EEM Calendar

Written on April 23, 2008 by OptionsRopeaDope

Just opened this yesterday, after looking at the volatility for EEM over the past year. Here is the volatility chart -

EEM Cal.jpg

 

Volatility is the bottom slice… as you can see it is the lowest it has been in a year. Perfect setup for a calendar. I opened a single calendar (May/June)at 145 and will address as necessary. Aiming for 15-20% in the next 2-3 weeks. Unfortumately, Vols dropped a bit more just since I opened,  and I think I got a poor fill, so at the moment I’m under water by aount 4% right now. Here are my greeks -

EEM Calendar - 145 May/June Calls 

RRDelta -3%
RRGamma 3%
RRVega 21%

Delta/Theta = -.41

Good numbers all around, except for Vega. another 5 point drop in IV will wash me out of the trade, but in this market especially, plus the fact that IV hasn’t been this low for 6 months, that’s something I’ll accept. Probabilities are much better of benefitting me the with IV increasing.

For explanations about how I came up with these numbers read here.

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    • Category Posted in Real Trades, Calendars, EEM

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