OPENING: IWM AUG 18TH SHORT PUT/NOV 17TH LONG PUT CALENDAR

... for a 2.71 db.

I don't have any IWM on, and we're in a low volatility market, and calendars are a low volatility strategy, so putting one on here ... . The back month is setup around the 40 delta; the front at the same strike as the back.

Unfortunately, as with all calendars and diagonals, they're aren't a good deal of metrics to look at. Here's what we do know:

Max Loss: $272/contract
Theta: 1.26
Delta: -12.3

Notes: I'll look to pull this off at 10% max and to roll the short put out "as is" if it decreases in value by 50% or so to collect additional credit.

Trade active:

Rolling out the 139 short put "as is" to the Sept 1st 139 for a .35 cr on this up move. Cost basis now 2.37. Will look at rolling to a vertical spread if it "keeps going."

Trade active:

Rolling the Nov 139 long put to the 138 long put locking in the (small) increase in value experienced by the long, but (more importantly) getting a .31 credit to do it. Scratch at 2.06.

Trade active:

Rolling the Nov 138 long put down to the Nov 137 long put for a realized gain of .41 ($41/contract) and a credit of .33. The scratch point is now at 1.73, and the resulting diagonal is a Sept 1st 139/Nov 17th 137.

Trade active:

Rolling the Nov 17th 137 long put down to the 136 for a realized gain of .48 ($48) and a credit of .33. Scratch point is now at 1.40. Waiting for more extrinsic to bleed out of the short before rolling it ... .

Trade active:

Rolling the Sept 1st 139 to the Sept 22nd 138 for a .48 credit. Scratch point at .92. This makes the diagonal a little less long delta.

Trade active:

Rolling the Nov 17th 136 long put down to the 135 for a realized gain and a .34 credit. Scratch point at .58.

Trade active:

Rolling the Sept 22nd 138 down to the Oct 20th 137 for a .63 credit. Scratch point now at (.05). With credits received now exceeding what I paid to put it on, I'm basically looking to sit on the setup until near expiry ... .

Trade active:

Covering the Oct 20th 137 short put for a realized gain and a 3.05 db and selling something closer in time -- the Sept 29th 135 short put for a 1.51 credit, so I'm now back to a same strike calendar -- Sept 29th 135/Nov 17th 135. Scratch point now at (.05) + 3.05 - 1.51 = 1.54. Sometimes you can fix stuff when you later say, "Geez, I shouldn't have done that" (i.e., "rolled out that far").

Trade active:

Rolling the Sept 29th 135 to the Sept 29th 136 for a realized gain and a .26 credit (delta balancing). Scratch point at 1.28.

Trade active:

With the short put having lost >50% of its value, rolling the Sept 29th 136 to the Sept 29th 137 for a realized gain and an .18 credit (delta balancing). Scratch point at 1.10.

Trade active:

Rolling the Sept 29th 137 to the Oct 6th 137 for a .19 credit; scratch at .91 (picking up some long delta).

Trade active:

Rolling the Oct 6th 137 to the Oct 13th 138 for a .19 credit (delta balancing; short put at >50% max). Scratch at .72.

Trade active:

Post is getting a little long in the tooth, so continuing it in a separate one, since it has now morphed into a diagonal ... .