Open - IBM Double Calendar

Written on July 25, 2008 by OptionsRopeaDope

Only 21 days ntil expiration but there are still a couple of seemingly good deals out there. Spotted this one at the Insane Money Forums. IBM is in a fairly defined range lately, with little scheduled in the next few weeks news-wise that could shake it at first glance. The analysis holds up also:

Symbol   IBM
Current Price  128.53
Current IV  24
IV Percentile - last 12 months  25%
IV Percentile - last 6 months  30%
IV Skew  1.3-2.2
Technical Support/Resistance  125/130
Opening Strike  125/130 (double)
Opening Debit/months  1.75+1.95
Break Evens  123.2, 132.14
Std Dev move to expiration .6 std dev
Prob of expiring w/o adjustments  50%
Profit Traget  4.44
Max Loss 2.96
Back month options exist for adjustment?  Yes
Earnings/news catalyst before exp?  n/a
Risk Graph  

Normally, I want to open calendars as a single, then adjust to a double when necessary. I’m a little more risk averse right now though (and expect a downward move sometime over the next couple of weeks) so I’m opening this as a double. Also, this is a new underlying for me, and I usually pay a tax in the for of a loss on my first trades such as tis :P

ibmcal.jpg

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