Calendars -- position sizing question

Discussion in 'Options' started by cdowis, May 30, 2007.

  1. cdowis


    How to evaluate two calendar positions for position sizing purposes. Let's assume each position is very close in delta, but have differences in the other greeks, and position cost.

    I want to size each position equally, to balance them off. Any suggestions?

    So far, I basically have used equal risk (position cost) but I'm wondering if someone has some other ideas. Van Tharp suggests looking at the volatility of different markets (e.g. ATR), but not sure if this applies here.

    thanks for your ideas.
  2. cdowis


    I was looking at some combination of gamma and ATR, or volty.