RIMM Double Reverse Calendars
- Thread starter bebpasco
- Start date
Good trade, bebpasco. You might get the Jul vol down more as the day goes on.
Very educational. Thanks for the good thread.
Very educational. Thanks for the good thread.
Tough to give results in a spread format because of the long Jun 80Cs and the extra Jul puts. Closed out the position with avg IV (p&c) in the 53.5% range. Profit of $2,412 less comm. Left 10% on the table because IV has dropped currently to an avg of 52%.
The basic 75 put calendar was a better play --- even with the drop in Jul IV to the low 50s. The problem with the long calendar is the risk profile if there was a substantial move, either way, in the stock. It all depends on your comfort zone.
The basic 75 put calendar was a better play --- even with the drop in Jul IV to the low 50s. The problem with the long calendar is the risk profile if there was a substantial move, either way, in the stock. It all depends on your comfort zone.
It's a given that the kicker is likely to be a waste of money because it's expiring imminently. Normally, I'd use an OTM strike as a kicker unless like in this position, the legs are seriously OTM to start with. I used the 85c as the kicker because the premium for the 80c bot several 85's and the net "W" could be balanced for a lower cost. Good trade!
Kedwards,
As a general rule, if your risk graph has the "W" positioned so that the bottoms are dipping minimally into negative territory, it's likely that your post EA IV is too low.
The input details of your attached graph aren't clear enough to make out. Did you use 50 as input for the post EA IV?
Didn't save my risk graph with the Jun 85C so I've forgotten the difference between it and the using Jun 80C as the additional gamma hedge. However, I'm not going to argue with the person who taught me the "kicker" concept. lol! I also picked the 80C because I had a bias to the upside on the stock after earnings. If the stock had moved into the low 80s on Friday, I could have recovered some of the hedge expense.
Hey spindr0,
well the position in that picture was using the current IV at the time, which was around 53%. I changed the Volatility Adjustment back to 0% (yesterday I had it -10% so I could see what the profit picture would look like if bebpasco's prediction was correct) so that it would just float with whatever ToS's IV calculation was. Hope that makes sense?
Maybe the location of the bottom of the W's is because of bad entry? What I did was enter the position on IB's Simulated Trading, and then I just inputted my average fill prices into ToS so I could see the risk profile.
The attached picture, the white line is the current IV (54.19%) and the green line is if IV went down another 5% to 49.19%. I think the original position was somewhere around $350,000 margin.
well the position in that picture was using the current IV at the time, which was around 53%. I changed the Volatility Adjustment back to 0% (yesterday I had it -10% so I could see what the profit picture would look like if bebpasco's prediction was correct) so that it would just float with whatever ToS's IV calculation was. Hope that makes sense?
Maybe the location of the bottom of the W's is because of bad entry? What I did was enter the position on IB's Simulated Trading, and then I just inputted my average fill prices into ToS so I could see the risk profile.
The attached picture, the white line is the current IV (54.19%) and the green line is if IV went down another 5% to 49.19%. I think the original position was somewhere around $350,000 margin.