BPT Vertical Skew: A Calendar SpreadPosted by: Admin: "The Vol_Trader" // Category: Volatility Trades
Using “exploding IV30” scan on LiveVol Pro software I found a nice vertical skew in BPT (Prudhoe Bay Royal Trust).
The Skew chart looked like this:
As you can see the Apr [red] options are trading at a significant premium to all back months. I sold the ATM Apr $100 put 43% IV, and bought the June [green] $100 put 68% IV for a debit of $4.61. BPT trading at $100.13. [10 contracts traded]
The P&L chart looks like this as of today:
I will monitor it and start off with a mental partial sell order at $5.20…