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Calendar Spreads
Calendar Spreads
Calendars
June 2008
Sheridan Options Mentoring, Inc.
www.SheridanMentoring.com
Price: $ 141
Price: $ 141
MAR(30)
Options
145 Calls
140 Calls
135 Calls
Price
IV
APR(59)
Trade
$4.30 36.5%
$7.00 39.5%
$10.25 42.1%
Delta
Gamma
Theta
Vega
-1
Price
IV
$7.00 37.8%
$9.65 39.7%
$12.80 41.8%
-3.1
-0.5
3.1
6.4
Trade
+1
Price: $ 141
Price: $ 141
MAR(30)
Options
Price
IV
145 Calls
140 Calls
135 Calls
$4.30 36.5%
$7.00 39.5%
$10.25 42.1%
145 Puts
140 Puts
135 Puts
$5.70
$4.00
$2.75
APR(59)
Trade
36.3%
39.3%
42.3%
Delta
Gamma
Theta
Vega
-1
-1
Price
IV
$7.00 37.8%
$9.65 39.7%
$12.80 41.8%
$10.50 37.6%
$8.25 39.8%
$6.30 41.4%
-5.1
-0.9
5.4
13.2
Trade
+1
+1
Price: $ 141
Price: $ 141
MAR(30)
Options
APR(59)
Price
IV
Trade
Price
IV
Trade
Calls
Calls
Calls
Calls
$2.33
$4.30
$7.00
$10.25
33.9%
36.5%
39.5%
42.1%
-1
$4.80
$7.00
$9.65
$12.80
36.1%
37.8%
39.7%
41.8%
+1
135 Puts
130 Puts
125 Puts
$4.00
$2.75
$1.90
42.3%
45.1%
48.3%
$6.30
$4.85
$3.85
43.7%
46.9%
49.3%
150
145
140
135
Delta
Gamma
Theta
Vega
-1
-1
-5.4
-1.2
6.6
20.8
+1
+1
Price: $ 141
35-40 days
35Place short calls 55-10 points OTM
Place long options out 11-3 months from shorts
Place long strikes 55-10 points from shorts
PLAN
Max loss 20% ( adjust by -8-10%)
PLAN
Take Profits 15%
Adjustment points
way between short strike
and breakeven move 1/2 of spreads
Price: $141.50
AUG(37)
Options
Price
IV
SEP(72)
Delta Trade
150 Calls
145 Calls
140 Calls
140 Puts
135 Puts
130 Puts
Delta
Gamma
Theta
Vega
-13.4
-7.0
16.2
73.8
Price
IV
Delta Trade
-5
+5
-5
+5
Cash Flow
15% Profit Target
20% Max Loss
$ (1,830)
$ 275
$ (366)
Price: $141.50
Price: $140
AUG(24)
Options
Price Entry Pr
150 Calls
145 Calls
140 Calls
$0.60
$1.85
$4.25
140 Puts
135 Puts
130 Puts
$4.30
$2.50
$1.35
Delta
Gamma
Theta
Vega
6.0
-12.1
25.4
86.2
IV
$3.00
23.8%
25.8%
28.9%
$2.70
30.6%
33.1%
35.1%
SEP(59)
Trade Price Entry Pr
-5
$2.28
$4.20
$6.80
-5
$6.55
$4.60
$3.50
IV
Trade
$5.00
25.1%
27.1%
29.2%
+5
$4.30
30.4%
31.7%
35.1%
+5
Cash Flow
Profit
15% Profit Target
20% Max Loss
$ (1,830)
$ 395
$ 275
$ (366)
Price: $118.50
SEP(37)
Options
Price
IV
Delta Trade
130 Calls
125 Calls
120 Calls
115 Puts
110 Puts
110 Puts
Delta
Gamma
Theta
Vega
DEC(128)
Price
IV
Delta Trade
-5
+5
-5
+5
$ (3,780)
$
567
$ (756)
Price: $118.50
Price: $130.75
Why Adjust??
