The July cycle so far has largely been a waiting game for our Calendar Options strategy. We wanted to wait until we’d closed out at least some of our June positions before opening our first July calendar spread. Then came a nasty expiration day, followed by the period of uncertainty heading into the Fed’s two-day FOMC meeting.

Today we again find ourselves sitting on our hands. We’d planned to open a second July calendar spread this morning, after the dust had settled post-Fed, but we got a dust storm instead. Sometimes the best way to trade is not to trade.

Nevertheless, it would be nice to balance the 48 delta of our EEM July/Sept 140 put position with another trade that has zero or negative delta, so if things settle down tomorrow we’ll be looking to open a bearish-to-neutral July/August calendar spread. But if the sell-off continues, we’ll have to focus on managing our risk by adjusting our EEM position ahead of the weekend.

Last 5 posts by Condor Options

• Midweek Sméagol Reading - August 20th, 2008
• More on The Correlation Game - August 18th, 2008
• August Monthly Review - August 17th, 2008
• They Have the Passports to Prove It - August 13th, 2008
• Sleepy Nasdaq - August 12th, 2008