What rally meant was that with the drop on Wednesday, OTM Calls got more OTM and therefore gamma decreases due to the underlying moving further away from the strike. If you sell a call spread right after a drop like that, it is not condusive to your ultimate P/L as you are picking up pennies (selling severely deflated premium) and taking on the risk of a mad truck in the form of a reversal with over two weeks left till expiration.
Buying an OTM call diag is safer, but possible decrease in volty as market moves up. I have a SPY Nov/Dec 137 put calendar on for the past couple of weeks.
Hmmm, whadda ya know! So do I! I was looking to reduce some -delta. Still learning how to use Greeks. Cru
Looks like you prob should've taken your gains from the dip. If we continue up and you consider the weekend vol shrink, VIX is going to drop back down around 11 today. {edit} That is of course assuming you're long the back month.
>I was looking to reduce some -delta. I was heavy +deltas going into the employment report, so I liquidated my 140 calendar. Can anyone give me some ideas on a double calendar vs double diag? Margin and premium are obvious, but any other ideas? I've been looking at the euro, and I feel uncomfortable with a single calendar.
As pointed out by Mo in the past when I started looking at diagonal, diag = calendar + vertical. Mo probably can give you more ideas how to long or short put calendar or call calendar based on vol skew.
It is not a pure gamble. It is an intelligent bet based on statistical info. I will never do a pure gamble.
Thanks for the info. Based on the data provided, it is not random. I believe it is some sort of temporary market manipulation by giant option players. The down set has a larger (around 2x) deviation when compared to the up set. The set - close is not a normal distribution and is heavily skewed. We can look at the statistical data from the open - close for each day (not expiration day). If the statistical data from these two sets of data are significantly different, we probably can infer some useful info from it.
>Looks like you prob should've taken your gains from the dip. Right now I am in learning mode. I am focusing on what to do when things go wrong, using small positions, rather than taking profits. And the market has been very accomodating in teaching me that lesson.