JULY 26. Its last earnings was a complete mess so the back month should spike on the confirmation.

JPM has earnings July 13 yet has no event vol priced in.

GS is a relative value play. Implied forward vol between contracts trading at all time low. Nice risk reward

IBM is same as GS.

In regards to slippage the widest spread is MPC being 30 cents wide but once earnings is confirmed for that week(will be closest week to earnings) we should get some liquidity.
 
TheBigShort said:
What do you mean by pretty tight? I am using some of your methodology for these trades. (Comparing IV with forward vol). I can send you R code if interested on how I value them. I clear with IB. My transaction costs vary. Im averaging .37 a contract (providing liquidity and getting a rebate). I have most of them valued at a 50-100% gainers.

MPC is estimated to have earnings JULY 26. Its last earnings was a complete mess so the back month should spike on the confirmation.

JPM has earnings July 13 yet has no event vol priced in.

GS is a relative value play. Implied forward vol between contracts trading at all time low. Nice risk reward

IBM is same as GS.

In regards to slippage the widest spread is MPC being 30 cents wide but once earnings is confirmed for that week(will be closest week to earnings) we should get some liquidity.
More...

How does R code factor in earnings, are you just using black scholes to value these stuff?
 
traider said:
How does R code factor in earnings, are you just using black scholes to value these stuff?
More...
Yes I am using black Scholes. There is a thread I started on calculating earnings vol. Google "Jump vol elite trader"
 
Hey everyone here is a great trade I have found.

UPS 115P JUNE 29/JULY 27. For 1.54.

Reason

FDX has there earnings out tn so it makes sense for the IV in front month of UPS to go up. However It has the same vol as the earnings next month. Tomorrow we should see UPS front JUNE 29 go from 24% vol to 18% while the back month stays high or even possibly increases. The vega gains here should out weigh our gamma losses. UPS is unlikely to gap tomorrow so I will be taking it off first thing in the morning.

@Secret Santa I have added more vega in this trade. Wish me luck
 
FWIW NFLX June 29 385/405/425 Butterfly is another trade I have put on today for 5.95. Flat skew 40.1% vol locked in. I think this is a +EV play. Vol could come in as much as 15% over the next few days.

There is a trade I can't seem to get out of. Maybe you guys can throw me some Ideas. I am short the AXP this week 96/98/98/100 iron condor for 1.48(as of last friday). I am trying to get out of it but some bugger is staying on the ask for 1.34!! mean while the bid is flashing 1.07! I have tried offering up to 1.25 and the market maker wont take it. This stock is so liquid I am not to sure whats happening here. Advice?
 
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