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P&l calendars using weeklies and iron fly.png

My "switch" strategy of alternating short calendar spreads (low VIX) and butterfly spreads (high VIX)

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Closing Basis - go with the flowClosing Basis - go with the flow
not bad. short calendar spread is long the front month and short the out month though. How did that make money? 11/26/16
The JokerThe Joker
Sorry. Meant short duration of calendar spreads. Still a long spread (sell front month, buy long month) 11/27/16
The JokerThe Joker
Mean BPR is $2,495 per trade. $25,000 is a conservative amount of capital for this strategy but even $9,000 or so will probably be ok. 11/27/16
Closing Basis - go with the flowClosing Basis - go with the flow
BPR? 11/27/16
The JokerThe Joker
buying power reduction 11/27/16
Blue DonkeyBlue Donkey
Which reminded me  
 
Do you recall a month ago I bought SPY 2xP211 calendar and sold 2xC215 calendar? The first leg expired this Firday and next leg expires in Dec.  
 
Guess what - my timing was completely off and I have bought the call spread back last Friday for only 20% gain (!) rally and all. I have had a better opportunity after that 9 red days in row, but not by much better. 
 
Now I have only 2 naked long SPY puts strike 211 for essentially free.  
 
I was considering to 
"200 shares of SPY (accept assignment for ITM calls) - 2xC215 + 2xP211"  
I think this spread is going to be a killer in Dec. Decided against. I do not have lot of free time these days to manage complex 40K positions. 11/27/16
The JokerThe Joker
Stats: Mean net profit: $169/trade (bpr $2500) 
 
Mean avg % of BPR = 6.7% per trade 
 
ROC (assuming 5x BPR, 12,500) per trade = 1.34% per trade 
 
Avg duration of trade = 6 days 
 
Std deviation = $577/trade, 23% of bpr 11/27/16
The JokerThe Joker
APY 85.4% (ROC based on capital of $12,500) 
 
Std dev 23% of $2,500 BPR, 4.6% of 12,500 
 
Sharpe ratio = 3.71(based on higher std dev) 11/27/16
GonarGonar
Director, can you provide an example of this trade? I've been selling out of money calls on UVXY but because I limit margin to 3-4% of liquidity it's not scalable. 
11/27/16
The JokerThe Joker
Sure. One example might be doing a calendar now. You could do a calendar based on VIX being 12.4 now (very low), by selling a 15 DTE put at 50 delta - the 2215 put for around 18.50 for example, and buying a 50 delta put 30 DTE - Same strike costing you around $27. Overall cost is $8 or $800 per contract. Youd need to set target expirations and $ profit levels and take off at appropriate times. Then rinse and repeat. 11/27/16
The JokerThe Joker
DTE = days to expiration 11/27/16
The JokerThe Joker
This chart is for SPX for calendars and SPY for butterflies at times of high VIX 11/27/16
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