We came away from this session with several trade set-ups to ponder, although none of them triggered during the hour. Once again, a strategy to leverage a rally target using call calendar spreads was the most promising of the bunch. It’s possible to calculate the maximum profit on the spread without using software or a Black-Scholes model. A little simple arithmetic told us that the spread we would attempt to buy for 0.10 or so had a chance of widening to as much as 1.20. Not bad odds.
