Chapter 23: Spreads Combining Calls and l'uts 357 
Looking at the negative side, the "calendar straddle" is the least attractive of the 
three strategies, primarily because one is forced to increase his risk after near-term 
expiration, if he wants to continue to hold the longer-term options. It is often diffi­
cult to find a "diagonal butterfly" that offers enough credit to make the position 
attractive. Finally, the "calendar combination" has the largest probability oflosing the 
entire debit eventually, because one may find that the longer-term options expire 
worthless also. (They are out-of-the-money to begin with, just as the near-term 
options were.) 
The strategist will not normally be able to find a large number of these positions 
available at attractive price levels at any particular time in the market. However, since 
they are attractive strategies with little or no margin collateral requirements, the 
strategist should constantly be looking for these types of positions. A certain amount 
of cash or collateral should be reserved for the specific purpose of utilizing it for 
these types of positions - perhaps 15 to 20% of one's dollars.