RE: [TheOptionClub.com] XLE Aug-Sep Gorilla Calendar

 

I am not sure how many left then,

 

However, I would not say profit opportunities dried up, they just changed.  A lot of guys were rich enough to retire (I do not feel bad for these guys), some guys moved off the floor or started brokerage business.

 

There were 2 things that happened to drive these guys away:  Tightening of the bid ask spread, and IV getting sucked out.  Firms that didn’t invest in tech, and only know how to make money on the spread got wiped out.  Firms that didn’t invest in tech and only knew how to make money on the bid-ask, AND were notorious premium buyers took it even worse (there were a few of these I am not going to mention these firms by name). 

 

Even now, there really aren’t market makers, but there are guy trading by following liquidity (really what a good market maker does).

 

From: OptionClub@yahoogroups.com [mailto:OptionClub@yahoogroups.com] On Behalf Of RobertH
Sent: Monday, August 02, 2010 12:12 AM
To: OptionClub@yahoogroups.com
Subject: Re: [TheOptionClub.com] XLE Aug-Sep Gorilla Calendar

 

 

Great example, Mark, and thanks. You mentioned the `03 – `04 time frame as being an important era for the floor traders. There must have been a mass exodus from the CBOE floor around that time. Do you have any idea how many traders left and what they were able to do besides teach? I talked with Dan about it, and he said that the profit opportunities just dried up and many were forced to look for other things to do. Pretty sad.

RFH

--- In OptionClub@yahoogroups.com, "Mark Sebastian" <mark@...> wrote:
>
> Robert,
>
>
>
> This is an example of how IV can cause a calendar to lose money. However,
> that is only one way vol can affect a position. It is entirely possible to
> make money on a calendar when IV drops.
>
>
>
> Here is an example based on what Dan and Jim showed:
>
>
>
> Let's take the exact same position, then let's have august drop 5 points and
> September drop only 3 points. How does the calendar perform? The calendar
> makes a touch under 50.00 in August. The September long only loses about 39
> dollars.
>
>
>
> One thing to remember is that the months are correlated and not tied.
> Traders now days actually apply weightings to the months to try and get a
> better idea of how a position might perform. Sophisticated traders have
> been doing it for years. It did not become something everyone looked at
> though until probably 03-04 range (although I know some that waited longer).
> Sadly, since most of the guys teaching didn't trade then, most don't talk
> about it very much. It is actually an important concept to understand
> though.
>
>
>
> Hope that sheds some light on calendar trading
>
>
>
> Mark
>
>
>
> From: OptionClub@yahoogroups.com [mailto:OptionClub@yahoogroups.com] On
> Behalf Of RobertH
> Sent: Saturday, July 31, 2010 11:51 PM
> To: OptionClub@yahoogroups.com
> Subject: Re: [TheOptionClub.com] XLE Aug-Sep Gorilla Calendar
>
>
>
>
>
> Why does a calendar spread lose money if the option volatility goes down?
> Here is a direct transcript from a webinars hosted by Dan Sheridan and Jim
> Bittman. The example on the screen is the Aug-Sep calendar spread in RTH,
> current price 80.28. August has 32 days left to expiration, and September
> has 60 days left to expiration. The August 80 calls are priced at $2.20 and
> the September 80 calls are priced at $3.20. Their example buys 10 spreads
> making the total investment $1,000.
>
> Jim Bittman: "As expiration approaches, vegas (which is the sensitivity of
> the option to volatility) go down. So, the 60 day option (September in this
> example) has a larger sensitivity to volatility than the August option. So
> if volatility were to drop 5%, then the September option might go down 10
> cents for each volatility point (which would be 50 cents) but the August
> option might only go down 3 cents for each vol point. So there would be a 2
> cent difference for each vol point you are losing." Jim kinda got the math
> wrong here, but I'm sure you get the idea.
>
> In the example on the screen, the vega for the September option is 12.9, and
> the vega for August is 9.44. So they go on to describe what would happen
> with each one point drop in vega. September would go from 3.20 to 3.08, and
> August would go from 2.20 to 2.10. So you lose more in your long position
> than you gain in the short position.
>
> Thought this might help some volatility deprived readers.
>
> RFH
>
> --- In OptionClub@yahoogroups.com <mailto:OptionClub%40yahoogroups.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%40yahoogroups.com>
> [mailto:OptionClub@yahoogroups.com <mailto:OptionClub%40yahoogroups.com> ]
> On
> > Behalf Of William Fletcher
> > Sent: Thursday, July 29, 2010 9:09 AM
> > To: optionclub@yahoogroups.com <mailto:optionclub%40yahoogroups.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 <mailto:OptionClub%40yahoogroups.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>
> >
>

