atticus, is it possible that you can make a post without including a disparaging remark? you need therapy, man.
Actually, I got a different first name http://www.youtube.com/watch?v=0A5t5_O8hdA On a different note, for really short dated calendars, how do you evaluate an effect of economic announcements etc?
They're all vega at expiration of the short, so it would be a nice trade into NFP, closing the position on Thursday prior to the report. There isn't a lot of gamma in the combo initially, so you're really timing an event at/near expiration. If you can time it when we're in a trough on vol and var it's a nice trade, as is any long vol strategy. The term structure on calls and puts is dead-flat, so again, I don't understand Josh's premise that this works atm AND otm. These work really well in constituents when you get silly skews due to microstructure. BRK B was showing something in the 75 strikes, but it's probably not worth the effort. Josh, I apologize for interfering with your sales pitch.
OK, that's your predictive model -- forward implied is some function of historical vol. Doesn't excite me, but it's your $ not mine.
Something to share, Many years ago, when i switched from stocks to option trading, I subscribe to one of the snake oil salesman strategy (can't blame me at that time as I am too naive to identify the real guru). His strategy is virtually similar as yours (except he recommended SPY and QQQQ) - short near months straddle/strangle, long the back months straddle/strangle(I recalled it was 3 months back straddle/strangle). I remember I actually making money for the first 2-3 months, and I though I found the right guru and best money making strategy in the world (I make about 5-10% each month, mostly let the short option expired worthless if it not touching the strike price), then I increased my positions to about 30% of my option account Then, as you may guess, in that month the market make a small correction and I see the price move beyond my short/long put. I closed my position with 80% loss of initial debit - luckily at that time I only put a small amount of my money in the options account as a test drive with OptionExpress
I don't like double calendars in general. I don't mind the otm put calendar for a downside strike touch as vega (strip vol) will likely rise and help you. For an upside strike touch, i would prefer something with negative vega as strip vol will tend to decline into the lift. My bias would have to be for higher vols both ways for me to consider this trade (i.e. a low vol environment).
Would that rhyme with Larry's Lips or Perry's Pips or something? If so he has discovered weeklys and doing basically the same thing claims he will never lose again.