CSJ- Calendar Spread Journal

optionsIB

To add a little Option trading flavor, I will start a Journal of calendar spread trades on index and ETFs.
This strategy is mainly foucsed on theta with concerning on vega. It starts with nearly delta neutral.
I hope to keep updating with more details.

My current trade this morning is

RTH 95 PUT JUN/JULY Debit @ $1.20/ $120 per contract
Return/risk = 1:1
Time to Expiration = 35 days
Profit target: 20~25% of risk = $24 per contract,(spread >= $1.44)
Stop loss: 30% of risk, but depending on many factors


So buckle up and see how it goes.
Welcome suggestion and questions.


IB

大泡泡

谢谢。 正需学习。

citimeta

支持

金牛银熊

1。赢利和风险比例高一些比较好。。。 2。时间长一些比较好。。。 3。再耐心一些比较好。。。

optionsIB

原帖由 金牛银熊 于 2008-5-19 13:40 发表 1。赢利和风险比例高一些比较好。。。 2。时间长一些比较好。。。 3。再耐心一些比较好。。。

Like the suggestions you put there, here my 2 cents.

1. For a particular strategy to work, risk and reward need to be balanced in term of "real risk". The question is when someone see a CS trade at R/R=5:1, how the underlying going to move or expect to move? Is any movement (up or down) in your favor or against you?

2. Check the theta, the proper time can be determined.

3. Agree! Patient is virtue and can make some $. :-). So this might be most boring thread in hutong.

optionsIB

Just a update on my position:

RTH 95 PUT JUN/JULY Debit @ $1.20/ $120 per contract Return/risk = 1:1
Time to Expiration = 35 days
Profit target: 20~25% of risk = $24 per contract, (spread >= $1.44)
Stop loss: 30% of risk, but depending on many factors

Upper break even: $99.00
Lower break even: $91.60

IB

optionsIB

Just an update.

Add RTH 90 PUT JUN/JULY Debit @ $1.10 per spread

Will give more details later.

optionsIB

The 95PUT was filled on 5-19 when RTH trading at $97.63. Due to sell-off of last two days, it trading at $93.80. The 95 PUT acturally makes money (trading at $1.25). If you looked at the delta, you would know.  The adjustment made today is to increase low range protection. This adjustment is done as planed, but it can be put on later when RTH hits lower.

Summary as of today:

RTH 95 PUT JUN/JULY Debit @ $1.20 now @$ 1.25
RTH 90 PUT JUN/JULY Debit @ $1.10

lower BE: $88.5.     upper $97.2

Profit target remains unchanged.

Good trading to everyone.

IB

Quantum

Return/risk不是很高。 [ 本帖最后由 Quantum 于 2008-5-22 00:50 编辑 ]

optionsIB

原帖由 Quantum 于 2008-5-22 00:48 发表 Return/risk不是很高。

Hi Quantum,

Great figure for more disscussion.

The issue of R/R has to come back to the structure of CS. CS takes advantge of theta, so its delta is kept nearly neutral, which doesn't mean complete neutral. 1st trade 95PUT is close to delta neutral, but with a little bearish bias. If or only if R/R is the only point we concern, a higher R/R can be structured in the frame of CS. BUT it will involve other greeks, like delta, etc. When the greeks shifts, other strategies can be made much better than CS.  Baseline, CS is pretty close to market neutral, and can be made so versatile to suit many market conditions.

As an example for beting delta, HBI is very bullish with a correction, trading at $34.5. OTM 40 CALL Jun/July CS gives R/R=4.5. There are more cases like this, certainly about other greeks.

Happy trading. IB

Quantum

I usually apply OTM CS for directional bet, i.e., taking advantage of both theta and delta movements. That's the only way i use CS; and it's the strategy i used most often. For delta neutral strategy, my preference goes to calendar straddle.
[ 本帖最后由 Quantum 于 2008-5-22 13:24 编辑 ]

optionsIB

原帖由 Quantum 于 2008-5-22 13:21 发表 I usually apply OTM CS for directional bet, i.e., taking advantage of both theta and delta movements. That's the only way i use CS; and it's the strategy i used most often. For delta neutral strategy, ...

Nice to see we are on the same page on CS. My RTH 90-95 double PUT calendar is synthetically equivalent to Calendar Strangle. I like to put on my trade this way to let me have more choices to react, like playing chess. I don't know how market will go tomorrow, and only react to what happening. Also the movement has 70~80% probability staying on either sides so far. IB
[ 本帖最后由 optionsIB 于 2008-5-22 14:43 编辑 ]

optionsIB

原帖由 optionsIB 于 2008-5-21 22:58 发表 The 95PUT was filled on 5-19 when RTH trading at $97.63. Due to sell-off of last two days, it trading at $93.80. The 95 PUT acturally makes money (trading at $1.25). If you looked at the delta, you wo ...

 
Update for today, target profit reaches (20%) in 20 days and close both spreads.

Summary as of June-09:

RTH 95 PUT JUN/JULY Debit @ $1.20 close  @$ 1.62
RTH 90 PUT JUN/JULY Debit @ $1.10 close  @$ 1.15
 
Good trading to everyone.

IB

optionsIB

My 2nd calendar spread trades on index and ETFs. 

My current trade this morning is.

RUT 720 PUT JULY/AUGUST  Debit @ $9.70; 2X
Return/risk = 1.2:1
Time to Expiration = 26 days
Profit target: 30~40% of risk
Stop loss: 30% of risk, but depending on many factors

IB

LDK

optionsIB

RUT moves close to lower BE this morning. It is time to adjust since there is plenty of time left for July.

06-23
RUT 720 PUT JULY/AUGUST  Debit @ $9.70; 2X

06-30 today
RUT 720 PUT JULY/AUGUST  Debit @ $9.70; 2X now at $9.2
RUT 690 PUT JULY/AUGUST  Debit @ $10.45; 2X

Return/risk = 0.5:1
Time to Expiration = 20 days
Profit target: 30~40% of risk (REMAIN SAME)
Stop loss: 30% of risk, but depending on many factors

Happy trading!
IB

optionsIB

原帖由 optionsIB 于 2008-6-30 10:52 发表 RUT moves close to lower BE this morning. It is time to adjust since there is plenty of time left for July.06-23RUT 720 PUT JULY/AUGUST  Debit @ $9.70; 2X06-30 todayRUT 720 PUT JULY/AUGUST  ...

update on the postion: roll-down 720 spread to 660. Due to loss of 720 position, goal of this spread is to keep break-even instead of seeking profit.

(RUT 720 PUT JULY/AUGUST  Debit @ $9.70; 2X now at $4.5)

RUT 690 PUT JULY/AUGUST  Debit @ $10.45; 2X
RUT 660 PUT JULY/AUGUST  Debit @ $11.35; 2X

Up BE: 697
Lower BE: 653

With only 12 trading days to go, it seems quite likely.

Happy trading.

IB

optionsIB

The trade is put on on June 23, when RUT closed at 720. Down max 60 point, more than 8% jump. Adjustments were made to react to market.
Today I close it with

RUT 690 PUT JULY/AUGUST Debit @ $10.45; close at $16.40
RUT 660 PUT JULY/AUGUST Debit @ $11.35; close at $12.30

Taking into account of RUT 720 PUT CS loss of $5.2, the RUT trade take profits of $1.7. ROI is ~7.5%

Happy trading.

IB


[ 本帖最后由 optionsIB 于 2008-7-17 11:56 编辑 ]