The Monkey Calendar

If you also add the Put vertical (making it an IC) and combined with the Calendar, it reduces the Vega further, and increase Theta at the same time widening your break even points.

I just call it a Bell Calendar (that is what it looks like on the graph). I know you mentioned that the original trade was to hedge the downside, but the IC will give a better downside from the BE points, with neutral delta, less Vega and more theta - it's win-win!!! Yes, the probable loss adding the IC is more compared to having just the vertical Call. I am sure you have some risk management guides in place (yes, I saw your nice post on Woodies forum - the hot dog stand one), and with the widened BE points, it will be better to manage.

What are the columns N onwards in your spreadsheet? Where do you have the running total? Just curious, was this created just for this post, or you use this spreadsheet to keep track of your trades?
 
Quote from thinkplus:

1. If you also add the Put vertical (making it an IC) and combined with the Calendar, it reduces the Vega further, and increase Theta at the same time widening your break even points.

I just call it a Bell Calendar (that is what it looks like on the graph). I know you mentioned that the original trade was to hedge the downside, but the IC will give a better downside from the BE points, with neutral delta, less Vega and more theta - it's win-win!!! Yes, the probable loss adding the IC is more compared to having just the vertical Call. I am sure you have some risk management guides in place (yes, I saw your nice post on Woodies forum - the hot dog stand one), and with the widened BE points, it will be better to manage.

2. What are the columns N onwards in your spreadsheet? Where do you have the running total?

3. Just curious, was this created just for this post, or you use this spreadsheet to keep track of your trades?
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1. I thought about that, but I am more concerned about the down side than vega risk, so I decided to leave it a call vertical. The vega should be ok because it is on the low side when I placed the trade.

I will have to give it more thought.

2. Those show the daily liquidation value of each position. When I close a position, I note "filled". The first column shows the profit/loss for each position when I close it. So far, only losses, of course, but I should be going for profit stops soon.

3. Yes, I have been keeping this identical spreadsheet for over a year. I just copied the trade for the past few weeks for this post.

I now have a made a profit for the year, and made up my loss ($200) for last year.

It was very interesting to take my trades last year and run them thru Backtrader (TOS). Basically the Monkey Calendar is a response to my research.

Thanks for your comments and observations.
 
Looking at fxi this weekend -- at 133.40

My new position is $115 underwater, and if the market moves to 130 (where I think it will bottom out), there is only nominal loss. I have three weeks before "drop dead" (I get out before expiration week), so I think I can leave it alone for now. While it is tempting to add another calendar at Jul/Aug 140 put, I am trying to avoid double calendars.

Hope you don't mind my thinking out loud.
 
1. Closed the fxi calendar @ 140 because it had negative theta.

Replaced it with jul/aug 135 put calendar at 280. The vertical is still in play.

2. Closed the IBM calendar at 220, because of negative theta, and earning coming up. Closed vertical at nominal 17.

I close (or adjust) calendars when there is negative theta, or impending earnings. I close the verticals when they drop to a nominal value (below 20).

I placed a new fxi calendar since there are more than two weeks before expiration, and the vertical still has value (greater than 50).
 
Quote from cdowis:

1. Closed the fxi calendar @ 140 because it had negative theta.


2. Closed the IBM calendar at 220, because of negative theta,
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How did you have negative Theta? In your spreadsheet some of the months are not specified, so I don't want to assume anything.
 
I place my breakeven date for one week prior to expiration. If the market goes far below the breakeven point, the future premium can go below the current premium == it can go into negative theta territory.

If you do an analysis of a calendar, you will see what happens.

I have placed all strike prices on my journal file, so let me know where you are having a problem.
 
"negative theta"

Let's take an example. The market has made a major move and the short near month option is priced at 10 cents, and the long far month still has 100. We have two weeks before expiration.

I assume you can see where there is negative theta in this situation.
 
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