SEP(29)
Options
Price
IV
130 Calls
125 Calls
120 Calls
$5.30 32.7%
$8.85 37.3%
$12.70
115 Puts
110 Puts
105 Puts
$1.15
$0.80
$0.50
Delta
Gamma
Theta
Vega
-145.9
-2.5
30.2
147.0
44.0%
48.9%
51.9%
DEC(120)
Trade
Price
IV
Trade
-5
$10.80 33.6%
$14.10 35.8%
$17.20 36.5%
+5
-5
$4.70
$3.50
$2.60
+5
Cash Flow
Profit
15% Profit Target
20% Max Loss
39.4%
40.4%
41.7%
$ (3,780)
$ 165
$ 567
$ (756)
Price: $130.75
Price: $130.75
SEP(29)
Options
Price
IV
135 Calls
130 Calls
125 Calls
$2.80 30.2%
$5.30 32.8%
$8.85 37.3%
115 puts
110 Puts
105 Puts
$1.15 44.0%
$0.80 48.9%
$0.50 51.9%
Before
Delta
Gamma
Theta
Vega
Trade New
-3
-5
Delta
Gamma
Theta
Vega
-90.5
-9.4
34.6
151.1
Price
IV
Trade New
$10.80 33.6%
$14.10 35.8%
$17.20 36.5%
-5
After
-145.9
-2.5
30.2
147.0
DEC(120)
+3
$4.70
$3.50
$2.60
39.4%
40.4%
41.7%
+3
+5
+5
-3
$ (3,780)
$ 4,620
$ 165
$ 567
$ (756)
Price: $130.75
Price: $136
SEP(18)
Options
Price
IV
140 Calls
135 Calls
130 Calls
125 Calls
$2.15 30.6%
$4.75 34.3%
$8.25 38.0%
$12.50
115 Puts
110 Puts
105 Puts
$0.55
$0.30
$0.20
Delta
Gamma
Theta
Vega
-156.5
-5.3
48.2
169.2
54.8%
56.3%
61.4%
DEC(109)
Trade
-3
-5
-2
Price
IV
$8.25
$11.00
$13.90
$17.25
32.4%
34.0%
34.9%
36.2%
$3.45
$2.70
$2.00
40.8%
42.6%
44.2%
Trade
+3
+5
+2
$ (3,780)
$ 4,389
$
132
$
567
$ (756)
Price: $136
SEP(18)
Options
140
135
130
125
Calls
Calls
Calls
Calls
115 puts
110 Puts
105 Puts
Price
$2.15 30.6%
$4.75 34.3%
$8.25 38.0%
$12.45
$0.55
$0.30
$0.20
Before
Delta
Gamma
Theta
Vega
IV
54.8%
56.3%
61.4%
Trade New
-2
-3
-5
-2
After
-156.5
-5.3
48.2
169.2
Delta
Gamma
Theta
Vega
DEC(109)
-119.3
-12.4
57.4
177.9
+2
Price
IV
$8.25
$11.00
$13.90
$17.25
32.3%
34.0%
34.9%
36.2%
$3.45
$2.70
$2.00
40.8%
42.6%
44.2%
Trade New
+2
+3
+5
+2
-2
$ (3,780)
$ 5,141
$ 132
$ 567
$ (756)
Price: $136
Price: $132
SEP(12)
DEC(103)
Options
Price
IV
Trade
Price
IV
Trade
140 Calls
135 Calls
130 Calls
125 Calls
$0.75
$2.40
$5.20
$8.95
32.4%
36.4%
40.5%
-2
-3
$7.00
$9.45
$12.15
$15.25
33.6%
35.8%
36.5%
33.0%
+2
+3
Delta
Gamma
Theta
Vega
-60.0
-19.5
77.9
193.2
-5
+5
$ (3,780)
$ 4,929
$ 1,145
$ 567
$ (756)
Price: $133
Capital
Profit/Loss
$ 1,292 $
334
$
704 $
(128)
$
916 $
600
$ 1,704 $
273
$ 5,228 $
629
$ 3,504 $
636
$ 2,166 $
342
$ 6,669 $ 1,097
$ 7,712 $
289
$ 3,226 $
488
$ 2,814 $
678
$ 5,070 $
846
$ 4,052 $
(846)
$ 45,057 $ 5,238
$ 3,466 $
403
Annual Yield
Yield
26%
-18%
66%
16%
12%
18%
16%
16%
4%
15%
24%
17%
-21%
12%
140%
Dan Sheridan
1-678
678--262
262--8898
dan@SheridanMentoring.com