Replies to post #23506 on Cycle Trading

[Duma]

I really don't know what to call it. At this point things are getting really messed up with the short call being worth more than the long and the long call being so far OTM.

So wanting to be able to do some what if games, I have been working since early this morning to develop an excel spread sheet that would calculate option prices and deltas. I also used a online calculator but it was hard to use. When I finished with my excel formulas I was very pleased to find that my numbers were very close to what I come up with from just looking at the chain option prices.

I was a bit off on the rolled call in that I had 5.20 and my worksheet came up with 4.78. So using the more conservative number my profit after a 5% market drop and rolling the option would be $386.

I then did a what if game. What if the next week the market dropped another 5%. At the end of that week, the long Nov would be worth .20 and the rolled sold call .02. So this would take the profit up to $403. And for sure it is time to exit all positions and start the game over.

Here is my excel worksheet.