GLD – Directional Calendar

Click here to view chart, PL graph & greeks.
– GLD is coming into a Demand Zone (Support) around the 160-158 level.
Expect a bounce of this zone.
– Implied volatility (IV) is at the lower end of it’s range.
– Playing this via a directional calendar
Short X April  163 calls, Long X May 163 calls
(X = number of contracts)
~= 0.5% difference in IV of the short & long strike (-ve skew in this case i.e. IV of long options > IV of short options)
Looking to make around 10%-15% of max risk.  The idea is not to hold this to expiration.
This is a +ve theta & vega trade i.e. gains with the passage of time & an increase in IV.
It starts off as a +ve theta trade (gains with an increase in price of the underlying).  However around the 163 level it the theta would start going into the -ve territory.
This entry was posted in Calendar, Commodities, ETF, Fibonacci, Gold, Misc. Setups, Options, Support (Demand) - Resistance (Supply). Bookmark the permalink.

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