free 20 c

Discussion in 'Options' started by daniel5198, Jun 6, 2006.

  1. ok guys, here goes. an unusual opportunity. i am going to enter a double calendar on VTS today, exit planned 4 2moro. plan B- in case 2moro not profitable, will hold till June expiry, or profitability, whichever comes first. will let u know my P&L.
  2. double calendar? mechanics?
  3. If you are employing a long d. calendar be careful of your long far dated options. IV is in 90%ile, if vols mean revert it will be a painful experience. Is there a pending event as to why IV is so pumped up?

    Good Trading.
  4. just 2 b fair in this little game, here's my execution report 4 this trade: June 50 c sold for 2.65$
    June 50 p sold for 2.05
    July 50 c bought for 4.4$
    July 50 p bought for 3.6
    net debit for the trade 3.3$

    earnings coming out 2day after close. looking forward to tomorrow's vol. crush.
  5. where is your "free" 20 cents here ?
  6. Why buy the calendar if you are expecting a vol crush?
  7. You're straddling a time spread... the 50c and 50p time spreads are equivalent. You're simply doubling up. You obviously don't realize you're LONG volatility when LONG the time spread? You've doubled your long vegas into an expected vol-collapse.

    The basis is problematic as well. You're earning <1400 basis on the vol-box, not nearly enough to vol-edge to mitigate the absolute vol-loss to the spread. Sell time spreads if expecting a vol crush.

    The good news? VTS trades +/- a couple points and you gamma wins over your vegas. Good luck.
  8. Daniel5198
    If there is a vol crush then I hope you are only paper trading this one.
    daddy's boy
  9. VTS -$6.00...
  10. and Holland tunnel wide b/a spread for ITM. Probably 2$ loss for all four legs.
    #10     Jun 7, 2006