RIMM Double Reverse Calendars

Quote from bebpasco:

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.
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LOL. My bad! It would be presumptuous of me to assume that you didn't check out all of the possibilities. I should know better :)

And I didn't teach you anything. You figured out for yourself that the "kicker" concept was a good way to adjust the risk graph. I just gave you some bread crumbs :)

All of this reminds me of the guy who mentione that he got a 2007 BMW for his wife. Good trade!
 
Quote from Kedwards:

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.
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I'm not familiar with TOS's features so I don't know. Though not the case with RIMM, it is possible to get a bad "W" from lousy set up premiums, particularly if you're using average prices when there are wide spreads (20 cts can make a huge difference in the risk graph) as well the aforementioned overestimate of IV drop.

Either way, it's an interesting strategy for expiration week on earnings plays. With lower priced stocks with narrower strikes, also check out calendar strangles (this one was a calendar straddle).

Happy trails!
 
Quote from Kedwards:

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.
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Neat graph! I'm not a TOS member. Is there anything free on the web that I could use to follow these positions?
 
Quote from TheoHornsby:

Neat graph! I'm not a TOS member. Is there anything free on the web that I could use to follow these positions?
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Both the CBOE & OIC (888-OPTIONS) have fee risk graph software but I believe they are limited to 4 legs. There are other limitations as well but it has been a few years since I last used their software so I've forgotten the details.

Peter Hoadley has a moderately price software package (< $100) but I've never used it. I e-mailed the guy several times about some specifics but I kept getting the same response that he is too busy to answer specific questions and that his software is cheap enough that it is worth taking a flyer on. lol! Needless to say, I didn't!

Option Vue has a nice software package but it is a bit pricey for new traders. The professional version, which allows for IV management by individual legs, was $2500 a couple of years ago but has probably gone up since then. Be careful if considering Option Vue. They will try to hit you up with a bunch of month data fees which will double the price of the software in a year.
 
Quote from bebpasco:

Both the CBOE & OIC (888-OPTIONS) have fee risk graph software but I believe they are limited to 4 legs...

Peter Hoadley has a moderately price software package (< $100) but I've never used it...

Option Vue has a nice software package but it is a bit pricey for new traders. ..
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So in your travels, have you found anything better than that freeware that you glommed off that guy on Yahoo???

:)
 
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Quote from spindr0:

With lower priced stocks with narrower strikes, also check out calendar strangles (this one was a calendar straddle).
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Quote from bebpasco:

Huh? :cool:
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Hey, leave me alone. I was just throwing out some of that complicated option talk to sound impressive. I'm trying to suck in some noobs

:D
 
Calendar "straddles" are identical to doubling-up on either a put or call calendar. Calendar strangles, as Bebpasco traded, are distinct.
 
Quote from atticus:

Calendar "straddles" are identical to doubling-up on either a put or call calendar. Calendar strangles, as Bebpasco traded, are distinct.
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Ehhh you party pooper. I was just being difficult with Beb after my brain fart mis-statement.

I meant to say to Kedwards, check out double diagonals. Nix the calendar straddle comment... tho calendar straddles is another approach for reverse spreads yet not relevant to the RIMM trade.

:)
 
congrats to both types of positions (bebpasco's and atticus') - interesting that both the reverse calendar and calendar positions made money.

I have a question about atticus' position. With the single calendar spread position, obviously it wants the price to stay in a certain range, and ideally at the strike. But instead of using a calendar, what about using an ATM (iron) butterfly, say for the month of July? This way the position is definitely negative Vega for the IV-crush play.
 
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