You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
The Monkey Calendar
- Thread starter cdowis
- Start date
I closed the vertical because it had run out of premium. Rather than selling a lower vertical, I chose to close the entire position because it had moved so far.
This is uncharted waters and I want to see what happens before throwing another position on. I go after high probability trades where I have some opinion on the future.
Sold 1 x BIDU jul 360/370 call vertical for 110. As you said, I sell a lower vertica as long as I have a calendar covering it. In this case, three calendars.
This is uncharted waters and I want to see what happens before throwing another position on. I go after high probability trades where I have some opinion on the future.
Sold 1 x BIDU jul 360/370 call vertical for 110. As you said, I sell a lower vertica as long as I have a calendar covering it. In this case, three calendars.
I have been giving a running commentary on my Jul positions. I am starting my August stuff -- I go 6 to 8 weeks out on my positions.
If anyone is interested, bought 2 x OIH aug/oct 220 put for 580. Looks too bullish to place the call vertical. Wait around and see where the upside is before placing the vertical.
Normally I place the calendar slightly bullish, but the OIH does not have a 225 strike price so my choice was between 220 and 230, so I chose the closest to ATM.
Also, I try to avoid two months between the front and back month, but I really like the OIH. It has been like a good friend. Very liquid and I usually get good fills.
Another $3 day for BIDU. Today was up, tomorrow probably down. Picked up 10 cents on my vertical.
If anyone is interested, bought 2 x OIH aug/oct 220 put for 580. Looks too bullish to place the call vertical. Wait around and see where the upside is before placing the vertical.
Normally I place the calendar slightly bullish, but the OIH does not have a 225 strike price so my choice was between 220 and 230, so I chose the closest to ATM.
Also, I try to avoid two months between the front and back month, but I really like the OIH. It has been like a good friend. Very liquid and I usually get good fills.
Another $3 day for BIDU. Today was up, tomorrow probably down. Picked up 10 cents on my vertical.
When you add your second calendar to get the bulk of your position near the current price of the underlying what ratio have you maintained with the previously employed position?
For instance, if you had a 10 contract position and the underlying went down to the next strike do you guys immediately place another 10 contract calendar at that lower strike, or do you rather place a 5 contract or 20 contract position to rebalance the place of maximum premium?
I have been backtesting rolling the spread up and down to follow the prices of common ETF's such as EWZ (brazil) and OIH. I found that when initiating the new calendar spread, it is better to take off 50% or 100% of the old calendar spread and reposition the trade with either a matching 100% or even 150% of the original position. In the back testing this has been successful, however I do not completely trust the end of day numbers given by my broker's back trade software. Has anyone had any experience with this method in actual trading conditions?
Thanks for your reply.
For instance, if you had a 10 contract position and the underlying went down to the next strike do you guys immediately place another 10 contract calendar at that lower strike, or do you rather place a 5 contract or 20 contract position to rebalance the place of maximum premium?
I have been backtesting rolling the spread up and down to follow the prices of common ETF's such as EWZ (brazil) and OIH. I found that when initiating the new calendar spread, it is better to take off 50% or 100% of the old calendar spread and reposition the trade with either a matching 100% or even 150% of the original position. In the back testing this has been successful, however I do not completely trust the end of day numbers given by my broker's back trade software. Has anyone had any experience with this method in actual trading conditions?
Thanks for your reply.
Quote from cdowis:
I have been giving a running commentary on my Jul positions. I am starting my August stuff -- I go 6 to 8 weeks out on my positions.
If anyone is interested, bought 2 x OIH aug/oct 220 put for 580. Looks too bullish to place the call vertical. Wait around and see where the upside is before placing the vertical.
Normally I place the calendar slightly bullish, but the OIH does not have a 225 strike price so my choice was between 220 and 230, so I chose the closest to ATM.
Also, I try to avoid two months between the front and back month, but I really like the OIH. It has been like a good friend. Very liquid and I usually get good fills.
Another $3 day for BIDU. Today was up, tomorrow probably down. Picked up 10 cents on my vertical.
When you are considering possible trades, are you looking at the implied volatilities of the options in the calendars and verticals, trying to find spreads where the differential is attractive?
Quote from dmo:
When you are considering possible trades, are you looking at the implied volatilities of the options in the calendars and verticals, trying to find spreads where the differential is attractive?
I try to avoid a skew (large iv differences between front and back months). Usually means earnings or some other potentially major event coming up.
I want a quiet market, not one that is going to be making a major event. No free lunch -- the market has a reason for pricing a skew.
I am looking for a market with low volty because an increase in volty helps the calendar.
You might check out Dan Sheridan's webinars on cboe.com. He goes into great detail on calendar spreads, what to look for in a calendar. He uses VIPES (volty, industry, price action, earnings, skew) to consider in placing a position.
Redeye,
Dan Sheridan recommends taking off 50% from the original position and placing that on the second calendar. Thus, in a 10 calendar position, you now have 5 and 5.
That is one reason I am looking at this method of handling the adjustment -- when you take off a position and adding another, there is alot of slippage going on and it's just a pain, especially if you are not doing this full time.
IMO, it's really awkward and heavy handed for someone who has to work for a living.
Dan Sheridan recommends taking off 50% from the original position and placing that on the second calendar. Thus, in a 10 calendar position, you now have 5 and 5.
That is one reason I am looking at this method of handling the adjustment -- when you take off a position and adding another, there is alot of slippage going on and it's just a pain, especially if you are not doing this full time.
IMO, it's really awkward and heavy handed for someone who has to work for a living.
Cowdis,
I agree. I have a 10 lot calendar position on GLD right now that I'm moving around just for practice.
I chose this underlying primarly because of its price ranging and the large volumes on the option set, hoping to get good fills.
I added a second 10 lot today several strikes away from the first inorder to adjust for the today's underlying movement. After doing this, I agree with you - trying to move the whole position around in a single order is clumbersom, and the slippage is a big unruly.
I backtested several ETFs where one begins on the first day of the expiration set and basically chases the underlying around by moving calendars to keep it in range. I did this in the most volitatle months I could find, and if one is able throw enough capital at the situation (probably 2-3X original position requirements) it seems that on most months, outside of a major gap opening, a profit can be acheived.
Naturally I'm against using substantially more capital to keep a position alive, however when the original position p/l ratio is many times 1:1 or better, a sucessful 1:3 win seems acceptable.
Anyhow, I start classes with Dan Sheridan in September, but I wondered if anyone here has experience using calendars in this fashion.
Thanks,
Redeye
I agree. I have a 10 lot calendar position on GLD right now that I'm moving around just for practice.
I chose this underlying primarly because of its price ranging and the large volumes on the option set, hoping to get good fills.
I added a second 10 lot today several strikes away from the first inorder to adjust for the today's underlying movement. After doing this, I agree with you - trying to move the whole position around in a single order is clumbersom, and the slippage is a big unruly.
I backtested several ETFs where one begins on the first day of the expiration set and basically chases the underlying around by moving calendars to keep it in range. I did this in the most volitatle months I could find, and if one is able throw enough capital at the situation (probably 2-3X original position requirements) it seems that on most months, outside of a major gap opening, a profit can be acheived.
Naturally I'm against using substantially more capital to keep a position alive, however when the original position p/l ratio is many times 1:1 or better, a sucessful 1:3 win seems acceptable.
Anyhow, I start classes with Dan Sheridan in September, but I wondered if anyone here has experience using calendars in this fashion.
Thanks,
Redeye