HowardCohodas Index Options Credit Spread Trading Journal

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Quote from stevegee58:

Howard, my last post got me wondering. When you figure out candidate trades are you looking for a certain %/day return? In other words, do you take the % return and divide by the days left to expiry and look for a certain minimum % return per day?

Obviously this is in addition to the PoT.
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A very insightful question.

I do not look at %/day explicitly. It is implicit because of some of the choices I make. First, weeklies offer the best %/day return. But they are likely to have a lower percentage of wins because of less time to react. This adds to some volatility in account performance. 30 day in a monthly or quarterly is the next best choice. I get more premium than a weekly but a lower %/day. Same with 60 day spreads.

I spread out the spreads in time to minimize the impact of moves by the market like we had last Friday or worse. The spreads closest to expiration will be hit the worst. So I trade less return for more safety.
 
Howard

I just counted your colored chart lines of trades reported and you just sent 5 or 7 losing trades or something like that in the months since August I think. Don´t remember. But a quick check saw 2 losers per month you reported.
 
Hmmmn! TOS has three different volatility strategies?

I´m only familiar with the volatility number you kick up they have. But I don´t use it at all. Maybe I should? Something here I am missing and do not understand.

Re- your number of trade losses. I looked back and I see you are giving percentages lost, and maybe you meant total, instead of individual losing trades? Anyway, the confusion came because I am looking for numbers of trades, not loss percentages.
I was trying to do a ratio of losing trades to overall trades and deduct the losers at the 4 to 1 ratio.
 
Quote from falconview:

Howard

I just counted your colored chart lines of trades reported and you just sent 5 or 7 losing trades or something like that in the months since August I think. Don�t remember. But a quick check saw 2 losers per month you reported.
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Trades are not losers until they are closed. As I outlined above, I have closed only 5 losing trades in 6 months out of a total of 77 trades. These are the only meaningful statistics.

Even if you were to count trades still open on a specific day, you would find none at 20% that remained open past that limit.

Today the market jumped up at opening as the overnight futures indicated they would. All spreads that remain in the negative do so at this time with less than 1% paper loss.

Spread #93 in the weekly NDX hit 85% and I rolled it to a new one. Rolling for a profit is unusual but not unheard of in a weekly. This should further ameliorate the loss as an Iron Condor. I have no hopes that further market action will allow me to do more rolls in a weekly to eliminate the loss, but it is certainly nice to have the opportunity to reduce it. :)
 
Quote from falconview:

Howard

I just counted your colored chart lines of trades reported and you just sent 5 or 7 losing trades or something like that in the months since August I think. Don�t remember. But a quick check saw 2 losers per month you reported.
More...
My full summary for the last six months is only a few posts back. You should refer to the summary before quoting your own estimate of wins and losses. It can give other readers incorrect information in their attempts to understand your remarks.
 
Quote from falconview:

Hmmmn! TOS has three different volatility strategies?

I�m only familiar with the volatility number you kick up they have. But I don�t use it at all. Maybe I should? Something here I am missing and do not understand.

Re- your number of trade losses. I looked back and I see you are giving percentages lost, and maybe you meant total, instead of individual losing trades? Anyway, the confusion came because I am looking for numbers of trades, not loss percentages.
I was trying to do a ratio of losing trades to overall trades and deduct the losers at the 4 to 1 ratio.
More...
Your comments indicate that you do not understand volatility models or how they are used. Both probability of touching and probability of expiring calculations are based on the volatility strategy you choose to use. ToS has some great online resources to help you sort it out.
 
The "Individual Implied Volatility" and "Fixed Volatility Per Expiration Date" settings do indeed produce significantly different PoT readings.

I think "Individual Implied Volatility" is the default.
 
Quote from stevegee58:

The "Individual Implied Volatility" and "Fixed Volatility Per Expiration Date" settings do indeed produce significantly different PoT readings.

I think "Individual Implied Volatility" is the default.
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I chose the strategy that gave me the results closest to the models I created that used Monte Carlo techniques to make the estimate.
 
I seem to have lost my comment I was typing.

Implied volatility vs Monte Carlo is intriguing as a comment. The followup by somebody mentioning implied volatility as the default sounds okay?

My limited application of volatility is to do with premium ballooning when a trend is in force, or collapsing the premium when the trend is nearing exhaustion. That I do instinctively without figuring it. Other than that, you are right, I know nothing of volatility strategies. Any that I tried in the past were not good enough for live trading. Sort of you know it is happening and it is there, but couldn´t do much with it.

But then there are a lot of recommendations for things on the TOS site I haven´t even found yet.

Nice performing day today, I expect it might even run into tomorrow? I closed the trades yesterday and reopened at the market this morning, both in SPY and the OEX. I see my 25 SPY contracts are up $275 and my 6 OEX contracts are up $360, which should tell me something?

I think for a few months, I´ll just trade along with credit spreads in my seperate paper trading funny money account. Twice burned, third time shy. Takes too much money anyway. I´m fixing this week to do all the paper work and write a cheque and get it off to the TOS broker for a real cash account just straight buying of Calls and Puts. Time to move into cash and get the ball rollling.
 
Howard, what's your trigger for actually entering a trade?

I assume you're not just simply entering credit spreads every day that have a PoT of <20% and some minimum credit. Maybe you're using some TA on the underlying?
 
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