RTH Calendar

Written on April 23, 2008 by OptionsRopeaDope

Opened this today. was an easy call, and I’m already up a couple of hundred dollars on a small increase in IV. I’ll go stratight to the good stuff -

RTH Calendar - 95 May/June Puts 

RRDelta -3.4%
RRGamma 8%
RRVega 18%

Delta/Theta = .59

Good numbers all around, again except for Vega. A large drop in IV (very low probability)hurt. I chose puts because the were more expensive than the calls here. My break evens, and adjustment points, are at about 91, and 99. RTH barely moves, so the chances of me taking a big it are very, very small here. Sooting for 15-20% in the next 2-3 weeks. 

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

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