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[CLOSED] – Income Calendar in SPX

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SPX is back above it’s Bollinger Band, and the VIX is back down to the 11’s.

Going to put on a 30 day / 60 day calendar, will look for a new range to get established, or for at least IV to rise.

spx

If SPX hits 2046 or 1995 we will roll the trade.

Holding time on this is AT MOST 3 weeks or a gain of 20%.

Update: September 23rd, 2014

I’m calling an audible here… I was going to roll the entire trade but that would still keep the trade with very small breakevens. Instead I’m going to add to the trade by putting on another calendar.

Buy to open SPX Oct/Nov 1990 Call Calendar @12.50 or lower.

This slightly reduces our deltas, and triples the theta in the trade.

The big risk here is the vega risk, and if the VIX falls at all the trade will be a little worse for wear… but i’m expecting the theta gains to catch up and the trade to become profitable.

IF we get to 1980 I will remove some of the long deltas by purchasing put spreads.

spx-after

Update: September 25th, 2014

Market running hot to the downside, we are now at 1970.

Current position greeks for 1 lots is:

Delta +18
Theta +17

What we can do to fix this is ROLL the 2020 calendar DOWN to the 1960

1. Sell to close SPX Oct/Nov 2020 call calenadr @9.50

2. Buy to open SPX Oct/Nov 1960 call calendar @13.20

This turns the greeks to:

Delta: +4.6
Theta: 40

Now we’ve just gotta wait a few more weeks, and look for some reversion and a drop in actual vol.

spx

Update: Oct 1st, 2014

Going to close this out here for a profit. I don’t like how this market is trading and I don’t want to be short gamma, long deltas into any melt down.

Buy to Close SPX Oct 1960 Put @22.10
Sell to Close SPX Nov 1960 Put @41.90
Calendar Value: 19.80

Buy to Close SPX Oct 1990 Put @37.35
Sell to Close SPX Nov 1990 PUt @55.60
Calendar Value: 18.25

Margin and P/L

Margin Calculations

Calendar #1: 12.50

Calendar #2: 12.50

Roll to Calendar #3: 3.70

Total Margin: 2870

P/L Calculation

Calendar #1: Oct/Nov 2020 Calendar
Enter at 12.50, Exit at 9.50
Loss: -300

Calendar #2: Oct/Nov 1990 Calendar
Enter at 12.50, Exit at 18.25
Profit: 575

Calendar #3: Oct/Nov 1960 Calendar
Enter at 13.20, Exit at 19.80
Profit: 660

Total P/L: 935

Return on Risk: 32%

Disclaimer

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