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"Calendar Spread"
View the original post for the July/August 155 put calendar trade here.
After 10 days, this trade was closed today at a price of $1.62 per spread for a return of 10.2% [(162-147)/147].
The ending IV of the July 155 put was 15.05% while the August put was 16.97%. The trade profited from [...]
Entered a Gold (GLD) ATM calendar today selling 16.95% IV and buying 17.45% IV. The position is below:
GLD July/August 155 Put Calendar at $1.47
A few things lined up on this trade. ATM IV differences were not too wide, in fact, the July/August difference was -0.50% when I entered the trade, IV is relatively [...]
Today I entered an earnings trade on Las Vegas Sands (LVS). Below is the timestamped (PDT) tweet of my trade:
The last 4 quarters have seen moves in the -7.7% to +8.9% range while the options market was currently pricing-in about a 5.8% move. The options market has under-priced the move [...]
Closed my Baidu (BIDU) earnings trade this morning at a total price of $3.82, an overnight return of 20.5% per spread. See here for my entry. Below is the timestamped (PDT) tweet of my exit:
The move on earnings was more than was priced-in but luckily I structured a [...]
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Video: 5 min Update on Implied Volatility and Skew of S&P 500 and Russell 2000 Options (1/13/13)
Here’s an update on the state of implied volatility and implied volatility skew of S&P 500 and Russell 2000 options. It’s very important to know where you are in IV terms when trading these two indexes.
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Transcript below:
Hey this is Victor Mora of vicmora.com and today [...]