MamaCash 9:53 am on Tuesday, October 30, 2018
Tags: Earnings ( 3,108 )

FB DubCal

Bot FB Nov2/Nov9 144 double calendar @ 1.51. EM 12.
Profit tent allowing for 20-point move. Vol collapse will favor profit if FB stays within EM.

Jeff 10:06 am on Tuesday, October 30, 2018

When determining profit tent on Analyze tab, are you just looking at the tents for each straddle, which are usually about the same, and using that? Or are you modeling the whole dbl calendar?
- MamaCash 10:16 am on Tuesday, October 30, 2018
  
  I look at the whole double calendar on today’s date and then on the date after earnings. They don’t vary much.
  - Jeff 10:25 am on Tuesday, October 30, 2018
    
    What do you enter for vol change?
  - Jeff 10:30 am on Tuesday, October 30, 2018
    
    Sorry to be a pain, but can you tell which settings I should adjust to get this properly modeled?
    - MamaCash 10:49 am on Tuesday, October 30, 2018
      
      Change your Lines field to 1+Expiration rather than 1+Date
      - MamaCash 10:55 am on Tuesday, October 30, 2018
        
        Actually, it doesn’t look like that fixes it. I’ve had that happen and then it fixes itself. Really not sure how to get your T-line to zero.
      - Jeff 10:56 am on Tuesday, October 30, 2018
        
        Ok, thanks. So I do that, and I get lines for 10/30 (today) and 11/3. How do I get the 10/31 line? Also, how do enter volatility change when the drop is different for the two expiries?
        
        MamaCash 11:00 am on Tuesday, October 30, 2018
        
        There’s a gear at the end of line above the table where the selected options are listed (bottom section of risk profile). If you select that gear, it gives you a choice to decrease vol by percentage. To get different vol collapse for each spread, you have to put the two straddles in the Analyze tab separately, not as a single trade. Then you can select the shorts and put in the expected vol collapse and the same with the longs.
        
        To change the date, there’s a Date field right above that table. You can select whatever date you want to review.
        
        Jeff 11:03 am on Tuesday, October 30, 2018
        
        Ok, so yes, I meant which value do you enter in the volatility box when you are looking at the whole spread to see your tent.
        
        Also, when I change the date, the lines do not change. The shading over the black background changes but not the lines.
        
        MamaCash 11:05 am on Tuesday, October 30, 2018
        
        You don’t enter a value in the volatility box for the double calendar. It is what it is. You enter the vol drop for shorts, calculate the potential profit, then for the longs, calculate the potential loss, and see if you have a net gain. Based on the feedback that I’ve been getting, I think this isn’t easily understood. I’ll create a doc this weekend with an example and pictures.
        
        Jeff 11:08 am on Tuesday, October 30, 2018
        
        No, I have understood that and done that, comparing the straddles separately. But you said you model the whole trade to see the tent, so I was wondering what you entered for volatility. Then i just found the “more parameters” button where you can enter vol drops for each expiration.
        
        MamaCash 11:11 am on Tuesday, October 30, 2018
        
        I just put the trade on the Analyze tab with today’s date and look at the edges of profit tent. Like I said if you change the date by 1, it doesn’t change much so I usually go with what I see today. All I want is for EM to be well inside the profit tent. I don’t want EM to have a wider spread than the tent itself.
        
        MamaCash 11:09 am on Tuesday, October 30, 2018
        
        It sounds like your Risk Profile has some weird setting. When you change the date right above the positions, both the T+ line and the expiration line should change. I don’t know what to say. Maybe ask ToS?
        
        Jeff 11:19 am on Tuesday, October 30, 2018
        
        So I think you CAN determine profit while viewing the whole trade. If you click “More parameters” to the right of “Vol Adj”, it allows you to enter separate vol adjusts for each date.
        
        MamaCash 11:22 am on Tuesday, October 30, 2018
        
        Perfect! Thanks. That’s awesome feature. I somehow never saw it before now. That will be very useful.
mortlightman 12:06 pm on Tuesday, October 30, 2018

Followed this trade $1.60
Thx

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