...And with today's drop in vol, a great time.
SPX, at least.
Possibly ES.
Others??
SPX, at least.
Possibly ES.
Others??
NOV29, NOV30, DEC01 -- a great place for Calendars...
- Thread starter tommcginnis
- Start date
Yes, others!
NOV15/Nov16! Woot!
And the VXST at 7.82 woo woo woo!
NOV15/Nov16! Woot!
And the VXST at 7.82 woo woo woo!
Hi
I've been out for some days and now I have a lot of work reading all the posts.
I have never made calendars. How is the way to do it properly? buy the back month and sell the front, I suppose.
But how far the back month do you choose? and the front one, are you using weeklies ? And when do you close the trade? you take it to expiration of the selled option and roll over or you close ?. And you use strikes atm, itm or otm, what is better in your opinion.
You say the volatility dropped,the day you wrote the post, but also the front month volatility had dropped , so you are selling cheap.
Please can you explain a little how do you do it. In your opinion it is better with puts or calls.
Thanks.
I've been out for some days and now I have a lot of work reading all the posts.
I have never made calendars. How is the way to do it properly? buy the back month and sell the front, I suppose.
But how far the back month do you choose? and the front one, are you using weeklies ? And when do you close the trade? you take it to expiration of the selled option and roll over or you close ?. And you use strikes atm, itm or otm, what is better in your opinion.
You say the volatility dropped,the day you wrote the post, but also the front month volatility had dropped , so you are selling cheap.
Please can you explain a little how do you do it. In your opinion it is better with puts or calls.
Thanks.
Pressed for time -- please forgive short answers:
1) How to do calendars *properly*??
Whenever I want to think about "properly", I think of CBOE's Russell Rhoades
https://www.interactivebrokers.com/en/index.php?f=2227
He just did a webinar last month, as a matter of fact.
2) How far back? Weekly(s)?
I hate to own. So, I am looking to buy these spreads as cheap as possible -- maybe get paid to write them. So, I'm not writing a month apart, or even a week, but 1-day. Thus, there is an opportunity for ME to write calendars for 0¢-20¢ on the third Thursday/Friday of every month, and add in some special occasions when the month ends on a Tuesday or a Thursday (to take advantage of a Monday or Wednesday or Friday expiry).
Not *proper* by any means, but *damn* cheap.
3) When to close/roll/expire?
I think of these as lottery tickets with sale-back/salvage ability.
I write them *doubting* they will pay (with some pop in volatility)....
Thus, I'll evaluate them as their time winds down, and consider
a) selling the calendar outright
b) turning the calendar into a diagonal
c) turning the calendar into a vertical
If I choose the max[expectedvalue{a,b,c}], I have thus far been profitable.
4) WHERE to write??
I have no idea. I'm just looking for a *really*cheap* way to hold a long position.
I am just learning -- this being "owning" a net position -- something I have assiduously avoided for 10 years.
But *DAMNNNnnnnnnn* with the low vol making option-selling a *ridiculous* enterprise, ....... time to check out the other irons in the fire.
So, I've done this maybe a dozen times, through 2-3 expiries.
I have 4? positions on now, I think they're all 2-fers, I think they're all calls, I think they're all ITM.
Pricing was weird today -- I have drawn no generalities.
(Theory is one thing: this is rubber-hits-the-road, slap-you-in-the-face reality.)
I HATE owning. HATE HATE HATE. But,
, you do what needs doin'.
I would rather write OTM, as that's where my *life* has been, and perhaps more importantly, should I wish to exit, volume is usually better close OTM than ITM.
Just remember that as a debit spread, the risk is established going in, and from there, if you can exit flat_or_for_more, you're golden.
The one, basic, Rule To Rule Them All: write when vol is in the gutter, and not when it's up, cuz you're writing positive-vega trades.
1) How to do calendars *properly*??
Whenever I want to think about "properly", I think of CBOE's Russell Rhoades
https://www.interactivebrokers.com/en/index.php?f=2227
He just did a webinar last month, as a matter of fact.
2) How far back? Weekly(s)?
I hate to own. So, I am looking to buy these spreads as cheap as possible -- maybe get paid to write them. So, I'm not writing a month apart, or even a week, but 1-day. Thus, there is an opportunity for ME to write calendars for 0¢-20¢ on the third Thursday/Friday of every month, and add in some special occasions when the month ends on a Tuesday or a Thursday (to take advantage of a Monday or Wednesday or Friday expiry).
Not *proper* by any means, but *damn* cheap.
3) When to close/roll/expire?
I think of these as lottery tickets with sale-back/salvage ability.
I write them *doubting* they will pay (with some pop in volatility)....
Thus, I'll evaluate them as their time winds down, and consider
a) selling the calendar outright
b) turning the calendar into a diagonal
c) turning the calendar into a vertical
If I choose the max[expectedvalue{a,b,c}], I have thus far been profitable.
4) WHERE to write??
I have no idea. I'm just looking for a *really*cheap* way to hold a long position.
I am just learning -- this being "owning" a net position -- something I have assiduously avoided for 10 years.
But *DAMNNNnnnnnnn* with the low vol making option-selling a *ridiculous* enterprise, ....... time to check out the other irons in the fire.
So, I've done this maybe a dozen times, through 2-3 expiries.
I have 4? positions on now, I think they're all 2-fers, I think they're all calls, I think they're all ITM.
Pricing was weird today -- I have drawn no generalities.
(Theory is one thing: this is rubber-hits-the-road, slap-you-in-the-face reality.)
