Reverse Calendars

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IV_Trader

Latest reporting results combined with current ( very slow) price action will create very good RC opportunities. Some stocks will have up to 2000 bp diff between the front and back (2 - 3 months) month. One will be able to establish a +gamma , neutral theta and neutral ( almost) vega position on certain stocks.
 
Quote from momoneythansens:

Yes, gamma week should have some good risk/reward short calendar pickings :D

I shall be stealing your filtered list of candidates in due course.

MoMoney.
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look no further than infamous ISRG and SNDK. OCT/NOV entry , sometimes at the last week of September. Both will print vols around mid 40's(for OCT) and mid 60's for NOV.
 
Quote from IV_Trader:

look no further than infamous ISRG and SNDK. OCT/NOV entry , sometimes at the last week of September. Both will print vols around mid 40's(for OCT) and mid 60's for NOV.
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Infamous indeed. Looking to see them report between 9-20th OCT :D
 
Quote from momoneythansens:

Infamous indeed. Looking to see them report between 9-20th OCT :D
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9-20 OCT ? That would be a disaster for RC , they MUST report after the 20th. Mo , I think I confused you with my post. I was referring to diff strategy on RC.
 
Quote from IV_Trader:

9-20 OCT ? That would be a disaster for RC , they MUST report after the 20th. Mo , I think I confused you with my post. I was referring to diff strategy on RC.
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Yeah, you have me well confused :p

[EDIT: Re-read your first post. I see what you're looking at now :) Different strategy]
 
Quote from momoneythansens:

Yeah, you have me well confused :p

[EDIT: Re-read your first post. I see what you're looking at now :) Different strategy]
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:)
two types :

1.Reporting day in the front month(the old way) : establish vega neutral position one day before and hope for a big move in stock on the day of report.

2.Reporting day in the Back month (this thread): enter when vols diff =1500bp+ (front is LESS than back), and close all positions on the Front month exp day.
 
Quote from IV_Trader:


2.Reporting day in the Back month (this thread): enter when vols diff =1500bp+ (front is LESS than back), and close all positions on the Front month exp day.
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Leverage tenor skew to get "reduced cost" front month gamma? Hmmm....yeah okay.
 
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