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Attached are two charts with calculated credit spread values for an 1140/1150 SPX bull put and an 1130/1140 bull put. Both charts assume 10 days to expiration. One chart is for a 15% volatility and the other is for a 20% volatility. The B-S pricer was used to calculate individual option...

Coach: I know that you typically use 10 to 15 points (distance between short strike and SPX price) as a trigger to consider adjusting. In July after the London bombing I used 15 points to adjust and after the slingshot rebound my adjusted down bear call got into subsantial trouble. If I...

Okay, here's some more: A) For the 61 periods that the SPX was higher at the end of the period than at the beginning, here are approximate ranges: 8 times the %change in the SPX was less than 1%. For these periods: AVE VIX = 21.63 MEDIAN VIX = 21.97 STDEV IN VIX = 3.98 6...

Okay, here's some more results from the data. These results I would venture to say are 'hard' in the sense that they are not subject to any bias or interpretation on my part (other than the ranges I selected to look at). 1) 110 expiration-to-expiration periods are included starting from...

Understood, Coach. That's why I used the word 'plan'. I always thought your plan was to hold to expiration unless market forces dictate that adjustments, hedging, or getting out are necessary. Was I wrong on that assumption?

No, I wasn't aware of that. Thanks for bringing that up. I should mention that my initial comments on the graphing that I did are all predicated on the assumption that one's strategy is to trade fairly deep OTM credit spreads with the plan to hold to expiration (the typical retail trader who...

Coach, I suspect that you are right, if for no other reason than there are a lot of people who make a living at this game. If we could scientifically establish what would happen in pricing and movement (thereby removing most if not all of the risk), who would want to take the other side (or the...

I look forward to some discussion on this and am willing to work some more on it if additional data is needed and of use. Thanks.

Got filled today on the following: SPX Nov 1100/1110 bull put spread at $0.70

Well, I had hoped that the significant amount of time I put into creating that spreadsheet, which includes the average, median and SD for the SPX VIX on an expiration to expiration basis on the same line with the expiration to expiration percentage change in the SPX, would stimulate some...

See my prior post on 10/20/05 on page 225 where I posted a spreadsheet with the average (and mean) VIX for the past 9 to 10 years for the SPX. Maybe you'll find this of use as apparantly know one else does.

Andy: How are you calculating the SD. Can you give a concrete example based on the current SPX price of about 1180. Thanks.

There doesn't seem to be any premium around that range. So.... what about December? I know you generally look at 45 days or less to expiration, but if I counted correctly we're at just under 8 weeks to Dec expiration (56 days). I'm thinking, for bear calls only to look at December and for...

When you say 1265, I assume you mean the short strike?

Does everyone else have the SET at 1194.46?? That's about 16 to 17 points above the close yesterday? If I have the right number, so much for only worrying about the SET only during triple witching and if you're 10 points away or less.

Coach: So what's you're current thinking on bear call spreads. I tried to get a Nov 1255/1265 filled today, with no luck.

Okay. I took the historical VIX and put it across every line that shows the percent change in the SPX from expiration to expiration from 1995 through 2004. Took several hours but I'm hoping we'll be able to draw some conclusions or rules of thumb to help with our risk management. The...

Andy, The last one I did was on July 15th for the OEX. I closed it out from the airport by calling in the order to buy back the Jul 585 Call for $0.05. Don't know what the OEX price was at the time, but I believe it was 5 to 10 points away from my short strike. You can probably look this...

Andy: I often have that concern too (esp. after the June 2005 expiration) and have always been able to buy the short strike back for $0.05 on Thursday of opex week during the last hour or two of trading (assuming of course that it is not in the money). Why take the risk when it only costs...

OX cancelled my order because there is no b/a on the 1120. They are calling down to the pit to request that the process get started (I'm vague because I don't really understand the nitty gritty of how that works.). No guarantees so they tell me.