RTP 1/23 Jared Woodard: Implied Volatility Term Structure & Time Spread Trading

(Update 1/22: The weather and roads are good enough. I have checked with our speaker. The meeting is ON for Thursday evening at South Regional Library next the RTP!)

We are delighted that Jared Woodard of Condor Options (http://condoroptions.com/) has accepted our invitation to talk and interact with our members.

Time spreads (calendar spreads) are among the most frequently discussed options trade structures, but also one of the least well understood.

The primary problem is that people describe the purposes of time spreads in ways that fail to distinguish them from the reasons you might trade a straddle or strangle.

For example, you can find statements like this one in many popular texts and on prominent websites: "A garden variety calendar spread seeks to exploit the erosion of time value."

Without further qualification, that sentence is false in some interesting ways! Jared will explain why.

Jared plans to cover:

• What is the implied volatility term structure?

• How is it similar to the yield curve in interest rate markets?

• Advantages and disadvantages of constant maturity indexes and products

• Trading calendar spreads with the term structure in mind

We first got in touch with Jared after being impressed by his e-books and blog many months ago. He agreed right away to talk and we have been working since then on finding the right date.

I had originally proposed a remote talk, but Jared has very generously offered to travel here from Virginia to meet with our group in person.

Jared is linking to this announcement from his own site at http://condoroptions.com/2014/01/13/upcoming-talk-implied-volatility-term-structure-time-spread-trading/

Jared Woodard is the author of the well-known blog Condor Options (http://condoroptions.com/), which in my opinion is the best options blog on the web. He has been quoted in The Wall Street Journal, Reuters, Bloomberg, Yahoo! Finance, and the Financial Times.

He is the author of Options and the Volatility Risk Premium (http://www.ftpress.com/store/product.aspx?isbn=0132756102) and Iron Condor Spread Strategies: Timing, Structuring, and Managing Profitable Options Trades (http://www.ftpress.com/store/product.aspx?isbn=0132756072), both published by FT Press. In 2008 he was profiled as a top options mentor in Stocks, Futures, and Options magazine, and in 2010 was interviewed for Technical Analysis of Stocks & Commodities magazine.

He is a founder and contributing editor of Expiring Monthly: The Option Trader’s Journal (http://www.expiringmonthly.com/), and is a daily contributor to TheStreet’s Options Profits (http://www.thestreet.com/options-profits/index.html) premium service.

We will have lots of time for an extensive dialogue between Jared and our members after the main talk. Please bring your hardest issues as questions (or simple ones too that are puzzling you). I have heard Jared speak before and know that he can and will handle anything you have about options and volatility.

What is unique about Jared's work is the extensive back-testing and statistical analysis of strategies. His strategies, unlike so many others, have simple, clear, hard rules.

He can talk in depth about model risk parameters ("greeks"), or in simple terms for new traders, or in the language of research for researchers.

We have lots of space, so please free to bring or invite friends.

By the way, I certainly encourage people to read Jared's short books. You can buy them inexpensively on Amazon, or, I have found, read them for free with a trial subscription to CreativeEdge or SafariBooksOnline. Jared also has a subscription newsletter and we will do him the courtesy that we extend to all of our speakers of asking him a few questions about it.

I do not expect that Jared will be able to stay after the meeting, since he needs to head back to Virginia, but Dave W. is organizing a get-together afterwards at Ted's Montana Grill, 6911 Fayetteville St, Durham, NC 27713 (919) 572-1210 - everybody who can make it is welcome to join us there (everyone on their own tab)!