After lot of paper trades, successful real trades on NKE for past 3months and considerable research I have chosen this underlying for initiating double calendars which has almost similar profile as double diagonal to diversify my income portfolio.

Here is the Income trade that I have opened for May’07:

• Sell - May Put $155, May 150 Put 150
• Buy - Oct Put $155 and Oct Put $150
• ROM - It will vary as it can range from 0 to $580 on $1035 investment (by May expiration only. This will change after any adjustments or rolls). That is upto 56% for 1 month holding.
• Breakeven points - $144.49 and $163.87

Here is the risk reward curve and transation details.

This is a very market neutral trade with delta only $2.66 and Gamma only -$3.25. However, the real beauty lies in Theta > Over $8/day/spread.

Watchout: OIH is volaitile and therefore this trade may require active adjustments vs other income trades.

Profitable trading, OptionPundit