Option risk calculator on calendars

Michael B

Member
Now I realized DGH = Dan Harvey. I hope I'm right. Thank you for the feedback.

I haven't explicitly stated it, but I thought it was understood from the beginning: I don’t use the calculator to validate my short term trades. I was trading them before even hearing about this calculator and I mentioned what made me try them. Then I placed a few on the calculator and they looked good. I don’t need to look at the full trade because I don’t plan to be in the trade for more than 3 days. And if I want to be out in 3 days, even TOS shows the longer term calendar is less attractive.

For me the short term ones offer simplicity. I may have run through 30 of them in the last 3 months. Most of them SPX, and then RUT. While being short term, they still are somewhat discretionary: some closed after a day, some later, days to expiration are similar, but not identical (RUT can’t be anyway). So I am not sure they are well-defined enough to be used for expected return calculation. I can post a summary of them if anyone is interested.

And today I closed the SPX which was opened the day before. Today it was all beaten in the morning and wondered whether to close for a small loss. Decided to reduce my limit order and it got filled later in the day.

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