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Back in March, cnms2 wrote: "Talking about adjustments: a strategy favored by some savvy options traders is to open an ATM iron condor, then adjust it everytime one wing gets ATM by opening another iron condor right there, and so on. Maybe a similar thing might work for credit spreads."...

Rally, I found your old posts on Coach's thread. Interesting. If it's alright, I'll throw some thoughts at you... You use TA to trade counter to S/R. You appear to play on one side only. Have you tested placing condors instead of one-sided positions? I'm very biased against picking...

Cache, Option Trader mag just did a piece on directional flys.

Rally, Thanks for the input. Do you have an approximate date when you might have posted on the 'spx credit' forum? I'll look for it. Curiously, why have you moved on from this approach? thanks for your thoughts.

I'm going to steer clear of the general expectancy dust-up happening over on "SPX Credit Spreads". But I ran some expected values on CTM call credit spreads and found a net positive return. I'll throw this out there for comments: 1. CTM's on SPX, RUT. Leave to expiration. I ran current...

From what I understand, Mav has Taleb's strategy correct. Tony Saliba (in 'Market Wizards', among other places) did similar things (short ATM, net long wings) and he was able to bring in theta most of the time yet profit from extraordinary events. His strategy was able to take advantage of...

Yip, I might agree with you, still thinking..... The underlying can only have one realized (ex post) volatility. It is unknown in advance. But skew exists, there are different IV's at each strike. Only one can be proven 'correct' after the fact. Is that the logic that underpins your...

Thanks for the input. Yes, there always needs to be a 'no mas' point on Martingale. When the potential roll credit falls below a certain level (say 2 weeks from expiration), the size increase required to generate a net credit become too large. Perhaps rolling to next month, with a size...

Cache, Rally and others, Taking your commentary on the advantages of CTM CR spreads, I've set up some backtest spreadsheets on Martingaling with the strategy. Some like to trade these as expiration bets only, but I was coming from the angle of avoiding negative theta near and beyond the long...

Cache, I agree with you. I was holding vega aside, which of course, you can't do. With low IV's now, I would prefer the Double Diag as well. I was trying to see if you could mitigate the gamma curvature with a few extra long wings and found you probably could. Mind you, paying for the...

Mark, Murray and others, Just because I like to beat dead horses, here's a JPG file of a credit DD overlaid with a condor with a twist both two days before Dec expiration. The DD is Dec/Jan with shorts at 800 and 710 (on the RUT). Widths 30 on the calls, 40 on the puts. I created a...

Murray, You're being humble. I've learned a lot from your posts. For context, I trade for time decay income without predicting market direction. I am playing with some CTM strategies as well (thanks to insights I've learned from cache, rally and others). But my focus is always on...

Dagnyt, coach, murray & others, I'm experimenting with OOM diagonals, CR spreads and backspreads. I'd like to put some thoughts out there for comment. Diagonals allow you to mitigate some of the downside gamma inherent in credit spreads and to take a position on vega. As others here...

Murray, I see you use 1 month difference on your diagonals. Would you ever do them with 2 months, ie., looking for the roll opportunity? Especially in order to pick up more vega in low IV environments (now?). The tradeoff is being able to buy fewer longs OR having to buy them further...

Rally, Your posts are very informative and thoughtful. Thanks for sharing your insights. I'm trying (very small size) some CTM spreads. I want to get your thoughts if your willing..... Do you treat puts and calls differently? (more below). And do you exit if the market is between...

Would anyone care to comment on post-hedge plans of action? I'm talking about using straight longs to hedge credit spreads. If you put side is threatened, buy some long puts between the market and your short puts. And possibly adding to positions on the profitable side of the spread...

All the best to mom and baby (and you too).

Rally, I've spent some time looking at long term trend-following systems. One of the most popular and reasonably effective uses simple Bollinger Bands to signal breakouts. These systems work well when used on currencies/rates/some ags but lose money on stock indices. I turned the system...

Dagnyt, Coach, Thanks for your replies. I see what you mean. Ran it thru OptionVue and I'm only shedding delta risk near expiration of my calendar. And I would need delta right away. I would always roll the credit spread long before the market hit the short strikes, but I'm looking to...

Coach, I read over your adjustments post (June). (Thank you, by the way, for sharing :) ). What did your hedge look like if you don't mind my asking? ATM put? Piccon has posted about adding a butterfly centered before the short strike. Others use ATM debit spreads. What flavor hedge do...