I've been trading a dual calendar strategy for about a month and the results seem a little too good to be true so I'm hoping you guys can roast me and show me where I can blow up trading this.

    The basic setup is to enter a 25 delta dual calendar when I think volatility is going to rise.  Buy a 25 delta call and put and sell those same strikes two expiries nearer.  I require the peak p&l diagram at the expiry of the short contracts to give at least one times cost and the middle trough/loss to only be at max 30% of cost.

    I manage the trade by exiting completely at the expiry of the front if it's profitable.  If not, roll the shorts forward.  If it touches a strike early, I exit if profitable or roll if not. That's basically it. I avoid earnings and hold positions in about 10-15 stocks at a time.

    The results are a bit unbelievable.  Closed 25 trades or so in the last month – 80% win rate, average win 30% of cost, average loss about 20% of cost.

    Is this normal for a dual calendar strategy?  No home runs but steady winning with low draw down?  How can this kind of strategy blow up?

    Roast my dual calendar strategy
    byu/aaaaaa321123 inoptions



    Posted by aaaaaa321123

    1 Comment

    1. I like to call this the circus strategy because it’s fun while the show is on but sucks when the tiger escapes and bites you in the ass.

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