I HATE owning. HATE HATE HATE. But,
, you do what needs doin'.I would rather write OTM, as that's where my *life* has been, and perhaps more importantly, should I wish to exit, volume is usually better close OTM than ITM.
Just remember that as a debit spread, the risk is established going in, and from there, if you can exit flat_or_for_more, you're golden.
The one, basic, Rule To Rule Them All: write when vol is in the gutter, and not when it's up, cuz you're writing positive-vega trades.
Hi
Thank you very much for your response. I need to think about it.
I will assist the vid you recommended
I am surprised of that kind of calendars with so short expiration . I've never thought about that.
Do you use some screener or software to find low volatility? Have you tried to implement this with stocck options or only uses index and etf.
Thanks.
Thank you very much for your response. I need to think about it.
I will assist the vid you recommended
I am surprised of that kind of calendars with so short expiration . I've never thought about that.
Do you use some screener or software to find low volatility? Have you tried to implement this with stocck options or only uses index and etf.
Thanks.
-- "Think about it"??? Yeah!! I've thought about it a lot.
Remember, I HATE ownership -- so it's a really big deal for me to consider a net-long position of any sort -- and it's not an asset, but an option! So you've got TIME decay!! (Just a given when you're selling, but WOW! when you're owning!) It's just a different ballgame, and not one I'm going to hurry into. It has paid *ridiculously* well, thus far, but I do NOT trust it -- no matter who says what about it. So, lots of "think about it".
-- Russell Rhoades is solid -- has been for 10 years of things (videos, events) in which I've seen him.
-- Nobody has made noise about this so-short expiry?? No doubt! For me, it solves the biggest hurdle to get me to enter a {long} calendar: price. But frankly, I don't know how long it will last. (We could read a CBOE memo tomorrow that makes this all go away in 6 months. Don't plan the mortgage on it.) Harvest while you can.
-- A screener to find low vol? Well, I sell options, so I feel low vol like I'm sitting on a heating pad and somebody secretly turned it to "High" and is hiding behind a curtain watching me in pain and sweat. Don't need no screener for that. (But should I need one, I just wait for VXST (or VIX for the Nov29/Nov30/Dec01) to dip into the 8-ish range (or the 10-ish VIXie range). When it does that it *yells* to me that an option spreads *I* may sell will be killed when volatility "pops" to 13-14 {still a level BELOW historic average}.....
When you're at that point? Fuggit. Buy a calendar.
-- Have not tried this on equities or ETFs -- it might not be possible to find 1-day-apart expiries; haven't looked.
Yowser!
MID prices have these positions up 125% this morning.
Now, I have NO faith that an actual sale price would see that.
If I had more-than-a-token on, I would sell some to test the market.
But I would suspect that a 50% harvest would be tops.
Ooop! This is all pre-market, and right now, it just jumped again, to 225%.
No -- this is pre-market thin-ness, but it's a mighty jump regardless. 445%.
I really don't believe these are reliable (read: tradable) quotes, but it does give me some confidence to think about putting on more than a handful of spreads. (I just counted up -- 2 spreads each at 5 strikes, over two expirys. All on the call side; all ITM.)
MID prices have these positions up 125% this morning.
Now, I have NO faith that an actual sale price would see that.
If I had more-than-a-token on, I would sell some to test the market.
But I would suspect that a 50% harvest would be tops.
Ooop! This is all pre-market, and right now, it just jumped again, to 225%.
No -- this is pre-market thin-ness, but it's a mighty jump regardless. 445%.
I really don't believe these are reliable (read: tradable) quotes, but it does give me some confidence to think about putting on more than a handful of spreads. (I just counted up -- 2 spreads each at 5 strikes, over two expirys. All on the call side; all ITM.)
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Okay, so, yesterday, as the market was plunking (and vol was popping) I sold the second of Nov15/16 calendars at 2535, 2540, and 2545, for $1.00
I saw them approaching $2.00 over the course of the day...
You can see the MIDs of the ATMs topping $2.50
This morning, the ATM MIDs are $3.50-$4.00+, while the 2535, 2540, and 2545 I sold yesterday are at 50¢, 90¢, and $1.50 respectively.
Also this morning, I sold 1 each of the Nov29/30 calendars at 2565 and 2570; they hit 50¢ at the open, topped that slightly as the market descended (and vol grew), and are back to a 50¢ range. I will (try to) keep the other ones for the next two weeks, so as not to get bored.
A bottom line at this point is, that for as much as I hate "ownership," the next time we're kissing vols of 8.5-10.0 for VXST/VIX, I'll be writing (BUYING!!)
a full share of these things. If I can buy 'em for <30¢, I'm pretty sure I can sell 'em for that, when the time comes. And if I can sell 'em for 60¢ or $1.00 or $3.15??? I'll be good with that.
I saw them approaching $2.00 over the course of the day...
You can see the MIDs of the ATMs topping $2.50
This morning, the ATM MIDs are $3.50-$4.00+, while the 2535, 2540, and 2545 I sold yesterday are at 50¢, 90¢, and $1.50 respectively.
Also this morning, I sold 1 each of the Nov29/30 calendars at 2565 and 2570; they hit 50¢ at the open, topped that slightly as the market descended (and vol grew), and are back to a 50¢ range. I will (try to) keep the other ones for the next two weeks, so as not to get bored.
A bottom line at this point is, that for as much as I hate "ownership," the next time we're kissing vols of 8.5-10.0 for VXST/VIX, I'll be writing (BUYING!!)
a full share of these things. If I can buy 'em for <30¢, I'm pretty sure I can sell 'em for that, when the time comes. And if I can sell 'em for 60¢ or $1.00 or $3.15??? I'll be good with that.