# Options - Calendar Spreads



## mg11 (1 September 2013)

Any thoughts on the use of Calendar Spreads on XJO index ( Sale of Front Month & Purchase of Distant Month )
for consistent monthly income ?

And any thoughts on modifying / changing the calendar if the market moves against the calendar ?


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## village idiot (2 September 2013)

mg11 said:


> Any thoughts on the use of Calendar Spreads on XJO index ( Sale of Front Month & Purchase of Distant Month )
> for consistent monthly income ?




is there an edge there?


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## sails (2 September 2013)

village idiot said:


> is there an edge there?




Only if the market is near to your strike when you close or roll the position.


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## wayneL (2 September 2013)

mg11 said:


> Any thoughts on the use of Calendar Spreads on XJO index ( Sale of Front Month & Purchase of Distant Month )
> for consistent monthly income ?



Income will not be consistent, so 'monthly income' from these sorts of systems is a misnomer. You are putting on a trade that will either profit or lose. Putting them on indiscriminately as a monthly trade is probably a loser overall IMO.



> And any thoughts on modifying / changing the calendar if the market moves against the calendar ?




Yeahbutnobutyeahbutno. You can try to dynamically hedge the deltas, but watch vega and contest costs with the morphs. Easier with other delta neutral strategies IMO.


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## mg11 (19 September 2013)

wayneL said:


> Income will not be consistent, so 'monthly income' from these sorts of systems is a misnomer. You are putting on a trade that will either profit or lose. Putting them on indiscriminately as a monthly trade is probably a loser overall IMO.
> 
> 
> 
> Yeahbutnobutyeahbutno. You can try to dynamically hedge the deltas, but watch vega and contest costs with the morphs. Easier with other delta neutral strategies IMO.




Thanks for reply - It leads to another query - On average, What is the most efficient Delta Neutral income strategy?
ie Straddles, Strangles,    - with/without Delta Hedging    -  on Indices or Futures ?

Or maybe someone can point to a previous discussion on the topic..


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