I closed my previous call spread. Took the money and ran not risking something crazy happening before expiration. At the same time I opened another call spread expiring 2/16. I lesson the spread, which reduced the income I receive, but also lesson my overall max possible loss should the trade move against me. To me, these near date options are very expensive right now. If price should continue up, even with the options having a short expiration date, I should have the ability to roll or adjust my position early next week if needed.
Spread is 52 - 62.
While is tempting to open another credit call spread as price has moved higher, I don't want to be exposed to additional risk.
Regarding my the bear debit put spread i opened (another post), in hind sight that was a poor decision. The good thing is since I used premium received from the first credit call spread, I didn't use any of my own money for the trade. IF the price moves significantly lower early next week, I should still have the ability to roll & adjust the spread for minimum cost. However, with the current price gap of the first and second month VIX , price may not move enough for a roll/adjust to make sense for the put spread.
Will let the options expire versus manually closing position. Options are basically worthless at this time. Trade worked great. I would love to implement this strategy again, but unfortunately IV% has drastically dropped and the options are very inexpensive. Selling a new credit spread would be taking risk without appropriate potential gain. The positive is I was able to run it back to back two times. 2018 has the potential to be a volatile year, so I expect to have other opportunities in the future.
The study data is interesting. It also makes sense because of the natural time decay eroding the price. 5 years is a good time line. It looks like it is using 90 day expiration. Does the backtest hold the options till expiration? Does it hold multiple positions at once, or only one? How many trades did it make during the 5 years? Is there anyway to isolate the period between 6/2015 - 5/2016?
Again, great information. Thank you for sharing.
With CML you can change the expirations, the holding time, the strikeprices, etc. The backtests will hold for the holding time selected. It can hold multiple positions up to 4 legs. So if you wanted to do an Iron Conor or a double Calendar, etc.
Yes, you can isolate any period you would like, 6/2015 to 5/2016 is easy to do. If you'd like I'll run the backtest for you, just let me know what parameters you want and I'll run it and post it here.