Maji Posted January 11, 2018 Posted January 11, 2018 During the last three or four months that I have been with SO, I found that most of the time when calendar trades suffer, it is mostly due to stock movement. That is expected. However, what are the drawbacks if we add a second calendar in the direction of the move. This second calendar will be a call calendar if the initial was put calendar and vice versa. For example, we entered CSX 55 put calendars when CSX was at 55. Now, as CSX moved up to say 58, why not add a 58 call calendar to it, provided that the RVs are not too high compared to historical averages? I would like some input from the community here. Thank you. Quote
Kim Posted January 11, 2018 Posted January 11, 2018 But this is exactly what we did! Call or put calendar should not make a difference. Take a look: Quote
IgorK Posted January 11, 2018 Posted January 11, 2018 (edited) 19 minutes ago, Maji said: During the last three or four months that I have been with SO, I found that most of the time when calendar trades suffer, it is mostly due to stock movement. That is expected. However, what are the drawbacks if we add a second calendar in the direction of the move. This second calendar will be a call calendar if the initial was put calendar and vice versa. For example, we entered CSX 55 put calendars when CSX was at 55. Now, as CSX moved up to say 58, why not add a 58 call calendar to it, provided that the RVs are not too high compared to historical averages? I would like some input from the community here. Thank you. Take a look at the official trade and the discussion. We added 57.5 calendar. Some of us even rolled part of 55s to 60... The same with UAL trade... Edited January 11, 2018 by IgorK Quote
izzo70 Posted January 11, 2018 Posted January 11, 2018 10 minutes ago, IgorK said: Take a look at the official trade and the discussion. We added 57.5 calendar. Some of us even rolled part of 55s to 60... The same with UAL trade... we have double put calendar and Maji was suggesting a put/call dbl calendar. But as Kim has shown, it makes little difference. Quote
IgorK Posted January 11, 2018 Posted January 11, 2018 Just now, izzo70 said: we have double put calendar and Maji was suggesting a put/call dbl calendar. But as Kim has shown, it makes little difference. Ooops... Misunderstood Quote
Maji Posted January 11, 2018 Author Posted January 11, 2018 Thank you for the clarification. Very much appreciated. Quote
drcruz Posted February 17, 2018 Posted February 17, 2018 @Kim I hope you have time to answer. With regards to the pre-earnings double calendars what type of win rates from experience and back testing are you seeing? I only took a small sample of the trades you have posted (may be 6 months max) and calendars seem like a 50-50 bet. My experience w/ selling options is limited, it's even more limited when it comes to calendars. Thanks for your time Quote
Kim Posted February 17, 2018 Posted February 17, 2018 Take a look: 2017 Year End Performance by Trade Type 2016 Year End Performance by Trade Type 2015 Year End Performance by Trade Type This is one of our most successful strategies in the long term. Over 80% winning ratio. 1 Quote
Recommended Posts
Join the conversation
You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.