Volatility-based strategies
| ID | Ticker | Type | Classification | Entry Date | Status | Net Debit | P&L | Return |
|---|---|---|---|---|---|---|---|---|
| T001 | SPY | P1 | Long Calendar | 2026-02-01 | open | $250.00 | $0.00 | 0.0% |
|
Entry Thesis
IV low (12th percentile), term structure flat. Buy near-term vol, sell longer-dated. Expecting IV mean-reversion. Structure
Long: SPY Feb 28 550C
Short: SPY Mar 21 550C Net Debit: $250.00 Vol Metrics
IV%: 12
VRP: -2.5 RV%: 18 Term: flat Greeks at Entry
Delta: 0.05
Theta: -15.0 Vega: 45.0 Expected Outcome
IV rises as near-term contract decays faster than far-dated. Profit on vol expansion. Actual Outcome
Pending (trade open) |
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