Cooking Calendar Spreads

Discussion in 'Options' started by rocky_raccoon, Aug 29, 2012.

  1. I've traded calenders at earnings. Long and short without much success.. earnings I've only done well when my trades had large directional.risk. ie debit credit
     
    #51     Aug 31, 2012
  2. Don't long and short calendar spreads have different requirements to be profitable? The discussion seems to imply there is only 1 way to trade them.

    I'm new to this so if I've lost the plot, please bear with me.
     
    #52     Aug 31, 2012
  3. They're not complex. They slip to bimodal on theta only when structured deep OTM(ITM), or they're losing on gamma, which is why people ratio-out the vega (utterly moronic). Or worse, they roll. What's the point of being in a calendar to increase the gamma risk (and speed) and reduce the vegas? Obviously to increase the thetas, but then you're better off minimizing the complexity (to term structure) and simply sell some puts or strangles with less size.

    Better to diagonal than add gamma-risk via ratio. It's a poor wager to go deep OTM and ratio-out the vega under the illusion that you're still long vega in the term-structure. If you win it's not on term-structure 7/10x. it's because you took a dumb risk in the excess shorts.
     
    #53     Aug 31, 2012
  4. Two sides of the same market. As with any market.
     
    #54     Aug 31, 2012
  5. Doobs789

    Doobs789

    Can I get in on that? Thanks for the help.
     
    #55     Sep 5, 2012
  6. Doobs789

    Doobs789

    So for example GOOG reports in the Oct expiration cycle;

    Short Sep
    Long 2*Oct
    Short Nov??

    Close before which expiry?
     
    #56     Sep 5, 2012
  7. All I sent was a PM to buy the 60/70/80 AAPL fly on the weekly. But yeah, will do.
     
    #57     Sep 5, 2012
  8. Doobs789

    Doobs789

    Thanks man. Nice to see you posting about plain vanillas again.
     
    #58     Sep 5, 2012
  9. kapw7

    kapw7

    Since you made that public: Was it mainly a bet on volatility or price? Or both? (price up - vol down)
     
    #59     Sep 5, 2012
  10. I didn't even look at the vol-line. I rarely do on expiration week (weeklies or last week of monthlies). Betting on a touch of neutrality at some point this week.
     
    #60     Sep 5, 2012