Clay: As recommended by Dan Sheridan in his recent webinar for Optionclub folks, when the underlying price moves to or beyond 1/2 way from the short option to breakeven, either adjust the trade by adding another calendar position to create a delta neutral overall result, or close the trade out if there is not enough time or premium left to achieve the former.
Larry
--- In OptionClub@yahoogro
>
> 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
>
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