RUT Weekly Calendar Trade #12
Posted by Mark on July 24, 2015 at 07:26 | Last modified: August 5, 2015 14:33On June 30, 2015, I bought a 1250 calendar with the market right around that level. I placed the order $0.05 off the midprice and caved $0.10 over two minutes.
My contingent order to close triggered around 1 PM the very next day with the market at 1251.67. The trade made 10.2%.
This is the first time I have seen such a positive skew on the trade. Simply reverting to a normal horizontal skew would have probably hit the profit target; that may have been precisely what happened.
As testament to the horizontal skew, the breakevens were over 55 points apart at trade inception!
Comments (2)
[…] This trade was placed on July 7 around 11:10 ET for $8.40 with the market around 1230. This is the most expensive calendar I had bought to date. That could be viewed as a sign to keep out of the trade in case elevated IV were to subsequently mean revert. A positive horizontal skew was poised to benefit this trade, though, as was seen with trade #12. […]
[…] other note: this trade has wide breakevens and a positive horizontal skew at inception. Unlike last week’s trade, however, this one lost. No comments […]