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The goal of TheOptionClub is to provide a forum for members to work together for the purpose of furthering our individual understanding option trading.  All messages and postings, and any materials circulated are provided for discussion and educational purposes only.  No statement contained in any materials from TheOptionClub should be considered a recommendation to buy or sell a security or to provide investment, legal or tax advice.  All investors are encouraged to consult a qualified professional before trading in any security.  Stock and option trading involves risk and is not suitable for most people.  There is no guarantee that any information provided is accurate and, may in fact, be wrong.  It is understood that the participants in TheOptionClub have varying backgrounds and degrees of experience in option trading, and that regardless of experience each member is considered a student.  As such, any information distributed through TheOptionClub should be considered with a critical mind and not relied upon as an authoritative source.

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Re: [TheOptionClub.com] What Is Available For Tracking Options Trades?

 

Great question.  I call this "planned versus actual."  I like to enter into each expiration cycle with a clear cut plan that literally has a bottom line profit projection for each day of the month, especially expiration and the end of the last calendar day.  I do this in a spreadsheet and it's a chore.  A chore I'm doing this evening in final preparation for August and to "wrap up" July because I wait until I get "Sunday" numbers if any trade begins or ends on a Saturday (or "end of day" Friday and I don't get a fill on the order.)

Here's two products that were recommended to me as trading journal solutions.  I'd also suggest you raise the question with tos (and please post their reply here.)  I think if you look at the information in the monitor tab and use OnDemand, well, that's all I do to go back and review each trade and keep my journal up to date when I miss a few sessions and need to bring the documentation up to date.  You might also question a bigger, more mature platform vendor like TradeStation or Interactive Brokers (which has portfolio performance and risk management tools.)

Here's Barron's on the brokers:

http://online.barrons.com/article/SB126844973242861545.html#articleTabs_panel_article%3D1%26articleTabs%3Darticle

http://online.barrons.com/article/SB126844973242861545.html

It's also worth reading the comments on the article for a discussion of the clearing houses and equity risk with SIPC.

On Sun, Aug 1, 2010 at 6:02 AM, Ricky Jimenez <rickyjim@bestweb.net> wrote:

 

Suppose you are entering a trade which you plan to modify on a daily
basis. It could be a backtest, paper or real money trade. What is
the best way to keep track of the history of the daily positions? Of
course you would want the cummulative position, total credit or debit
and P/L including closed positions, at each day in the trade and maybe
a way to automatically generate the expiration graph for any date. Has
anybody cobbled together something using the TOS platform and Excel?

--
Adam

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The goal of TheOptionClub is to provide a forum for members to work together for the purpose of furthering our individual understanding option trading.  All messages and postings, and any materials circulated are provided for discussion and educational purposes only.  No statement contained in any materials from TheOptionClub should be considered a recommendation to buy or sell a security or to provide investment, legal or tax advice.  All investors are encouraged to consult a qualified professional before trading in any security.  Stock and option trading involves risk and is not suitable for most people.  There is no guarantee that any information provided is accurate and, may in fact, be wrong.  It is understood that the participants in TheOptionClub have varying backgrounds and degrees of experience in option trading, and that regardless of experience each member is considered a student.  As such, any information distributed through TheOptionClub should be considered with a critical mind and not relied upon as an authoritative source.

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Re: [TheOptionClub.com] XLE Aug-Sep Gorilla Calendar

 

Great example, Mark, and thanks. You mentioned the `03 – `04 time frame as being an important era for the floor traders. There must have been a mass exodus from the CBOE floor around that time. Do you have any idea how many traders left and what they were able to do besides teach? I talked with Dan about it, and he said that the profit opportunities just dried up and many were forced to look for other things to do. Pretty sad.

