Calendar Spreads

Closed SP oct/nov 1290/1275 put diag at 280, loss of 100.

 

Rolled the EC Nov/Dec 1275 put calendar into a 1255. The 1275 cost me 42 for a loss of 6. The spread closed at 42.

I have been very impressed with the EC market. I bid 52 for the 1255 spread, got it for 51 AND it closed at 51 with little market movement.

The EC pit seems to be very friendly. I had two spreads with zero slippage.

 

Yoo Hoo Eliot FYI with
xle hitting 55 I've decided to put in an order to close the Calendar for .60 are you still holding or have you closed it?

 

Did you get filled? If so, how did you come out overall on the trade? I have some XLE calendars also, the Nov/Jan07 52-57s. Right now they look good, but we still have 18 more days until the first expiration.

 

I did get filled and over-all a 50% return on investment.

 

sorry to barge in,but who do you use to execute option spreads??do you find the slippage/bid ask spread tolerable??

do you reccomend any particular broker??

Thanks

 

ToS, ToS, ToS..........

~B

 

I mentioned earlier I am trading a multiple calendar position in XLE, which is Nov/Jan Put calendars at the 52,53,54,55,56 and 57 strikes. Is Gamma risk near expiration in multiple calendars muted somewhat as compared to single calendars? It seems to me it would be if you are near the middle of your strikes, as one calendar becomes less profitable, another becomes more profitable, as long as you do not get past the outside strikes. Most experts recommend rolling or closing a single calendar 3-10 days prior to expiration due to increasing gamma. Can you ignore this rule and bleed out all of the Theta in a multiple calendar if the stock price stays somewhat centered within your strikes?

Tim

 

There is no such thing as a "rule" per se, as it is more dependent on your view of the underlying. In your multiple calendar setup you will want the underlying to be as close to the middle strike as possible on exp. Theta gain should negate gamma risk in that position.

 

I agree with RMC although don't have much experience with multiple calendars, however Tim I'm curious as to why you have so many calendars? Did you put them on at the same time or at different times? What was/is your view of XLE (up, down, sideways?) For me it seems like too much accounting and/or overlapping. Not criticizing just wondering?