Decided to do something slightly different in Micron than an upward call diagonal (See Post Below) ... . Here's what's important about this trade:
Max Loss on Setup: $151/contract
Max Profit on Setup: Indeterminable
Front Month Value on Setup: $253 credit
Back Month Value on Setup: $404 debit
Theta: .99
Delta: 2.92
In a nutshell, it's a fairly delta neutral, theta positive setup, with the goal being to reduce cost basis in the trade by rolling out the short aspect for additional credit. I would note that calendars are traditionally considered a low volatility environment setup, with the calendar being placed in a manner that would accommodate a volatility expansion and/or downward movement (i.e., out of the money and on the put side). In contrast, this is just a cost basis reduction setup that doesn't require the expansion or the movement ... .
Max Loss on Setup: $151/contract
Max Profit on Setup: Indeterminable
Front Month Value on Setup: $253 credit
Back Month Value on Setup: $404 debit
Theta: .99
Delta: 2.92
In a nutshell, it's a fairly delta neutral, theta positive setup, with the goal being to reduce cost basis in the trade by rolling out the short aspect for additional credit. I would note that calendars are traditionally considered a low volatility environment setup, with the calendar being placed in a manner that would accommodate a volatility expansion and/or downward movement (i.e., out of the money and on the put side). In contrast, this is just a cost basis reduction setup that doesn't require the expansion or the movement ... .
Trade active:
Rolling the short aspect up one strike to the 35 for a .22/contract credit to turn this into a diagonalized credit spread. Scratch at 1.29. Will continue to watch the value of the back month long to ensure that I can exit profitably if the front month expires worthless. Currently, it's still valued at 2.29 in spite of this up move.
Trade active:
Rolling the March 35 to the April 34 (back to a same strike cal) for a .49/contract credit. Scratch at .80 with the back month valued at 1.87.
Trade active:
Rolling the April 34 to the May 34 for a .21/contract credit; scratch at .59. 20-20 hindsight: the upward call diagonal would have done better on this ripper ... . Lol.
Trade closed manually:
Scratching this trade out for a .53/contract credit. Probably ill-conceived from the outset, since put calendars are generally a low implied volatility play. I don't do these very often, so it's a "live and learn."
