trading volatility

Discussion in 'Options' started by met1989, Sep 4, 2019.

  1. qlai

    qlai

    Thank you, Robert! I guess I am still thinking directionally, so the idea in my head was to let the front months expire worthless and be left with long straddle (best case scenario). I don't think I've ever come across anyone describing this as a valid strategy (where both guts and wings are same strike). Must be either incredibly genius or incredibly dump.
     
    #11     Sep 4, 2019
  2. Robert Morse

    Robert Morse Sponsor

    Well the 4 legs are good for your broker but not you. And, not appropriate for a stock you expect to move a lot.
     
    #12     Sep 4, 2019
    Jeff1228 likes this.
  3. ffs1001

    ffs1001

    This is essentially a double calendar, although normally a double cal would be done with Puts and Calls at different strikes, and both OTM. Eg, if SPX is at 2930, then the Put cal would be at a strike say 2900, and the Call cal would be at something like 2960. This gives a nice wide-ish profit 'tent' with a dip in the middle.
     
    #13     Sep 4, 2019
  4. destriero

    destriero


    No, it's not.

    A call and put calendar at the same strike are equivalent. You're simply doubling size. WTF do you people feel the need to drone endlessly about sh!t which you're clueless?
     
    #14     Sep 4, 2019
  5. ffs1001

    ffs1001

    This says a lot about your level of maturity. If you have a better name for the structure then lets hear it. Otherwise, you're just behaving like a cocky school-boy. I don't care how many fanboys you have here or how many thousands of cryptic posts you have under your belt - if you cannot be civil and post something useful to the thread, then stay away from it.
     
    #15     Sep 4, 2019
  6. marameo

    marameo

    Why not a straddle swap on the vega sector?
     
    #16     Sep 4, 2019
  7. destriero

    destriero


    It's equivalent. A put calendar is arbitrage-eq to the call calendar. IOW they are identical in risk.

    SO NO. It is NOT "essentially" a double calendar. Trading a one lot of each is simply doubling the exposure to the calendar at that strike.

    It's not semantics. It's arbitrage.

    Stay away? Take your own advice until you have something of value to contribute.
     
    #17     Sep 4, 2019
    Philo Judeaus likes this.
  8. This thread-starter is a legend.
    Props to you, sir.

    Cheers.
     
    #18     Sep 5, 2019
    Real Money likes this.
  9. ffs1001

    ffs1001

    I see that cowardly Dest has put me on Ignore - as soon as someone starts fighting back, he runs with his tail between his legs.
     
    #19     Sep 5, 2019
  10. destriero

    destriero

    I put you on block.

    You don't know that a put and call calendar at a strike is equivalent. So out of ignorance you tell the guy it's "essentially a double calendar" which is erroneous.

    It's synthetics 101. Trading a put and call calendar at a strike is doubling your size/risk. Not knowing that is dangerous.

    Say you're long a DITM put calendar and the market is wide and you're babysitting an order to STC with no liquidity. The same strike call calendar can be shorted which results in a synthetic long shares in the front; synthetic short shares in the deferred. You're shorting the call calendar bc ostensibly there is more liquidity in the OTM.

    No risk as you're simultaneously long and short in tenors.
     
    Last edited: Sep 5, 2019
    #20     Sep 5, 2019