Considering Our Options: $BBRY Calendar Put Spread

by CC February 26, 2013 12:16 pm • Commentary

With BBRY below 13 it’s a good point to revisit our calendar trade and see where it stands and what we’re looking at going forward. Here is the trade from Feb 14th, when the stock was $15 the trade:

Bought the BBRY ($15.02) Mar22nd / Apr 14 Put Calendar for $0.64

-Sold 1 Mar21st 14 put at $1.12

-Bought 1 Apr 14 put for $1.76


The thesis on this trade was that BBRY was likely to stay within a decent range going into its earnings which would allow us to collect the premium of the March puts and be left with the cheaper play in the April puts that catch earnings. With the stock at 12.65 this trade is even to up slightly and is slightly bullish from a delta perspective. We like the set-up and will stick with the structure for at least a little while longer.

The way it stands the trade is long 10 deltas but the March options have about 65c in premium left in them that serves as protection on those deltas. (the 65c will decay faster than the premium left in April) This provides a little bit of a buffer to the downside and allows the trade’s break even to slide lower with each passing day leading up to the March options’ expiration.

The best scenario for the trade is for the stock to creep higher over the next few weeks, but even if it continued to drift lower with the market we like our set-up and would likely only throw in the towel if things got really ugly.

Stay tuned for any updates, we’ll post them if we make any adjustments.