08 Apr

BPT Vertical Skew: A Calendar Spread

Posted 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:

image

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:

image

I will monitor it and start off with a mental partial sell order at $5.20…

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