RUT Weekly Calendar Trade #7 (Part 1)

I opened my seventh weekly calendar trade Tuesday, May 26, at the 1240 strike. I placed the order at the mid and caved $0.25 over six minutes to get filled.

The market bottomed out at 1233 before moving sharply higher on Wednesday. At that time I rolled one 1240 calendar to a 1260 call calendar. I placed this order $0.90 over the midprice and was filled one minute later $0.39 off the then mark.

This was horrible execution and quite honestly, I’m still not sure how best to handle it. With trades like these, I’m looking at a 4-legged beast on my brokerage platform with the bid and ask straddling zero. The way it gets displayed, I sometimes have trouble calculating the midprice and determining an initial limit order.

At the close, this position was centered but down about 15%. Let’s look at some EOD risk graphs starting with 5/27:

Trade down about $236. On 5/28:

Trade down about $206. On 5/29:

Trade down about $191. On 6/1:

Trade down about $81. On 6/2:

Trade up about $36.

The market rallied on 6/3 and hit my upper strike. By the time I closed the put calendar, the market was at 1261.43 (yet more slippage!). This seemed to be a very late adjustment being Wednesday of expiration week. Two trades ago, I debated whether this weekly calendar should be held into Thursday at all. Consequent to that discussion, I decided I really had no experience with this yet so I should be willing to try it a few times if necessary to see what happens.

At EOD of 6/3:

Trade up about $27.

Thursday would be the last day of trading before expiration. Like Game 7 of a Stanley Cup Playoffs series, the drama builds. For all the marbles:

I’ll show you what happened in my next post.