Open - EEM, RTH, MSFT Calendars
Written on May 16, 2008 by OptionsRopeaDope
Over the last few days I’ve opened several calendars for June expiration. IV is dropping across the board, which should mean good things - unless it keeps dropping further.
EEM Calendar - 150 Jun/Sep
| RRDelta | -11.6% |
| RRGamma | -3% |
| RRVega | 19% |
Delta/Theta = -2.95
1 Day 1 Std Dev Move (2 points)
Just like last month, I started with a loss almost immediately on EEM due to volatility dropping. down about 9% so far, and EEM has already shot up to 155+. My break even is at 159, but I’ll adjust if it keeps moving next week. The greeks, again, are starting out in good shape, except for volatility, which is now the lowest it has been in a year. Theoretically, that puts me in a great position. I would have preferred to use July calls, as they would take my vega down a little, but they weren’t listed yet.
RTH Double Calendar - 95 June/July Puts, 100 June/July Calls
| RRDelta | 4% |
| RRGamma | -6% |
| RRVega | 12% |
Delta/Theta = 1.97
1 day 1 Std Dev Move = 1.07 points
Put this on this morning, and it is already up 2-3%. Wish they all could be like that! I prefer to start with a single calendar, and adjust as necessay (see EEM above) but I wanted into RTH again, and it wasmoving from around 97.5. So a double at 95/100 it is.
MSFT Calendar - 30 June/July Puts
| RRDelta | 2% |
| RRGamma | -17% |
| RRVega | 9% |
Delta/Theta = 1.84
1 Std Dev Move (.35 points)
I got in this after spotting it on Option Monkey’s site, and all the analysis looks good to me. It is a small position, but up close to 10% in just a few days so far. The gamma scared me a little, but after adjusting for a std dev move it was right where I expected… and made me glad I’m calculating things this way. Delta and Gamma for something at 155, and something at 30, are very different things!
Overall, looking good, though I’m under water because of EEM. I’ll cover my condors in the next post.
If you don’t know what is up with these numbers, read this about how I look at greeks.
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Posted in Real Trades, Calendars, EEM, RTH, MSFT
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