Reverse Calendars

Discussion in 'Options' started by IV_Trader, Aug 13, 2006.

  1. Latest reporting results combined with current ( very slow) price action will create very good RC opportunities. Some stocks will have up to 2000 bp diff between the front and back (2 - 3 months) month. One will be able to establish a +gamma , neutral theta and neutral ( almost) vega position on certain stocks.
  2. Yes, gamma week should have some good risk/reward short calendar pickings :D

    I shall be stealing your filtered list of candidates in due course.

  3. look no further than infamous ISRG and SNDK. OCT/NOV entry , sometimes at the last week of September. Both will print vols around mid 40's(for OCT) and mid 60's for NOV.
  4. Infamous indeed. Looking to see them report between 9-20th OCT :D
  5. 9-20 OCT ? That would be a disaster for RC , they MUST report after the 20th. Mo , I think I confused you with my post. I was referring to diff strategy on RC.
  6. Yeah, you have me well confused :p

    [EDIT: Re-read your first post. I see what you're looking at now :) Different strategy]
  7. :)
    two types :

    1.Reporting day in the front month(the old way) : establish vega neutral position one day before and hope for a big move in stock on the day of report.

    2.Reporting day in the Back month (this thread): enter when vols diff =1500bp+ (front is LESS than back), and close all positions on the Front month exp day.
  8. Leverage tenor skew to get "reduced cost" front month gamma? Hmmm....yeah okay.
  9. IV, are you calling a market bottom here?
  10. mantenar



    Are you still trading RCs. Do you have any active forumon this.

    #10     Sep 25, 2006