IWM Calendar - July 72 calls

Written on June 24, 2008 by OptionsRopeaDope

To steal a phrase from OptionPundit, I’m opening a “mini-portfolio” on IWM - after the Iron Condor a couple of posts ago, it will be calendar here. Normally I’d prefer another underlying, but IWM is actually one of the only things I could find where the IV was still low, and the skew was not out of line. Scroll down for a risk graph of the combined positions.

Symbol   IWM
Current Price  71.64
Current IV  27
IV Percentile - last 12 months  35%
IV Percentile - last 6 months  35%
IV Skew  -1.7
Technical Support/Resistance  76, 65
Opening Strike  72
Opening Debit/months  .96, July calls
Break Evens  69.50, 74.80
Std Dev move to expiration  66.50, 77
Prob of expiring w/o adjustments  45% or so
Profit Traget  1.20
Max Loss  .77 (.24 loss)
Back month options exist for adjustment?  Yes
Earnings/news catalyst before exp?  n/a
Risk Graph  

IwMcal.jpg

And for fun, here’s what both the condor and calendar on top of each other look like.

IWMcomb.jpg

Has a bit of a “circus tent” look, important thing to keep in mind is that the calendar will probably be adjusted during the trade, widening out thr profit area in the direction IWM chooses to go.

Another important thing - the key for good risk management is still religously managing each individually, no matter what the overall risk graph looks like. If I am at a max loss on the condor, but still profitable with the calendar, I don’t let it ride - I snap off the condor. The easy reason why is the negative gamma both positions have, which can make things worse faster. But the lesson is the same. 

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    • Category Posted in Real Trades, Calendars, IWM

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