In a recent article, “Bond ETFs, Calendar Calls and the Business Cycle“, we analyzed a Bond ETF calendar calls spread strategy. We will analyze the strategy once again for stock options expiration in September 2006.
Using PowerOptions new stock options back testing tool SmartHistoryXL, we will select a bond ETF calendar calls spread position on August 21, 2006 with the short stock option expiring on September 15, 2006 (September options expiration day). The stock options back testing results are shown below:
| Results for Calendar Call Spread search on August 21 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Stock Sym |
Stock Price 8-21-06 |
Short Opt Strike &Mo. |
Short Opt |
Short Opt Bid |
Long Opt Strike &Mo. |
Long Opt |
Long Opt Ask |
Stock Price 9-15-06 |
%Ret | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| TLT | 87.08 | 06 SEP 88 | TLTIJ | 0.3 | 07 JAN 81 | TLTAC | 6.6 | 87.46 | 3.2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Analysis
The bond ETF calendar calls spread strategy returned +3.2% (25 days) for options expiring in September of 2006.
A common strategy for calendar calls spread positions is to continue to use the long option to write recurring short options positions. For example, for options expiring in October one possible short option position for pairing with the existing long options position (TLTAC) is TLTJK (06 OCT 89) with a short option bid price of $0.20.
Join PowerOptions today, and you too can start reaping the benefits of the bond ETF calendar calls spread investment strategy.
PowerOptions provides Internet based tools for analyzing stock options with specific search criteria and for finding potentially lucrative option income. For those seeking to execute a calendar call spread investment strategy for their personal portfolios, PowerOptions provides an Internet based search engine for finding potentially lucrative income producing calendar call spread options positions.
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