Jeff 8:02 am on Friday, February 26, 2016
Tags: Rolling ( 449 ), SPXcampaign ( 2,265 )

SPX call roll

#SPXcampaign #Rolling Sold to Open $SPX March 24th 2005/2030 call spreads for 7.20. Part of a roll from this morning’s stopped spread.

sasquatchonline 11:19 am on Friday, February 26, 2016

How early do you think is too early to roll? I have a 1975/2000 SPX call spread at Mar 18 that I had rolled from Mar 4 1950/1975 earlier in the week. I feel like I’m going to be rolling these things in perpetuity.
- Jeff 11:46 am on Friday, February 26, 2016
  
  If I roll a call spread at these high prices, I tend to take a little less premium on the roll and add some put spreads to balance. I may add puts today if we stay weak into the close. Rolling call spreads in this manner is tricky because there will be a point when SPX will rip higher for two weeks or more, and every roll will get taken out… the signal for me is a close below 16.93 on the VIX (78.6% Fib retracement). At that point I would stop rolling and wait until I can sell spreads above 2125. Until then, I believe we will remain in this wide consolidation, even if we make new highs on each up swing.
- Jeff 11:53 am on Friday, February 26, 2016
  
  Oh, and lately I’ve been rolling if we get within 20 points of the short call. So in your case, I would try to close that spread on pullbacks and then look to build rolls on the swings. That’s why I closed a 1975/2000 this morning, because we were set to open above 1955. That’s me, though, you can set your own rules.
  - Addy 12:20 pm on Friday, February 26, 2016
    
    Jeff what a crabby day

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