Has anyone else read this:
Tsuei describes the Calendar Collar Trade (CCT). From what I understand the CCT is like an ordinary collar except that you buy the near-month put and sell the next month's call to pay for that put. I'm wonderin' if it could work.
The problem I have with it is that it would seem counter-intuitive to buy the more quickly eroding front-month option and sell the slower decaying call. If the stock doesn't move much then you will end up holding a worthless put but still be obligated to the buyer of your short call - ie the transition of both put and call to the next month out will cut you up like a whipsaw.
I'd appreciate your comments; take a quick look through the poorly-written (it's free so can't complain) PDF and throw you thoughts up on here. Cheers.