I've noticed when putting on a single calendar spread in a moving market there is a time when the Delta and Theta of the short option and long option Flip-Flop. Is that a significant point? When a single calendar is opened and the underlying starts to move in one direction and keeps moving in that direction (like now), there is a time when the theta moves down on your short option to equal the theta on your long option then continues down to make a negative theta position. The Deltas also cross likewise (for calls & puts). Common sense tells me that when the Thetas or deltas equal each other, its time to close the Calendar. Is my line of thinking correct? Is there a better barometer for determining when to close the calendar and possibly move it to ATM?
Thanks,
Clay
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
No comments:
Post a Comment