RFH

--- In OptionClub@yahoogroups.com, "Mark Sebastian" <mark@...> wrote:
>
> Robert,
>
>
>
> This is an example of how IV can cause a calendar to lose money. However,
> that is only one way vol can affect a position. It is entirely possible to
> make money on a calendar when IV drops.
>
>
>
> Here is an example based on what Dan and Jim showed:
>
>
>
> Let's take the exact same position, then let's have august drop 5 points and
> September drop only 3 points. How does the calendar perform? The calendar
> makes a touch under 50.00 in August. The September long only loses about 39
> dollars.
>
>
>
> One thing to remember is that the months are correlated and not tied.
> Traders now days actually apply weightings to the months to try and get a
> better idea of how a position might perform. Sophisticated traders have
> been doing it for years. It did not become something everyone looked at
> though until probably 03-04 range (although I know some that waited longer).
> Sadly, since most of the guys teaching didn't trade then, most don't talk
> about it very much. It is actually an important concept to understand
> though.
>
>
>
> Hope that sheds some light on calendar trading
>
>
>
> Mark
>
>
>
> From: OptionClub@yahoogroups.com [mailto:OptionClub@yahoogroups.com] On
> Behalf Of RobertH
> Sent: Saturday, July 31, 2010 11:51 PM
> To: OptionClub@yahoogroups.com
> Subject: Re: [TheOptionClub.com] XLE Aug-Sep Gorilla Calendar
>
>
>
>
>
> Why does a calendar spread lose money if the option volatility goes down?
> Here is a direct transcript from a webinars hosted by Dan Sheridan and Jim
> Bittman. The example on the screen is the Aug-Sep calendar spread in RTH,
> current price 80.28. August has 32 days left to expiration, and September
> has 60 days left to expiration. The August 80 calls are priced at $2.20 and
> the September 80 calls are priced at $3.20. Their example buys 10 spreads
> making the total investment $1,000.
>
> Jim Bittman: "As expiration approaches, vegas (which is the sensitivity of
> the option to volatility) go down. So, the 60 day option (September in this
> example) has a larger sensitivity to volatility than the August option. So
> if volatility were to drop 5%, then the September option might go down 10
> cents for each volatility point (which would be 50 cents) but the August
> option might only go down 3 cents for each vol point. So there would be a 2
> cent difference for each vol point you are losing." Jim kinda got the math
> wrong here, but I'm sure you get the idea.
>
> In the example on the screen, the vega for the September option is 12.9, and
> the vega for August is 9.44. So they go on to describe what would happen
> with each one point drop in vega. September would go from 3.20 to 3.08, and
> August would go from 2.20 to 2.10. So you lose more in your long position
> than you gain in the short position.
>
> Thought this might help some volatility deprived readers.
>
> RFH
>
> --- In OptionClub@yahoogroups.com <mailto:OptionClub%40yahoogroups.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%40yahoogroups.com>
> [mailto:OptionClub@yahoogroups.com <mailto:OptionClub%40yahoogroups.com> ]
> On
> > Behalf Of William Fletcher
> > Sent: Thursday, July 29, 2010 9:09 AM
> > To: optionclub@yahoogroups.com <mailto:optionclub%40yahoogroups.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 <mailto:OptionClub%40yahoogroups.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>
> >
>

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The goal of TheOptionClub is to provide a forum for members to work together for the purpose of furthering our individual understanding option trading.  All messages and postings, and any materials circulated are provided for discussion and educational purposes only.  No statement contained in any materials from TheOptionClub should be considered a recommendation to buy or sell a security or to provide investment, legal or tax advice.  All investors are encouraged to consult a qualified professional before trading in any security.  Stock and option trading involves risk and is not suitable for most people.  There is no guarantee that any information provided is accurate and, may in fact, be wrong.  It is understood that the participants in TheOptionClub have varying backgrounds and degrees of experience in option trading, and that regardless of experience each member is considered a student.  As such, any information distributed through TheOptionClub should be considered with a critical mind and not relied upon as an authoritative source.

To unsubscribe from TheOptionClub, send an email to:
OptionClub-unsubscribe@yahoogroups.com

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RE: [TheOptionClub.com] XLE Aug-Sep Gorilla Calendar

 

Robert,

 

This is an example of how IV can cause a calendar to lose money.  However, that is only one way vol can affect a position.  It is entirely possible to make money on a calendar when IV drops.

 

Here is an example based on what Dan and Jim showed:

 

Let’s take the exact same position, then let’s have august drop 5 points and September drop only 3 points.  How does the calendar perform?  The calendar makes a touch under 50.00 in August.  The September long only loses about 39 dollars.

 

 One thing to remember is that the months are correlated and not tied. Traders now days actually apply weightings to the months to try and get a better idea of how a position might perform.  Sophisticated traders have been doing it for years.  It did not become something everyone looked at though until probably 03-04 range (although I know some that waited longer).  Sadly, since most of the guys teaching didn’t trade then, most don’t talk about it very much.   It is actually an important concept to understand though.

