Practice Trades Cal 1.7 – 1.9

Cal 1.7 (guidelines here) begins 4/13/20 (67 DTE) with SPX 2762 and 2770 puts -$168 (-2.9%). MR is $5,738 (two contracts), TD 34, IV 37.1%, horizontal skew +0.7%, NPD 1.3, and NPV 178.

On 66 DTE, MDD hit with trade -$308 (-5.4%).

Exit trade 59 DTE for profit of $692 (12.1%). SPX down 0.18 SD with IV up 11% over the eight days. Horizontal skew has increased to +0.9%.

Cal 1.8 begins 4/20/20 (60 DTE) with SPX 2828 and 2830 puts -$168 (-2.7%). MR is $6,288 (two contracts), TD 45, IV 37.3%, horizontal skew +0.8%, NPD 1.2, and NPV 191.

Exit trade 43 DTE for profit of $632 (10.1%). SPX up 0.23 SD with IV down 29% over the 17 days. Horizontal skew has decreased to -0.1%.

Cal 1.9 begins 4/27/20 (81 DTE) with SPX 2882 and 2890 puts -$168 (-2.4%). MR is $6,978 (two contracts), TD 21, IV 27.6%, horizontal skew -0.4%, NPD 1.5, and NPV 211.

MDD (before exit) is -$388 (-5.6%) on 44 DTE.

Exit trade 42 DTE for loss of $1,528 (-21.9%). SPX up 1.2 SD to 3190 with IV down 31% over the 39 days. Horizontal skew up to +0.4%. SPX rallying 2.2 SD on the last trading day was the coup de grâce:

This trade would fare better were it placed more bullish. Horizontal skew < 0 at trade inception. Both of these statements strike me as "usual." We will find most calendars to begin with negative skew. Stocks traditionally move up more often than down. Whether negative horizontal skew can be used as an indicator in this way will require a larger sample to determine.