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Double Calender spreads for Earnings
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Double Calender spreads for Earnings

  #11 (permalink)
Elite Member
Futures Experience: None
Platform: J.A.R.V.I.S.
Broker/Data: ABN AMRO Clearing
Favorite Futures: Derivatives
Cogito ergo sum's Avatar
Posts: 193 since Jul 2010
Thanks: 211 given, 159 received

Out of curiosity, what is your process of selecting the strikes? Do you compute the implied move of and add a certain % of safety margin to it?

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  #12 (permalink)
Portsmouth, NH
Futures Experience: Master
Platform: Broker platform
Favorite Futures: options
Posts: 25 since Jul 2013
Thanks: 0 given, 10 received

Analyzing a calendar:

1. Look at the day after a previous earnings release which has a similar vol crush to what you expect.
2. Using the option chain from that day, look at the calendars with similar time frames to the calendar you want to analyze.
3. Move away from the 'money' in both directions on the option chain to see how far you can go before the value of the calendar drops below the price of the calendar you're analyzing.
4. That will give you a pretty good idea of how much movement your trade can withstand, and what the value of the trade will be depending on how much (or little) movement the stock has.

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  #13 (permalink)
Trading Apprentice
los angeles, CA USA
Futures Experience: Intermediate
Platform: ninjatrader
Favorite Futures: Emini ES
Posts: 1 since May 2016
Thanks: 0 given, 0 received

How did this trade turn out? Did the IV in the longs in the back months hold up compared to the short months? I have been looking at a very similar strategy of finding candidates with juiced up front month and setting up double calendars selling the front month with the goal of the front month IV crashing more than the back month IV.

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