Tiered Calendar in GS

[Steven Place]

GS has gone a bit parabolic and I’m betting on volatility contraction.

Given the fact that the implied volatility for GS options are stupid low, we need to look at calendars instead of butterflies.

Buy to open GS Aug/Sep 175 Put calendar for 1.82 or lower

Add at 172 or 178,

[Mihut Aronovici]

Do we buy the Sep and sell the Aug 175 for 1.82?

[Steven Place]

Adding another round here

Buy to open GS Aug/Sep 170 put calendar for 1.92

Out in 7 days

[Steven Place]

It’s been almost 7 days, and the theta has really kicked in.

Either close out the trade here, or if you want to “milk” the trade some more you can add the 165 put that will guarantee you keep existing profits between 164.50 and 175.

I’m opting for the exit with a 26% return on risk.

Sell to close GS Aug/Sep 175 put calendar @2.18

Sell to close GS Aug/SEp 170 put calendar @2.59

[Author]

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