New Position: ODAX Oct - Dec PUT Calendar Spread

Summary

As the DAX 30 is climbing again back to the mid 12.400s while the Implicit Volatility has dropped all the way from 18% to 13% since the beginning of the month, I have decided to open a October - December 12450 Put Calendar Spread.

DAX 30 on September 21st 2018. Source Investing

If you remember, when Calendar Spreads were discussed, this trade involves selling a front-month option and buying another one at the same strike but further in the future.

The idea behind this trade, is to do it when Volatility drops and expect a return of the Volatility to its mean value. If that happens, the Option that we own far in the future will gain more value that the value lost by the Option being sold in the front month.

If by the end of the month, I have not achieved that increase in volatility, I will roll the short option into November in order to recover as much premium as possible, from the original debt paid.

Trade details

Type	Name	Max Loss	Max Win	IV at open	Long DTE	Short DTE
Put Spread	ODAX Oct - Dec 12450 Calendar	846,80€	Undef.	13	91	28

You can see all the trade details here which produces the following Profit/Loss graph:

Profit / Loss Graph. Source Options Creator

This graph was generated with the Implicit Volatility at 13%, although my bet is on a rise of the volatility.

Portfolio

The Systematic Put Write is open having sold now the October 9500 PUT for the IBEX 35 index.

See also

• Calendar Spreads with Put Options
• Systematic Put Writing - September 2018
• Options Creator
• 2018 Trades (so far)
• 2017 Track Record