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RR: In listening to the talking heads on Friday, one theme kept being repeated: it looks like the Fed is done. While it is true that the market is lower 6 to 12 months after the Fed stops, it is often up strongly in the short term when the Fed signals that it will stop. On Friday, the...

It looks like my August 1300/1315 bear call will likely get into trouble. I'm thinking that I'm going to roll this spread to September. Here's why: 1) It's a relatively small position and I can afford to roll it forward for a number of months if necessary. 2) In July I booked profits...

Sorry, Rally I'm not following you. I'm wondering why the es is up 10.75 for the day while the SPX is up about 14.5 for the day. QUOTE]Quote from rallymode: es/spx last print is at 3:15/3:00 central

Can someone explain to me why there is almost a 4 point difference between the e-mini net change for the day and the SPX net change for the day?

Did you mean the SEP 1230?

We're in my time frame to start looking for Sept. bear calls. Entered a small position today. Got the following filled: Sep SPX 1340/1350 filled at $0.70 The trade was actually placed at $0.60 (mid was $0.65) credit and I got filled at a dime more. SPX actually was dropping between the...

The call spread seems a little aggressive for you now that you're on the daddy track :) Seriously, where do you see resistance for the SPX. Thanks. =========================================== UPDATE On the nice upmove I decided to add some call spreads for August but since I am not...

Hi Bader: I just answered this question on ToS a few days back. Here's the link: http://www.elitetrader.com/vb/showthread.php?s=&postid=1134901&highlight=ToS#post1134901

Leon: Tom Preston of ToS gave a chat on the VIX back in March of last year. Here are some pertinent quotes from that chat: Tom Preston: The other issue is that there is an expectation that the VIX won’t fall below 10. Tom Preston: The VIX fell below 10 only one time, last year in...

Mark: I tried the MID over a year ago and had to adjust out of a bull put so that I wound up at about breakeven for my IC. I was watching it yesterday and it seems pretty volatile relative to the SPX. Played the RUT a few times, but getting out was a nightmare. THe RUT MMs are very tight...

Murray: There were some posts regarding whether you thought a put diagonal provided black swan insurance. If so, this would be because the long, back-month put would have a higher IV which would hedge the loss in the short, front-month put. Would appreciate your thoughts on this. Thanks.

Not clear on what the instrument is: SPX, ES, SP?

Yes, of course, you are right. As I think about it, I was probably thinking back to an earlier post on the topic and it probably was with regards to double diagonals. I believe the idea was that if you put on a call diagonal for a credit, then most likely the "equivalent" put diagonal would...

Here's a response from Murray to an earlier post: "You may want to consider Diagonals instead of credit spreads if you're really concerned about 'Black Swan' events." -------------------------------------------------------------------------------- Quote from Synaptic: Coach, The...

But that's true of call credit spreads as well. So, if that's the case, there's no advantage with regards to black swans.

Hmmm. I seem to remember Murray saying that these diagonals give you black swan protection vis-a-vis a credit spread. You're worst case scenario doesn't show any protection relative to a credit spread. I know you're saying anything could happen, but still it would be nice to know if the...

Mark: How are your fills on the SPX, or have you given up in disgust? :)

These analyses are very helpful to me in understanding how these diagonals work. Can we take this one step further. Let's assume a black swan event. Say a 100 point drop from 1250. The 1250 loses 100 points. How do we estimate the value of the August 1230 without a VIX. Can we estimate...

Thanks, Jeff. Your clear explanation helped resolve a few questions that I had.

Coach and Murray: I keep reading that you want to put these trades on when VIX is low. Currently, VIX is at 16.8. I'm not trading the ES but the equivalent strike trade on the SPX is: SPX August 1225 Put/Sep 1200 Put Midpoint is $1.60 and the natural is $2.60 Not sure, since...