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Trading > Netto's Numbers

Lifting Feb Leg of Yen Calendar Spreads

John Netto | Thu, 02/05/2009 - 1:28am |  Add a comment

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John Netto - Chief Investment Strategist - A few weeks ago we put on Feb/March Calendar spreads on the Yen  by buying the 115 March calls and selling the 115 Feb calls. We also sold the 110 Feb puts and bought the 110 March puts. The feb legs of this spread expire Friday and since a large portion of it has decayed, NetBlack Capital closed out the positions and are long the march 110 puts and march 115 calls for substantially less than market price. Those options expire in 30 days and should make my first month back in NYC a lively one.

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