I’m going to put this on because the VIX is back at 6 month lows.
Calendar spreads are bullish vega, which means (generally) if the VIX rises then the position has a decent profit.
This is a SCALING Trade. Which means put on one round of calendars now, add a second round if the market moves.
And then have some dry powder left if the market squeezes even more… if that happens we will roll the losing calendar.
Here’s the initial trade.
Buy to open SPX Aug/Sep 2110 Put Calendar @14.20
The equivalent trade on SPY is Aug/Sep 211 Put Calendar
If the market breaks to all time highs, we will add. If the market loses 2080 we will add.
Aiming for a two week hold here.
Update: July 27th, 2015
The market’s lost 2080 so it’s time to add to the trade:
Buy to open SPX Aug/Sep 2070 Put Calendar @15.00 Or Lower.
If SPX hits 2040 or 2140 we will roll the furthest out calendar to new strikes.
Update: Aug 10th, 2015
he reversion stuck in the market so we are able to bail on this trade with nice profits.
Sell to close SPX Sep/Aug 2110 Put Calendar @17.80
Sell to close SPX Spe/Aug 2070 Put Calendar @16.80
Margin and P/L Calculations
Tier 1: Margin $1420
Enter at 14.20, Exit at 17.80
Tier 2: Margin $1500
Enter at 15.00, Exit at 16.80