convexx's "hitting bids and lifting offers" ETF options

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convexx said:
New fill. I will trade the index trades in family accounts. ETFs will either be fills or worst-case NBBO.

Long the SPX Oct10 45/75/2040 231 in puts. 25.20 to the buy. One unit size as all prior positions (save for FB).

https://www.dropbox.com/s/903bezi7s3rjhr1/2014-09-24_0832.png?dl=0
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I have been going back reading ET threads so I tried a synthetic straddle short 1 ES Dec. futures at 1976.75 and short 2 Oct. 17 ES 1965 options from 18.25. I was too early as usual. I entered the spread with about 20 short deltas (10 short deltas per SPX). Position has a small loss with ES now at 1983. Position is now short 28 deltas so I could sell another ES put, but I am still somewhat bearish. The IB risk analytics performance profile is somewhat questionable because it can not calculate delta to graph. It looks like position with be about delta neutral at 1945. I am probably missing something but it seems that synthetic straddle can be traded must smaller to achieve same profit and is much easier to try to hedge.
 
vanv0029 said:
I have been going back reading ET threads so I tried a synthetic straddle short 1 ES Dec. futures at 1976.75 and short 2 Oct. 17 ES 1965 options from 18.25. I was too early as usual. I entered the spread with about 20 short deltas (10 short deltas per SPX). Position has a small loss with ES now at 1983. Position is now short 28 deltas so I could sell another ES put, but I am still somewhat bearish. The IB risk analytics performance profile is somewhat questionable because it can not calculate delta to graph. It looks like position with be about delta neutral at 1945. I am probably missing something but it seems that synthetic straddle can be traded must smaller to achieve same profit and is much easier to try to hedge.
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I don't short naked straddles but for an occasional LEAPS straddle (>1Y out). I haven't done so in years. Anyway, I can't comment on a LRO vs. URO position. It would be 1000 words.
 
asyms are basically defined-risk short backspreads. A backspread and an additional vertical. The "excess" vert (between a backspread and an asym) offers little prem but makes it defined-risk.
 
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convexx said:
I don't short naked straddles but for an occasional LEAPS straddle (>1Y out). I haven't done so in years. Anyway, I can't comment on a LRO vs. URO position. It would be 1000 words.
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Do you short straddles and fly them off later (skew flattening, theta gains etc) or was that more trades for educational purposes?
 
convexx said:
asyms are basically defined-risk short backspreads. A backspread and an additional vertical. The "excess" vert (between a backspread and an asym) offers little prem but makes it defined-risk.
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Thanks, I understand a skip strike put fly plus a credit bull put spread with defined risk. According to IB (I think), current delta for the 231 is short 0.226. Would you buy half say 110 SPY shares per fly? I think the market may have flipped and can take out 2025 SPX highs. I think IB mid close prices this fly so 40 so it would be better to take the more than 50% profit right?
 
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vanv0029 said:
Thanks, I understand a skip strike put fly plus a credit bull put spread with defined risk. According to IB (I think), current delta for the 231 is short 0.226. Would you buy half say 110 SPY shares per fly? I think the market may have flipped and can take out 2025 SPX highs. I think IB mid close prices this fly so 40 so it would be better to take the more than 50% profit right?
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hahaha, no hedge. I was worried about inverting... and we're down 25.
 
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