Archive | Calendar Spread

Bonus Trade: SPY October/November Calendar Spread

Friday, September 10, 2010

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We kicked off the October expiration cycle for our Calendar Options newsletter yesterday with the following trade: Day limit order Buy to open 4 SPY Nov 112 puts Sell to open 4 SPY Oct 112 puts for...

Fear, Love, and Option Spreads

Friday, April 24, 2009

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Traders with a background in stocks, futures, or forex are sometimes thrown off balance when they begin learning about options: one of the biggest hurdles is learning the various types of spreads, the risk characteristics of those spreads (i.e., the greeks), and how to think in terms of time, volatility, and price, instead of thinking in terms of price only.  One frequent misconception is that different spread types are strategies in and of themselves.  A reader sent in a comment…

Calendars and Condors: Allocation and the Volatility Factor

Tuesday, November 11, 2008

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We often refer to the complementary nature of iron condors and calendar spreads, in that the former benefit from falling implied volatility, while the latter generally get a boost from rising IV. So does that mean you should balance out volatility risk by allocating as much capital to calendars each month as you do to iron condors? Unfortunately, it isn’t that simple. First, it’s important to think about where implied volatility might be headed, especially when it’s at one extreme…

Volatility As An Asset Class (Book Review)

Monday, November 3, 2008

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Volatility as an Asset Class: A guide to buying, selling, and trading third-generation volatility products, ed. Israel Nelken (London: Risk Books, 2007). Israel Nelken, one of the members of the CBOE New Products Committee, has collected 11 essays on the theory and practice of trading volatility as a distinct asset class. The first half of the book examines the measurement of volatility and ways to employ volatility models on several traditional underlying products. The second half is devoted to discussion…

Sleepy Nasdaq

Tuesday, August 12, 2008

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Here are some data that have us thinking this afternoon: maybe the Nasdaq doesn’t resume its parabolic move from here. There are certainly plenty of short term reasons for Nasdaq bulls to frown and doze off for awhile: the QQQQs are up over 7% in 7 days.  Money flow has been stagnant.  The ADX line is only barely ticking up, and RSI readings at various periods are all inching toward overbought.  The McClellan Oscillator (attached) may have peaked, and even…

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Jared Woodard specializes in trading volatility as an asset class. With over a decade of experience trading options and other volatility products ... Read More

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