Monday, October 15, 2012

Completing NOV Inventory with $RUT Double Calendar

There was a smooth market at the moment. I bought the RUT double calendar to complete my November income portfolio, according to my plan. As usual, I placed a limit order with $0.05 above mid price and it was filled immediately. After the fill, I found the mid price dropped $0.10 or so for a couple of minutes caused by market activities then backed up. The DC reduced the portfolio vega by 90, almost the amount of that of 2 iron condors. The probability of success at expiration at either break even points is in high 70%.


  1. i think i missed a step or two. you seem to have a well thought out plan in place. wish i had a better understanding of what the DDs are for. ?? and how to go about building out a port similar to this. I am kinda just buying an IC here and there till I reach my margin target.

    1. Thanks for your comments. It made me realize that I had a typo about double diagonal. It should be double calendar (DC) instead. I correct this mistake in the posts.

      I could build such a portfolio with IC's only and maintain a smooth P&L curve. But that would generate a Vega of -200 or so, which favors VIX dropping scenarios. Using DC or DD can reduce this dependence on the volatility drop for the portfolio. I plan to use these strategies for portfolio adjustment as well.

      A couple of good source for trading in such style are Investools High Probability Trading and David V's Trade Pro System.

      Hope this help.