That inside a box options scalp had a ring to it.... theres no way to leverage an edge through term structure.... Can you ratio calendar with wing protection in the front month... so you have a credit spread with a long Calender... that's just sharping your negative convexity though... Or those jelly rolls
Thats the short box scenario that was supposed to have a slight edge inherent... maybe long box... don't ask me.. I'm total noob..
sorry that was actually a question. like "what theres no way to leverage an edge through the term structure?"
so how would you propose to scalp leveraging term structure.. say you think foward vol is priced to high out in the calender.. and you wanna go long the calender... how do you scalp? i barely understood the box scalp example that was given to me by Ammo.. i mean not really barely but i get it..starting out short a box you start with a credit to work off but your dealing with pulling long option legs off to scalp.. i'm already terrible at picking direction! haha.. so when you pull the long call off a short box. you end up with a short ITM Call option and a long OTM put which is a short synthetic stock position.. but you still have one leg from the long stock position still on which is the short ITM put.. your basically cutting your synthetic long position in half by removing the long leg of it and trapping gamma with it.. of course then whatever happens during the day you can trap, go neutral by putting the long leg back on and sleep great at night.. so now to the term structure.. jelly roll. this is just simply a long short position across the term structure.. long jelly roll is exactly like a long calender .. short stock synthetic front month.. long stock synthetic back month.. this is for arbing things over time.. dividends/ short interest.. or why not trapping gamma.. if your assigned on the short call or your excise your put in the front month at expiration you end up with short stock and long synthetic back month (a reversal) and then that at expiration cancels itself out.. .. soo that being said.. would love to hear how you would gamma scalp on a time spread... you know basically your gonna leg in and out of the front month short synthetic? so just for margin purposes pull the short of the front month when underlying is moving up then trap.. or pull the short put in the back month when the underlying is going down and trap.. basically pulling the sheets out from the long stock back month position by pulling one element of it so it can't keep up with the short stock position when the underlying is moving down.. then trap gains.. or vice versa.. another one i've always been curious about... long iron fly against a back month short iron fly... more definable margin requirment on smaller accounts.. your short OTM wing calenders , and your long to 2 ATM calenders.. +IRON FLY front month +call otm/-call & -put atm/+otm put -IRON FLY back month -call otm/+call & +put atm/- otm put equals 2 short otm calenders 1 otm short call calender +call otm/-call otm (front month/back month) 1 otm short put calender + put otm/- put otm 2 long atm calenders 1 atm long call calender -call atm /+call atm 1 atm long put calender -put atm/+put atm if you can't short front straddle against back straddle.. this would be the way to do it.. idk.. this is just me brainstorming.. maybe when you have earnings month against pre earnings month.. short straddle on oct long straddle on nov for example in the apple situation... i gotta think about this some more.. thats just two atm calenders one with puts one with calls.. you could do otm long calenders with puts and calls to.. and even ratio more front month shorts and buy wings to cover blow out risk and margin requirements.. a type of time fly.. i'm not trying to figure out a miracle strategy .. i'm just trying to figure out legging around in the term structure.. thanks for your help anyone!