Delta is certainly checked each day. I have the position entered as a simulated trade on TOS and I get to see their amazing risk graphs both during the day and at night when I enter all of the prices into an excel spreadsheet.
RFH
--- In OptionClub@yahoogroups.com, ciby joseph <cibyjosephp@...> wrote:
>
> Thanks RFH. This is interesting. Aren't you checking delta of the position on a
> daily basis. By the way, have you created charts or just doing mathematical
> calculations?
>
> Regards
>
> Ciby
>
>
> Â
>
>
>
> ________________________________
> From: RobertH <robhansen5252@...>
> To: OptionClub@yahoogroups.com
> Sent: Thu, July 29, 2010 8:04:34 PM
> Subject: [TheOptionClub.com] Re: XLE Aug-Sep Gorilla Calendar
>
> Â
> On Tuesday, July 27, I opened an Aug â€" Sep calendar spread on XLE. I bought 20
> Sep10_54c at 2.35 and sold 20 Aug10_54c at 1.67. The 0.68 debit translated to a
> cost of $1,360. Add $50.50 for commissions and my maximum loss is the amount I
> paid, or $1,440.50. This is a positive theta and positive vega position, so I
> benefit from the passage of time as well as increased volatility. Lately, I've
> been having success with butterflies which generally benefit from a decrease in
> volatility, but checking the implied volatility on a TOS chart, I noted that XLE
> was down in the lower third of the range for the last year. So since I'm not too
> experienced in calendar spreads, I thought I would give this one a try.
>
>
> Break evens for this trade are 51.91 and 56.17. My plan is to scale into this
> trade (add another calendar converting it into a double calendar) if the
> underlying moves a lot in either direction, with an ultimate goal of $1,000
> profit. So, I will invest up to $5,000 into this trade to make the $1,000. With
> this first position, a 20% profit after commissions translates to around $332.
> I'm not greedy, so if XLE stays where it is and my 20% goal is reached, I'll
> take it. In fact, I've put in a GTC order to sell calendar at that point. If XLE
> moves close to break even on either side, I'll add another 20 contract calendar
> and adjust my profit goal up to the new cost of the trade. If that happens and
> XLE continues in the same direction, I'll scale back half of the original 54
> calendar and add a 10 contract calendar closer to the new price. If XLE whipsaws
> and goes back the other way, I'll add to the 54 calendar. I will continually
> keep track of the cost of the trade and adjust my profit goal accordingly.
>
>
> I'm in my second day of the trade and nothing spectacular has happened yet. TOS
> says I am up around $90 at this moment, so I'll watch and wait.
>
> Comments appreciated.
>
> RFH
>
> --- In OptionClub@yahoogroups.com, "RobertH" <robhansen5252@> wrote:
> >
> > 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
> >
>
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