TLT Calendar

Click here to view PL diagram, Greeks, Vols & Price chart.
Looking @ an ATM long call calendar spread …
Short 10 Dec 116 calls
Long 10 Jan 116 calls
Max Loss = $1,160
Max Profit = $1,940
IV of long options = 23.25% – Low to mid of range over the past 3 months
IV of short options = 23.77%
Delta =  3.66, Gamma = -13.26, Theta = 15.12, Vega = 58.94
This is a positive Theta (does well with time decay) & positive Vega (does well with increase in implied volatility) trade.
Looking to make 15%-20%  of risk.
This entry was posted in Calendar, Misc. Underlyings, Options, TLT. Bookmark the permalink.

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