A diary of one pessimist's journey to learn financial markets.

Thursday, June 24, 2010

rolling down LEAPS

I bought IWM LEAPS Calls, and IWM is down. Is it a good idea to roll my calls down?

IWM:
paid $15 per delta for a Jan'12 70 Call
roll to 69 : + .01 delta : cost 0.41 + .06 = 0.47 : cost / delta = 47
roll to 68 : + .03 delta : cost 0.87 + .06 = 0.93 : cost / delta = 31
roll to 67 : + .05 delta : cost 1.30 + .06 = 1.36 : cost / delta = 27
roll to 66 : + .06 delta : cost 1.78 + .06 = 1.84 : cost / delta = 31
roll to 65 : + .08 delta : cost 2.24 + .06 = 2.30 : cost / delta = 29

or, looked at another way,

70 Call @ 7.93 = IWM @ 77.93
69 roll @ 0.47 = IWM @ 77.40
68 roll @ 0.93 = IWM @ 77.40
67 roll @ 1.36 = IWM @ 76.29
66 roll @ 1.84 = IWM @ 75.77
65 roll @ 2.30 = IWM @ 75.23

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