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i'm back with another disappointing calendar trade. this is another surf paper trade, started on may 8, using a may22/may26 expiration. i've been in this for 12 days, for those who can't do the math, and it essentially hasn't been very profitable the whole time. it was up 5% yesterday with 700...

marcas wants a postmortem so this will have to do since i ran into technical problems with etrade that prevented me from oclosing it properly. there were issues with fills and i also broke the platform with all the cancel-replace orders. while trying to close deep in-the-money calendars i...

a follow up to my earlier calendar trade. this is the trade 10 days later. this one has been a struggle making profits. the vega is very high for these trades and the drop in iv took a toll on this one. it's only up 15%, which is low for this many days in the trade. when i entered it in etrade...

bill, do you have a favorite adjustment or do you just close it and start over? my model is showing some stress. delta it way too negative. it was up 5% yesterday so i should have closed it. it still shows a small profit.

the iv plots are from a web app that i wrote. the surface plots are from gnuplot, a free graphing program. the data for the surface plots was generated from my options analyzer program. btw, your html table doesn't format correctly when i view your post. i don't know if it's my browser or some...

bill, thanks for sharing your trade. i modeled it and did some analysis on it and i'll share that data. this trade is mostly invariant to changes in iv as long as both expirations change the exact amount AND you stay at the current spx price. volatility doesn't change the same all the time, as i...

i modeled another trade that has 2 butterflies and 2 calendars. this is almost as wide as the serf trade but it shows a better theta/vega ratio of 111/70, for what it's worth. i overlaid the bell curve, and it covers a +- 1 std-dev spx move. don't worry about the gap in the middle, the t0 line...

i guess the weekend dte issue isn't that controversial, but not many people know this. as for the weighted vega. some people are absolutely adamant it's not a factor. no matter how much evidence you show, they won't believe it. others are opposite. i'm also not completely convinced you can...

@Marcas, whatever you're using to create png files isn't compatible with this forum software. i frequently use gimp to create image files. it knows how to create several types: gif, tif, bmp, png, etc. what i did for my calendar price calculations was to price a 1day, 2day, 3day and weekend...

bill, thanks for the feedback. a high vega/theta ratio is common for all calendars. i've modeled a few of these surf trades over the last 2 months and i haven't seen a big problem with it (yet). that doesn't mean it's not an issue. these are friday/monday calendars, and as such present...

greetings calendar people. this thread has been dead for a long time, but it's had a surprisingly high number of views. maybe it's the same 5 people reading it a lot. anyway, i want to share a new trade i've been playing with: i call it the surf. this is definitely not a trade for novices...

it was set up as 25/53 dte. the back month iv dropped more than the front month on dec 1 and that dropped the t0 line but the profit/loss ratio was 2.5 so it wasn't in bad shape. it really took a hit when i rolled. the profit/loss ratio dropped to 0.9. it went downhill from there. i'm going to...

i want to correct something i said above about high volatility is not good for calendars. i was half joking when i wrote it, but high volatility itself wasn't the problem. the problem was i didn't know why the volatility was so high. if the volatility stayed high, or went higher, this trade...

i want to follow-up on the bmy calendar i wrote about previously. i tried to enter the trade the next day but couldn't get it filled near mid price, so i created a paper trade. when i entered it, the iv for both strikes was very high but the front month was higher than the back month so i...

fwiw, i mostly set up my calendars ATM. that gives the most margin to the break-even on both sides. strikes anywhere near ATM , as long as the DTE separation is not too large, will have a neutral delta. usually traders have a little flexibility on what delta neutral means: maybe allowing a...

re: I appreciate if you spell out which of your assumptions were disrupted/reset. marcas, i did mention my disrupted assumptions: "put calendars are cheaper than call calendars, but basically they are the same". i will now revisit my calculations on the price difference between call and put...

@JerseyJIm thanks for the reply. i guess i'll have to look at putting this on tomorrow. i don't like waiting for profits on longer-term trades. i'll set a lower profit target to try to get out early.

this topic has taken an unfortunate diversion from discussing trading calendars to debating the best way to learn to trade calendars, and then died. we never got to the important characteristics that make calendars difficult to master. i'd like to go back to trading calendars, at least briefly...

re: Technically, calendar trade ends with expiration of the long leg. That you exit earlier (for good reason) doesn't change that. my bad. you are, of course, correct. the long still has time left.

re: In short: a calendar "Expiration line" is a combination of true expiration graph from short leg and long leg t-line, where days( t+day) is set to the day when short leg expires. This line shares importatn property of t-lines - it moves around and you cant relay on it. marcas, there's no...