The idea is to use calendars, trying to sell the high volatility in the front month and buy the lower volatility in the farther month for protection.
On December the 16th, OSX was ranging from 218 to 220 all day. The volatility of the 220 strike Dec PUT was higher than the Quarterly 220 Dec5 PUT. So I started a calendar there with the idea that once OSX moved away from that price later in the week another calendar would be opened, resulting in a Double calendar position.
SELL 1 OSX DEC 220 PUT @10.00 (+$1000)
BUY 1 OSX DEC5(Qtr) 220 PUT @11.60 (-$1160)
Two days later OSX moved to the upside and at that point I opened the second calendar, in the upside, so that now the price of OSX is in the middle of my Double Calendar. I played 2 contracts this time, giving more importance to this last movement:
SELL 2 OSX DEC 230 PUT @9.20 (+$920 X 2 = +$1840)
BUY 2 OSX DEC5(Qtr) 230 PUT @10.80 (-$1160 X 2 = -$2320)
In both trades, a higher volatility was sold than what was bought, which results in a better risk/reward ratio in the trade. As a result we have the following position:
See how this trade played out