Here is a calendar spread on SPY. Its a triple calendar (aka Cirus Calendar). By using a triple calendar I can get a wider breakeven while still maintaining a decent profit. One negative thing about calendars is that it is positive vega (implied volatility). So IV has to increase or stay the same to make money.
BTO 4 SPY Jun/Jul 97 Call for $.70
BTO 4 SPY Jun/Jul 85 Put for $.94
BTO 4 SPY Jun/Jul 91 Put for $1.12
Max loss is $1104
Current breakeven is $83.41-$98.16
First profit target is 12%.
Tuesday, May 19, 2009
Triple Calendar on SPY (Circus Calendar)
Labels:
circus calendar,
SPY triple calendar
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