Position Updates - 3 Calendars, 1 Condors
Written on May 31, 2008 by OptionsRopeaDope
Good finish to the week… all of my calendars are in good shape, no longer in need of adjusting. For the calendar month, marked-to-market, I’m up slightly, around 4%, but for the current expiration cycle I’m slightly less up. Very pleased to be profitable.
My SPX condor (covered a few posts back) is not included below.
CAT Calendar - 85 Jun/July
| RRDelta | 25% |
| RRGamma | -9% |
| RRVega | 14% |
Delta/Theta = 11.4
1 Day 1 Std Dev Move (1.04 points)
CAT has risen and so have my fortunes here… up 5% after being down last week. Still a single calendar and milking it for all it’s worth going into the next couple of weeks. CAT has some nice support around 81. This has is looking to be a big winner.
EEM Calendar - 150/160 Jun/Sep
| RRDelta | 17.5% |
| RRGamma | -4% |
| RRVega | 20% |
Delta/Theta = 7.25
1 Day 1 Std Dev Move (1.99 points)
Everything looks better here, getting close to break even and in a perfect spot. For some reason, the front month volatility has raced above the back month, and I don’t understand why, but for a calendar that is what you don’t want to happen, as your short rises more than your long… Things should get back to normal, with the front vols falling back, or the back month volatility rising, but the trade is looking great regardless. If that does happen though, this position could skyrocket in a day. Feels so nice to not be watching this one like a hawk anymore.
RTH Double Calendar - 95 June/July Puts, 100 June/July Calls
| RRDelta | 16% |
| RRGamma | -10% |
| RRVega | 22% |
Delta/Theta = 5.96
1 day 1 Std Dev Move = 1.14 points
At breakeven here, , a big improvement, although the position itself is in great shape after getting sick earlier. I read somewhere that for many calendars, most of the profit comes in a big jump in a single day. That happened day, as this position increased in value by 15% - unfortunately, that just got me up to breakeven. Not complaining though, everything looks good and I should get some help from time decay starting next week.
IWM Iron Condor - June 63/65 Puts, 79/81 Calls
| RRDelta | -5% |
| RRGamma | -5% |
| RRVega | 4% |
Delta/Theta = -3.24
1 Day 1 Std Dev Move (.74 points)
Still nicely profitable with dropping volatility. Still up 7%, and it keeps inching up. Several time I have tried to close each wing as it gets close to .04, but I never get filled. I’ve found that can be important. Short call is at 7 delta, short put is a miniscule 2, so looking great to squeeze more out of this one.
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, Iron Condors, Calendars, IWM, EEM, RTH, CAT
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