Chuck451 352 Report post Posted August 12, 2015 I've been tracking this as a paper trade, and started this topic to see if anyone else is watching this one. Looking at the earnings charts and attempting to figure out good entry points on my own, I saw that with NTAP it looked like a good entry point would be .50 for a double calendar or .25 for each side. On Friday, the mids of the 30Put and 31Put calendars were around .25 and .27 respectively. Today the mids have both hit .41. Again, this is a paper trade, so not true fills. Also the OI seems a little low from a liquidity perspective. Theoretically if we entered around .25 on Monday, and as I type the mids are .40 and .38, the trade would be up 50% w/o commissions. Just thought I'd share and see if anyone is watching this one. Cheers! Share this post Link to post Share on other sites
tjlocke99 18 Report post Posted August 13, 2015 Interesting trade Chuck. Typically I think the traders here stay away from very low priced calendars and also look for high vol underlyings, so $.25 for at the cheapest about $4 to 5 round trip in fees would in general make this trade prohibitive. Share this post Link to post Share on other sites
Chuck451 352 Report post Posted August 13, 2015 Agreed. I'm using this as more of an exercise to see if I can take the education provided by Kim and the charts from dbh, and run some paper trades and see how they work out. I have traded some lower cost calendars on an ad-hoc basis. For example, I did trade some 1-week calendars for BABA in the last cycle. In at .18 and out at .27. that was a 50% gain before commissions and a 32.8% after. I believe Yowster routinely trades these lower cost calendars as well. Granted, the large percentage of the commissions do take the toll on the gains and add significantly to the losses. Still, I think these types of lower costs calendar trades have potential. Cheers. Share this post Link to post Share on other sites
Yowster 9,850 Report post Posted August 13, 2015 Agreed. I'm using this as more of an exercise to see if I can take the education provided by Kim and the charts from dbh, and run some paper trades and see how they work out. I have traded some lower cost calendars on an ad-hoc basis. For example, I did trade some 1-week calendars for BABA in the last cycle. In at .18 and out at .27. that was a 50% gain before commissions and a 32.8% after. I believe Yowster routinely trades these lower cost calendars as well. Granted, the large percentage of the commissions do take the toll on the gains and add significantly to the losses. Still, I think these types of lower costs calendar trades have potential. Cheers. Yes, based on the track record this year, I will typically trade the shorter duration calendars when the long leg (next monthly series out) falls a week or two after earnings (and also for high priced stocks with decent options trading volume). The performance this year has shown the dollar gains (not percentage) have usually been quite similar for the short duration vs the longer, so I'm not a big fan of going out extra weeks just to make the trade entry price higher and more in line with what we typically look for. However, I typically do size my positions smaller knowing that the gain% I'm shooting for is much higher. I was basically in the same boat at Chuck with the BABA trade (in at 0.18 out at a mix of 0.24 to 0.27). Share this post Link to post Share on other sites
Chuck451 352 Report post Posted August 18, 2015 Just a quick update... The 30put calendar mid hit .48 early this morning, and the 31Put calendar was as high as .47. IV seems to have risen on the short month, and the mids have dropped to .42 and .41 now. If this had been a real trade for me I'd have sold when it hit 50% gain before commissions. The OI on these are as follows: AUG 30P - 1,650 AUG 31P - 2,948 SEP 30P - 657 SEP 31P - 1,189 This seems pretty close to CRM which is an official trade this month. Am I correct in assuming that this is true? Share this post Link to post Share on other sites
Chuck451 352 Report post Posted August 20, 2015 (edited) To put a bow on this... The calendars ended up at .41 and ,38 at close yesterday. This is still about a 50% gain before commissions. The peak time to get out of this trade seemed to be Monday morning. The calendars hit a high of .48 and .47 for a 86% gain before commissions. Again, this was only a paper trading exercise in attempt to figure out a good entry price and time for the calendars and then see if it would pan out. The proof would be in the fills of course. My plan is to paper trade NTAP for the next 2 cycles and if they seem to be meeting with success, then jump in and try it with a small allocation. Cheers. Edited August 20, 2015 by Chuck451 Share this post Link to post Share on other sites
