***Closed***SPY Calendar spread initiated on 23 Mar 2010
23 Mar: Initiated Trade
SPY (Standard & Poors Dep Rec) Calendar initiated on 23 March 2010
Trade Type: Bonus Trade
Trade Summary
23 Mar 2010
SPY at 116.84 (+0.2475)
24 days to April expiration, 59 days to May expiration
Action: Buy a Apr/May calendar spread.
Buy to open SPY May 116 Put
Sell to open SPY Apr 116 Put
For a net price of $1.36 Debit or better. [All TOS autotrade participants were filled at $1.36.]
Net margin required: $136 per entry.
Analysis
This is our first trade for April. We are entering this calendar spread to take advantage of the low volatility in the market. If you take a look at the daily chart of the VIX, you can see that volatility is at a very low level.
As you can see from the P&L chart below, this spread makes the most profit if the SPY expires at 116. However, this spread can also turn profitable if the VIX spike up.
Usually a calendar spread is very resilient until very near expiration.
Good trading,
Gary