 

Hope that sheds some light on calendar trading

 

Mark

 

From: OptionClub@yahoogroups.com [mailto:OptionClub@yahoogroups.com] On Behalf Of RobertH
Sent: Saturday, July 31, 2010 11:51 PM
To: OptionClub@yahoogroups.com
Subject: Re: [TheOptionClub.com] XLE Aug-Sep Gorilla Calendar

 

 

Why does a calendar spread lose money if the option volatility goes down? Here is a direct transcript from a webinars hosted by Dan Sheridan and Jim Bittman. The example on the screen is the Aug-Sep calendar spread in RTH, current price 80.28. August has 32 days left to expiration, and September has 60 days left to expiration. The August 80 calls are priced at $2.20 and the September 80 calls are priced at $3.20. Their example buys 10 spreads making the total investment $1,000.

Jim Bittman: "As expiration approaches, vegas (which is the sensitivity of the option to volatility) go down. So, the 60 day option (September in this example) has a larger sensitivity to volatility than the August option. So if volatility were to drop 5%, then the September option might go down 10 cents for each volatility point (which would be 50 cents) but the August option might only go down 3 cents for each vol point. So there would be a 2 cent difference for each vol point you are losing." Jim kinda got the math wrong here, but I'm sure you get the idea.

In the example on the screen, the vega for the September option is 12.9, and the vega for August is 9.44. So they go on to describe what would happen with each one point drop in vega. September would go from 3.20 to 3.08, and August would go from 2.20 to 2.10. So you lose more in your long position than you gain in the short position.

Thought this might help some volatility deprived readers.

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>
>

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The goal of TheOptionClub is to provide a forum for members to work together for the purpose of furthering our individual understanding option trading.  All messages and postings, and any materials circulated are provided for discussion and educational purposes only.  No statement contained in any materials from TheOptionClub should be considered a recommendation to buy or sell a security or to provide investment, legal or tax advice.  All investors are encouraged to consult a qualified professional before trading in any security.  Stock and option trading involves risk and is not suitable for most people.  There is no guarantee that any information provided is accurate and, may in fact, be wrong.  It is understood that the participants in TheOptionClub have varying backgrounds and degrees of experience in option trading, and that regardless of experience each member is considered a student.  As such, any information distributed through TheOptionClub should be considered with a critical mind and not relied upon as an authoritative source.

To unsubscribe from TheOptionClub, send an email to:
OptionClub-unsubscribe@yahoogroups.com

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Re: [ConservativeOptionStrategies] TM spread/re:why Sep option?

 

Anthony,

 

Don't get me wrong, but getting into a trade just because it is cheap is not a good reason. Calendar's are a different kind of a beast as they are non-linear.

 

You are expecting the time decay in the front month to be more than the back month. That's not going to happen until after August expiry plus there is not much room to drop without effecting the back month too. And it has a good chance to move out of the range.

 

In any case, good luck with your experimentation. Keep us updated how it turns out.

 

VK

---

From: Anthony Hills <brem1h@yahoo.com>
To: ConservativeOptionStrategies@yahoogroups.com
Sent: Sun, August 1, 2010 8:37:52 AM
Subject: [ConservativeOptionStrategies] TM spread/re:why Sep option?

I sold the sep 70 so that I would have very little investment (49c) in the trade. I would have preferred a fatter premium AUG sold call but TM is not a very volatile stock so it does not command much premium. I just noticed that the OCT was cheap compared to the SEP so I thought I would give it a try. A gunslinging approach rather than heavy research. I try to learn by experimentation.I would not have done it if it cost much more than the 49cents at the time. If the VIX is higher at time of expiration of the SEP 70 then the OCT could command a higher price. I am still seeing a worst case price of 55cents on yahoo finance for the trade. ________________ Anthony Hills Hills Motors/Hills Industries 4011 Pacific Blvd San Mateo,CA 94403. 650 573 7425 Fax 650 573 8721

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[Option Insight] Insight

 

Imagine if you had the ability to peek into other traders' heads and get a glimpse of how they approach the market. These other people, after all, ARE the market. We, as a community, make the market. So a little insight into how your fellow traders think could only be enlightening.

Only a small number of surveys have been completed, but it's very interesting to see the results. I *highly* recommend that you invest the five or ten minutes to complete the survey, so that you can get your own copy of the compiled responses.

It's all completely anonymous, so you don't have to worry about that. But it's a fascinating read. And I've already spotted a few tools and web sites that I intend to check out.

