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Call-skewed Sea Legs

XX
are a calendarized
utilizing
with separate
dates. It is intended to reduce
risk and maximize
collection in a
within a high
environment. They are established by selling 1 30
16-20
alongside a 60DTE 25-30Δ
-1 30DTE 16-20Δ call
-1 60DTE 25-30Δ put
Theoretically, in the event of implied volatility expansion caused by a rally, the front-month call shouldn't be as affected by vega as it would be in the back month. If the call is
it may be possible to
for heightened
before it becomes necessary to
On the flip-side, if the put is tested, the later dated put should be more effectively hedged by volatility contraction due to heavier back-month vega. Calls can then be rolled out and down if necessary.

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