Sunday, July 12, 2009

Re: [TheOptionClub.com] SPX JUL calendar trade



oh....to adjust or not adjust...that is question. I feel your pain. I adjusted like crazy this last month with multiple calender type positions on the QQQQ and IWM and I chased my tail, ultimately ending up with a loss and lots of commissions. Luckily, it was just paper trading. Back to the drawing board.

On Fri, Jul 10, 2009 at 7:24 AM, Steve Goings <jsgoings@novagraph.com> wrote:


The previous month I had good luck with a doublecalendar on SPX. So I set up another for July expiration with theopinion that we were still range bound on SPX, and IV's werehistorically low looking back over the last 6 months.

This month the trade is not looking that good, and I wonder if some ofyou could comment on the trade, and my own analysis of it.

All of this is normalized to 1 contract trades.

Opened 960/940 Double Calendar
6/11/09 SPX $950 at time of trade
6/11/09 BOT Aug 960 Call/SLD JUL 960 Call - Debit $12.50
6/11/09 BOT Aug 940 Put/SLD JUL 940 Put - Debit $14.35

Added 920 Calendar
6/15/09 SPX $920 at time of trade
6/15/09 BOT Aug 920 Call/SLD JUL 920 Call - Debit $12.50

Closed 940 Calendar, added 880 Calendar
6/22/09 SPX $893 at time of trade
6/22/09 SLD Aug 940 Put/BOT JUL 940 Put - Credit $14.10
6/22/09 BOT Aug 880 Call/SLD JUL 880 Call - Debit $13.60

6/29 SPX Closed at 927
7/9 SPX Closed at 882

When I put on this trade I planned for taking it to a triple calendar,with a maximum loss of about $675, and a target gain of about $500.

Right now, with 6 trading days left, I am down about $450, and will probably go ahead and take it off.

In looking back, I am wondering if I chased this too much. When SPXbroke below 900, I took off the 940 calendar and added the 880calendar. This may have spread things too thin. Plus IV's had spikedsome on that downward move, and I paid a premium for that 880 calendar.

My own take on this is, the second move to take off the 940 calendarand replace it with the 880 was too much messing around with this, andI should have just taken the whole thing off, when SPX hit the breakeven of the original triple calendar.

I am curious if any of you would have managed this trade differently.

Comments appreciated.

Steve


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