... for a 2.71 db.
I don't have any IWM on, and we're in a low volatility market, and calendars are a low volatility strategy, so putting one on here ... . The back month is setup around the 40 delta; the front at the same strike as the back.
Unfortunately, as with all calendars and diagonals, they're aren't a good deal of metrics to look at. Here's what we do know:
Max Loss: $272/contract
Theta: 1.26
Delta: -12.3
Notes: I'll look to pull this off at 10% max and to roll the short put out "as is" if it decreases in value by 50% or so to collect additional credit.
I don't have any IWM on, and we're in a low volatility market, and calendars are a low volatility strategy, so putting one on here ... . The back month is setup around the 40 delta; the front at the same strike as the back.
Unfortunately, as with all calendars and diagonals, they're aren't a good deal of metrics to look at. Here's what we do know:
Max Loss: $272/contract
Theta: 1.26
Delta: -12.3
Notes: I'll look to pull this off at 10% max and to roll the short put out "as is" if it decreases in value by 50% or so to collect additional credit.
Trade attivo
Rolling out the 139 short put "as is" to the Sept 1st 139 for a .35 cr on this up move. Cost basis now 2.37. Will look at rolling to a vertical spread if it "keeps going."Trade attivo
Rolling the Nov 139 long put to the 138 long put locking in the (small) increase in value experienced by the long, but (more importantly) getting a .31 credit to do it. Scratch at 2.06.Trade attivo
Rolling the Nov 138 long put down to the Nov 137 long put for a realized gain of .41 ($41/contract) and a credit of .33. The scratch point is now at 1.73, and the resulting diagonal is a Sept 1st 139/Nov 17th 137.Trade attivo
Rolling the Nov 17th 137 long put down to the 136 for a realized gain of .48 ($48) and a credit of .33. Scratch point is now at 1.40. Waiting for more extrinsic to bleed out of the short before rolling it ... .Trade attivo
Rolling the Sept 1st 139 to the Sept 22nd 138 for a .48 credit. Scratch point at .92. This makes the diagonal a little less long delta.Trade attivo
Rolling the Nov 17th 136 long put down to the 135 for a realized gain and a .34 credit. Scratch point at .58.Trade attivo
Rolling the Sept 22nd 138 down to the Oct 20th 137 for a .63 credit. Scratch point now at (.05). With credits received now exceeding what I paid to put it on, I'm basically looking to sit on the setup until near expiry ... .Trade attivo
Covering the Oct 20th 137 short put for a realized gain and a 3.05 db and selling something closer in time -- the Sept 29th 135 short put for a 1.51 credit, so I'm now back to a same strike calendar -- Sept 29th 135/Nov 17th 135. Scratch point now at (.05) + 3.05 - 1.51 = 1.54. Sometimes you can fix stuff when you later say, "Geez, I shouldn't have done that" (i.e., "rolled out that far").Trade attivo
Rolling the Sept 29th 135 to the Sept 29th 136 for a realized gain and a .26 credit (delta balancing). Scratch point at 1.28.Trade attivo
With the short put having lost >50% of its value, rolling the Sept 29th 136 to the Sept 29th 137 for a realized gain and an .18 credit (delta balancing). Scratch point at 1.10.Trade attivo
Rolling the Sept 29th 137 to the Oct 6th 137 for a .19 credit; scratch at .91 (picking up some long delta).Trade attivo
Rolling the Oct 6th 137 to the Oct 13th 138 for a .19 credit (delta balancing; short put at >50% max). Scratch at .72.Trade attivo
Post is getting a little long in the tooth, so continuing it in a separate one, since it has now morphed into a diagonal ... .
Declinazione di responsabilità
Le informazioni ed i contenuti pubblicati non costituiscono in alcun modo una sollecitazione ad investire o ad operare nei mercati finanziari. Non sono inoltre fornite o supportate da TradingView. Maggiori dettagli nelle Condizioni d'uso.
Declinazione di responsabilità
Le informazioni ed i contenuti pubblicati non costituiscono in alcun modo una sollecitazione ad investire o ad operare nei mercati finanziari. Non sono inoltre fornite o supportate da TradingView. Maggiori dettagli nelle Condizioni d'uso.