** Income Calendar in SPX

[Steven Place]

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.

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%.

[Steven Place]

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.

[Steven Place]

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.

[Steven Place]

Going to close this out here for a small 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.

EDIT: If you just want to reduce your deltas you could buy a Nov 1950/1920 put spread and scale accordingly.

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