There is a fair bit of anxiousness in the market today with the CPI numbers coming tomorrow.
With my today's double calendar spread on #SPY I am hoping to capitalise on the higher volatility. We can see below that the volatility for tomorrow's expiration is 38.8% while the Feb 21 expiration is 20.9%, which means the options expiring have more extrinsic value in them. I sold the Feb 14 $403p/419c strangle and bought the Feb 21 $408p/414c. The idea is that the extrinsic values of the options expiring tomorrow will evaporate while the Feb 21 should hold fairly well.
The stats
Trade Type: Double Diagonal: short Feb 14 $403p/419c; long Feb 21 $408p/414c
Strike: $403 / 419
Expiry: 14 Feb
Delta: 3
IV Rank: 19.8
Premium: -$5.96
Cap Req: $596
Annualised Prof at Expiration: ?
IMPORTANT: Studying previous trades provide the opportunity to everyone to learn a great deal so I encourage you to click on the links below and digest the info.
Closed:
https://www.tycoonitos.com/community/market-comments/daily-trades-20230202
Rolled:
https://www.tycoonitos.com/community/market-comments/market-comments-20220520
Let me know what you think.
Just before market close, I rolled my short positions to the end of this week and rolled up my put side to $408 for $3.50.
Current position: short Feb 17 $408p/414c; long Feb 21 $408p/414c
Total credit: -$2.14
This trade didn't work out as planned but the battle is far from being over.
Rolled up my put side to $406 and rolled down my call side to $414 for $0.32 credit.
Current position: short 14/Feb $406p/414c; long Feb 21 $408p/414c
Total credit: -$5.64