Bought a SPX JUL/JUN14 1900 monthly Calendar Spread with 38/66 days to go until expiration
BOT +1 CALENDAR SPX 100 JUL 14/JUN 14 1900 CALL @9.55 CBOE
The trade idea:
The decison for the SPX at 1900 is either UP or DOWN. Volatility is extremely low at the moment at about 12% and SPX IV-percentile is in the lowest 10%. For me a good opportunity to open the first "tent" of a double Calendar, at a value that might see some back and forth trading (up to 1920, down to 1850, see chart)
However, should Ms. Market decide to make a stronger move - either up- or downwards - then a second Calendar tent will be placed according to market action either above or below, receptively. The current trade therefore carries only 1/2 of the total capital I am willing to risk in this trade. Lets Ms. Market play her game, we are prepared with a plan for all three directions.
Updates for this and other trades can be found at http://inoutsignal.blogspot.de/p/inoutoptions2.html
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