This is well worth your time. And, of course, I'm going to have to cut this off at some point, so that I can send the compiled results to all respondents, so don't miss out. Once it closes, it's too late.

And, please, invite other traders you know.

The link to the survey is http://www.surveymonkey.com/s/HowYouTrade
The password is: OptionInsight

Happy surveying (and trading! ;-),
Lee

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[TheOptionClub.com] Re: What Is Available For Tracking Options Trades?

 

Ricky,
I'm using Options Oracle, a free graphing app. While it might be cumbersome if you have a lot of trades to trace, it's easy enough to enter and record changes on a daily basis and add them to an Excel sheet. The Options Oracle also has features which enable saving trade info as well as other features which I haven't had time to explore yet. It may possibly meet your needs.
Lou

--- In OptionClub@yahoogroups.com, Ricky Jimenez <rickyjim@...> wrote:
>
> Suppose you are entering a trade which you plan to modify on a daily
> basis. It could be a backtest, paper or real money trade. What is
> the best way to keep track of the history of the daily positions? Of
> course you would want the cummulative position, total credit or debit
> and P/L including closed positions, at each day in the trade and maybe
> a way to automatically generate the expiration graph for any date. Has
> anybody cobbled together something using the TOS platform and Excel?
>

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The goal of TheOptionClub is to provide a forum for members to work together for the purpose of furthering our individual understanding option trading.  All messages and postings, and any materials circulated are provided for discussion and educational purposes only.  No statement contained in any materials from TheOptionClub should be considered a recommendation to buy or sell a security or to provide investment, legal or tax advice.  All investors are encouraged to consult a qualified professional before trading in any security.  Stock and option trading involves risk and is not suitable for most people.  There is no guarantee that any information provided is accurate and, may in fact, be wrong.  It is understood that the participants in TheOptionClub have varying backgrounds and degrees of experience in option trading, and that regardless of experience each member is considered a student.  As such, any information distributed through TheOptionClub should be considered with a critical mind and not relied upon as an authoritative source.

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[TheOptionClub.com] Re: XLE Aug-Sep Gorilla Calendar

 

Great explanation, Robert. Many thanks
Is this why one uses calendar trades when IV is low and Iron Condor trades when IV is high?
Also, may I request you, or one of the senior and experienced member to explain as to how we can construct the hedge on the calendar trades, for example, would you possibly go with double calendar (ensuring that it is delta neutral) if you are a conservative trader?
Many thanks
Sean

--- In OptionClub@yahoogroups.com, "RobertH" <robhansen5252@...> wrote:
>
> Why does a calendar spread lose money if the option volatility goes down? Here is a direct transcript from a webinars hosted by Dan Sheridan and Jim Bittman. The example on the screen is the Aug-Sep calendar spread in RTH, current price 80.28. August has 32 days left to expiration, and September has 60 days left to expiration. The August 80 calls are priced at $2.20 and the September 80 calls are priced at $3.20. Their example buys 10 spreads making the total investment $1,000.
>
> Jim Bittman: "As expiration approaches, vegas (which is the sensitivity of the option to volatility) go down. So, the 60 day option (September in this example) has a larger sensitivity to volatility than the August option. So if volatility were to drop 5%, then the September option might go down 10 cents for each volatility point (which would be 50 cents) but the August option might only go down 3 cents for each vol point. So there would be a 2 cent difference for each vol point you are losing." Jim kinda got the math wrong here, but I'm sure you get the idea.
>
> In the example on the screen, the vega for the September option is 12.9, and the vega for August is 9.44. So they go on to describe what would happen with each one point drop in vega. September would go from 3.20 to 3.08, and August would go from 2.20 to 2.10. So you lose more in your long position than you gain in the short position.
>
> Thought this might help some volatility deprived readers.
>
> RFH

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The goal of TheOptionClub is to provide a forum for members to work together for the purpose of furthering our individual understanding option trading.  All messages and postings, and any materials circulated are provided for discussion and educational purposes only.  No statement contained in any materials from TheOptionClub should be considered a recommendation to buy or sell a security or to provide investment, legal or tax advice.  All investors are encouraged to consult a qualified professional before trading in any security.  Stock and option trading involves risk and is not suitable for most people.  There is no guarantee that any information provided is accurate and, may in fact, be wrong.  It is understood that the participants in TheOptionClub have varying backgrounds and degrees of experience in option trading, and that regardless of experience each member is considered a student.  As such, any information distributed through TheOptionClub should be considered with a critical mind and not relied upon as an authoritative source.

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