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Optimal Calendar Spread Names

Discussion in 'Options' started by N N, Jul 18, 2015.

  1. N N

    N N Well-Known Member

    What is a good screen or backtest to identify optimal names to trade calendars on? In watching some of Himanshu's videos, there are certain names which seem very forgiving directional calendars (SPY he mentions he made good money just rolling front months constantly. IBM was another name) Then there are others which seem to constantly be flat or negative (GLD and XOM come to mind)

    My guess is the names that are systematically good calendar trades have a fairly constant spread between Realized and Implied Vol over a long period of time? Hence why SPY puts are better sale month after month then say GOOG.

    Any thoughts?
     

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