OPEN: DIA Shotgun (Triple) Calendar May/Jun Q 125, 128, 131

Per insanemoney.com, they put on a shotgun calendar on DIA on 4/23/08. I missed a shot at getting in back then as I was recovering from my trip.

Today, with DIA near 128, I decided to pull the trigger and open the trade.

I bought the May/Jun Quarterly 125, 128 & 131 calendars. Here is the analyze chart from TOS...I have almost neutralized this trade by adding the 125 calendar, eventhough insanemoney took that leg off this morning. I felt that I could add it on for protection since it has been down since this morning.



Also my theta increased by several points which means my short positions in each calendar will make more money for me. Also, vega increased as well which means that I will make more money as volatility increases. Since this is a debit trade, I want volatility to increase so i can exit the trade for a higher credit (at a higher volatility, the price is worth more).

Here were my fill prices:
BOT (Quarterlys) JUN5 08/MAY 08 125 PUT @1.73 debit
BOT (Quarterlys) JUN5 08/MAY 08 128 PUT @1.98 debit
BOT (Quarterlys) JUN5 08/MAY 08 131 CALL @1.73 debit

Total original cost basis= $5.44

Then, once I got into the trade, I rolled all my Mays to Jun to bring down my cost basis significantly and because I'm within my 10 day window before expiration to roll my legs for maximum pricing (remember once you get closer to expry, your volatility goes crazy).

SOLD JUN 08/BOUGHT MAY 08 125 PUT @ $1.50 credit
SOLD JUN 08/BOUGHT MAY 08 128 PUT @ $1.69 credit
SOLD JUN 08/BOUGHT MAY 08 131 CALL @ $1.38 credit
Total credit on roll= $4.57

New cost basis= $5.44-$4.57= $0.87

So essentially my next roll from Jun to the Jun Quarterlies will give me pure profit since my cost basis is now below $1.00!