I was reading the Option Trader Mag, a free monthly e-magazine where they were talking about Double Spreads. I thought why not try one (on Paper).
So here you go: One on SPY
This is essentially 2 calendars (May - June 128 put and 130 call).
Max risk is $135
Max reward $123
However, BE and max reward are sensetive to IV.
The vega of this trade is $9.79.
I did some IV stress test on this trade. It is sensetive. I am putting it on my blog to track it and see how it looks.
Here is one tip: Do call & put calendar just OTM and not a few strikes OTM.
I believe the DC trade works better if strikes are closer together.
I will write more about is later.
Trader R
PS:
(Note: I have directly copied the picture above from Platinum. Here is how:
Right click on the chart & select copy image location
Paste the location in place of ccc in following command:
< i mg src="ccc"/>
Just make sure there are no space between <,i and mg
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