Your most significant risk is gamma, and as a result delta, during the last week of expiration.
From:
Sent: Tuesday, May 18, 2010 11:48 AM
To:
Subject: [TheOptionClub.
I generally close them as individual calendars, and I would close them before Friday - there is too much risk with volatility close to expiration.
Jeff W
--- In OptionClub@yahoogro
>
> Hi,
>
> I've got a triple calendar spread on BP that expires this Friday. I trade at TOS and was wondering what the best way is to close all these positions, come Friday morning.
>
> Thanks,
> Ben
>
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