Hey UB would you keep us up to date on your SPX calendar? I've often wondered how a calendar vs. IC would do and saw that you are essentially doing a double calendar at two diff strikes. Very interesting!
I'll try! I'm not a great journal writer. I've attached my spread post from the SPX Credit Spread thread: "Here's a neutral calendar that I opened yesterday on SPX. Essentially it is hoping that volty will increase over the next month (or at least not decline). SEPT/OCT 1210 Put Cal SEPT/OCT 1250 Put Cal SEPT/OCT 1300 Call Cal SEPT/OCT 1325 Call Cal I don't think this has any particular name. I call them "crown spreads" due to the expiration risk graph looking like a crown (to me). However, if SPX jumps up or down, it might be better to call it a "clown spread". I like these because they have some of the "hands off" characteristics of ICs, but allow more adjusting if needed. Also, I think that being pos theta and "some" vega is good going into the autumn. I have some neg vega spreads elsewhere to decrease the horribly pos vega on this one." Hope this is helpful, Ugly
thanks Ugly...those strikes could make a nice looking double diagonal as well! The thing with calendars is there is no margin/BP requirements.
ok I lied...I said I wouldn't futz with OIH until Sept. However giving some thought as to WHY I bought the 140OCT puts...realized it was more reflexive than thoughtful...why more money into a possibly losing position? No really good reason so I bought them back. originally BTO for 8.60 STC for 8.40 losing $200 +commish...so that goes into the loss column....
Sold my neutral VAS dual calendar today. So: 8/8/2006: BTO SEPT/OCT 22.5 Put Calendar @ 0.15 Debit BTO SEPT/OCT 30 Call Calendar @ 0.05 Debit "Average price" per put/call spread = 0.10 Debit 9/8/2006 - Closed today for average price of 0.42 Credit i.e 420%return on debit and about 150% return on margin. That worked better than planned (which I assume means the next one will work worse than planned). I'm enjoying these neutral calendars - I have one on with IMH and SORC (which I really am excited for). I would be very interested in hearing about others' experience with this type of "neutral" strategy - It's a relief not to have to pick direction - although perhaps predicting volatility is no easier. I've been thinking about " scale trading" volatility using a neutral spread - it is something I've done hedging Convertible debs, but it needs deeeeeeep pockets - any insight?
>if you are going to trade the VIX options i suggest you familiarize yourselves with the vix futures first. CBOE has a couple of webcasts on the VIX. http://www.cboe.com/LearnCenter/webcast/archive.aspx
I may have been unclear. What I meant was establishing a neutral position in equity XYZ when it's volty is low. If Volty drops lower, add another neutral spread. Sell when (if) volty goes up. Kind of like buying pork bellies/cocoa/twinkies/whatever as prices drop. I suppose the risk is that volty on equities can go to zero if the stock is delisted, unlike commodities. I see this as a way to become fantastically poor fantastically quickly, but it is interesting to think about, non? Ugly
Whatever trips your trigger The reality is we chose our poison. We must either make a volatility bet or a directional bet...something about "no free lunch". I do agree at least on the surface it looks like a vol bet is less stomach turning.
Interesting. So these are straight calendars and not diagonals. Assuming the 1250-1300 range holds near Sept exp, is your plan to roll any of these or just close them?
I placed a calendar at the beginning of the week: IWM Aug/Sep 69 put @ .85 Market moved down, approaching my downside breakeven, so I added another calendar: IWM Aug/Sep 66 put @ .95. This double calendar widened my breakeven points, increased in total potential profit at 68, and put me at delta neutral. I entered the trade because the IWM was at moderate to low IV, and in a consolidation pattern. I don't roll out for adjustments -- just too complicated for my simple mind. Just add another calendar, or close the position, depending on what the new position looks like.