The Monkey Calendar
- Thread starter cdowis
- Start date
The basic position is the calendar which itself has its own edge in the proper markets -- markets which trade in a range, and on the low end of volty, and I anticipate no sharp move such as earnings.
But the calendar standing alone is vulnerable, and the traditional adjustment is to place a second calendar as the market moves.
Instead of using another calendar, I use the call vertical. So my "edge" over the calendar adjustment (double calendar) is to reduce vega risk, and a hedge against the downward move.
If you look at the analysis, the vertical tends to flatten out the P/L curve. The calendar alone has a good curve on the upside, but the downside is a sharp curve down, and the vertical flattens it out.
Today I placed two calendars on the GS (aug/oct 175put), and then placed one call vertical (aug 190/200 call). The GS has been moving down, and the vertical has hedged against the loss.
But the calendar standing alone is vulnerable, and the traditional adjustment is to place a second calendar as the market moves.
Instead of using another calendar, I use the call vertical. So my "edge" over the calendar adjustment (double calendar) is to reduce vega risk, and a hedge against the downward move.
If you look at the analysis, the vertical tends to flatten out the P/L curve. The calendar alone has a good curve on the upside, but the downside is a sharp curve down, and the vertical flattens it out.
Today I placed two calendars on the GS (aug/oct 175put), and then placed one call vertical (aug 190/200 call). The GS has been moving down, and the vertical has hedged against the loss.
Just to report on the downmove today:
The Aug call vertical is working well on BUDU where I have a Jul IC with the LEAP calendars. The vertical is doing its job on the GS monkey calendar as well.
GLD is rather quiet.
If anyone is interested, I'll post my positions on an updated spreadsheet.
The Aug call vertical is working well on BUDU where I have a Jul IC with the LEAP calendars. The vertical is doing its job on the GS monkey calendar as well.
GLD is rather quiet.
If anyone is interested, I'll post my positions on an updated spreadsheet.
If you have the monkey spread, normally you may have two calendars against a single call vertical.
In this position you may look carefully before taking off "partial profit". For example, the calendar is profitable, so you take off one of them.
However both calendars are protecting the call vertical as the market goes up. Having taken off one of the calendars, you have an increasingly losing trade as the market goes up.
You need to watch the entire position.
In this position you may look carefully before taking off "partial profit". For example, the calendar is profitable, so you take off one of them.
However both calendars are protecting the call vertical as the market goes up. Having taken off one of the calendars, you have an increasingly losing trade as the market goes up.
You need to watch the entire position.
BIDU == still has the Nov/Dec 380 call calendar. Have been waiting to sell an Aug vertical, and with earnings, market made a large move up today. Sold Aug 370/380 call vertical.
Again, on this long term calendar, my strategy is to sell a vertical for monthly income, similar to a covered call strategy. I am using the calendar as a substitute for a long position.
I bought back the vertical on GLD, so I have a "naked" calendar.
I am already looking for Sep positions, now that the IV is becoming more reasonable.
Again, on this long term calendar, my strategy is to sell a vertical for monthly income, similar to a covered call strategy. I am using the calendar as a substitute for a long position.
I bought back the vertical on GLD, so I have a "naked" calendar.
I am already looking for Sep positions, now that the IV is becoming more reasonable.
Bought 2xGOOG Dec/Jan 510 put @ 3.24. This is not a monkey calendar, but one of my long term positions, such as the BIDU.
Since this is near the bottom of the well, and moving up, will wait to sell call vertical, if I do it at all.
When I get time, I will give my entire Aug position, but, as I said, I am looking to open Sep positions next week. I try to go 6 or more weeks out.
Since this is near the bottom of the well, and moving up, will wait to sell call vertical, if I do it at all.
When I get time, I will give my entire Aug position, but, as I said, I am looking to open Sep positions next week. I try to go 6 or more weeks out.
Let's look at BG for Sep.
IV is low, in a recent channel, one month between sep and oct options, and no significant skew between the options.
The way I analyze the calendar I show 96 cents potential profit for a dollar risk, well above my minimum.
Will not go into the actual trade until.... I actually do it, but you get the idea.
NOTE: On GOOG, this was a good time to buy the LEAP calendar with IV very low, and earnings behind us for abit. Basically I look for one month calendars, such as Dec/Jan. The risk is low and potential reward very attractive. And I can use the LEAP calendar to hedge a call vertical to get additional premium each month. No need to wait so long for the payout. I try to put the verticals far out, no need to get greedy.
IV is low, in a recent channel, one month between sep and oct options, and no significant skew between the options.
The way I analyze the calendar I show 96 cents potential profit for a dollar risk, well above my minimum.
Will not go into the actual trade until.... I actually do it, but you get the idea.
NOTE: On GOOG, this was a good time to buy the LEAP calendar with IV very low, and earnings behind us for abit. Basically I look for one month calendars, such as Dec/Jan. The risk is low and potential reward very attractive. And I can use the LEAP calendar to hedge a call vertical to get additional premium each month. No need to wait so long for the payout. I try to put the verticals far out, no need to get greedy.
Here are my sep positions.
As I mentioned, there is a new GOOG LEAP calendar, and I continued the BIDU long term calendar from the previous spreadsheet.
Trying to sell a BG call sprread today, so it is a naked calendar. Normally I put on both the calendar and call spread on the same day, but did not work out on this one.
Profit and loss for each closed position is on the left column across from each position.
Over the past week I went from a low water mark ($18,850) to high water mark ($18,850) for the year.
As I mentioned, there is a new GOOG LEAP calendar, and I continued the BIDU long term calendar from the previous spreadsheet.
Trying to sell a BG call sprread today, so it is a naked calendar. Normally I put on both the calendar and call spread on the same day, but did not work out on this one.
Profit and loss for each closed position is on the left column across from each position.
Over the past week I went from a low water mark ($18,850) to high water mark ($18,850) for the year.
