Mark
What is is about the current market conditions that make a % or two of negative skew a problem? Is it the gently declining vols, or are you thinking of something else?
Bill
To: OptionClub@yahoogroups.com
From: mark@option911.com
Date: Fri, 30 Jul 2010 09:05:43 -0500
Subject: RE: [TheOptionClub.com] XLE Aug-Sep Gorilla Calendar
To: OptionClub@yahoogro
From: mark@option911.
Date: Fri, 30 Jul 2010 09:05:43 -0500
Subject: RE: [TheOptionClub.
Whoever taught you to have a negative skew has probably not reevaluted dealing with calendars under current market conditions g problem
Generally, I would say a negative skew is going to be a big problem, defiantly over several months
From: OptionClub@yahoogro
Sent: Friday, July 30, 2010 1:14 AM
To: OptionClub@yahoogro
Subject: Re: [TheOptionClub.
Thanks Mark. When I put the trade on, the IV of the short was 24.9% and the IV of the long was 25.9%. From what I have learned, you want that volatility skew to be between -2 and +2 unless you are specifically playing the vols due to an upcoming catalyst.
RFH
--- In OptionClub@yahoogroups.com , "Mark Sebastian" <mark@...> wrote:
>
> I know I have said this before but, one of the most common misconceptions
> about calendars is how they react to changes in IV, and when the best time
> to enter them is. I will be interested to see how the XLE calendar goes as
> well, my hope, it's a home run. That said, with Aug vol trading at almost
> 2% below Sep, I am not in love with the conditions in which you placed this
> time spread.
>
>
>
> -Mark
>
>
>
> From: OptionClub@yahoogroups.com [mailto:OptionClub@yahoogroups.com ] On
> Behalf Of William Fletcher
> Sent: Thursday, July 29, 2010 9:09 AM
> To: optionclub@yahoogroups.com
> Subject: RE: [TheOptionClub.com] XLE Aug-Sep Gorilla Calendar
>
>
>
>
>
> It is of interest to me. I put an XLE calendar on on 7/13. My high
> breakeven is $55 and it is at $54.31. I have a couple of others like that -
> DIA and OEX - close to or at resistance and waiting for a pullback. My
> guess is you entered at a better iV, but you are entering about at the end
> of what I consider my entry window. It will be interesting to see.
>
>
>
> The beige book is due out today, which may back off the price a bit and
> raise the iV on my positions to help me out a bit.
>
>
>
> Keep me posted.
>
>
>
> Bill
>
> _____
>
> To: OptionClub@yahoogroups.com
> From: robhansen5252@...
> Date: Thu, 29 Jul 2010 04:57:22 +0000
> Subject: [TheOptionClub.com] XLE Aug-Sep Gorilla Calendar
>
>
>
> Hi. I opened up a "gorrilla calendar" time spread in XLE on Tuesday. I know
> that on occasion, this forum has tracked various options strategies, trades
> and adjustments both theoretically as paper trades and in real time. If
> there is any interest, I'd be happy to report the particulars of the trade,
> profit goals, adjustments, etc. as they occur. Of course if there are any
> differing opinions as to how to handle the inevitable scenarios between now
> and August expiration, they can be debated. Could this possibly be a
> learning experience?
>
> RFH
>
>
>
>
>
> _____
>
> Hotmail is redefining busy with tools for the New Busy. Get more from your
> inbox. See how.
> <http://www.windowslive.com/campaign/thenewbusy?ocid=PID28326::T:WLMTAGL:ON:
> WL:en-US:WM_HMP:042010_2>
>
RFH
--- In OptionClub@yahoogro
>
> I know I have said this before but, one of the most common misconceptions
> about calendars is how they react to changes in IV, and when the best time
> to enter them is. I will be interested to see how the XLE calendar goes as
> well, my hope, it's a home run. That said, with Aug vol trading at almost
> 2% below Sep, I am not in love with the conditions in which you placed this
> time spread.
>
>
>
> -Mark
>
>
>
> From: OptionClub@yahoogro
> Behalf Of William Fletcher
> Sent: Thursday, July 29, 2010 9:09 AM
> To: optionclub@yahoogro
> Subject: RE: [TheOptionClub.
>
>
>
>
>
> It is of interest to me. I put an XLE calendar on on 7/13. My high
> breakeven is $55 and it is at $54.31. I have a couple of others like that -
> DIA and OEX - close to or at resistance and waiting for a pullback. My
> guess is you entered at a better iV, but you are entering about at the end
> of what I consider my entry window. It will be interesting to see.
>
>
>
> The beige book is due out today, which may back off the price a bit and
> raise the iV on my positions to help me out a bit.
>
>
>
> Keep me posted.
>
>
>
> Bill
>
> _____
>
> To: OptionClub@yahoogro
> From: robhansen5252@
> Date: Thu, 29 Jul 2010 04:57:22 +0000
> Subject: [TheOptionClub.
>
>
>
> Hi. I opened up a "gorrilla calendar" time spread in XLE on Tuesday. I know
> that on occasion, this forum has tracked various options strategies, trades
> and adjustments both theoretically as paper trades and in real time. If
> there is any interest, I'd be happy to report the particulars of the trade,
> profit goals, adjustments, etc. as they occur. Of course if there are any
> differing opinions as to how to handle the inevitable scenarios between now
> and August expiration, they can be debated. Could this possibly be a
> learning experience?
>
> RFH
>
>
>
>
>
> _____
>
> Hotmail is redefining busy with tools for the New Busy. Get more from your
> inbox. See how.
> <http://www.windowsl
> WL:en-US:WM_
>
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