Index option credit spreads

J

just21

Sold the 1350-1325 May NDX bull put credit spread for .80 credit. Even though market has been trending down from Jan 1st the 1 standard deviation (68.269%), 20 day historical volatility, probability cone comes in at 1390 by expiry and I was impressed with friday's reversal. Anyone trading these?
 
Had NDX and SPX bear call spreads that were just out of the money but had to buy back a 1190-1200 emini sp option that I put on to check out the SPAN margin for. This was actually within two standard deviations when I put it on. Stick to the rules!
 
Quote from just21:

Had NDX and SPX bear call spreads that were just out of the money but had to buy back a 1190-1200 emini sp option that I put on to check out the SPAN margin for. This was actually within two standard deviations when I put it on. Stick to the rules!
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:D

Let's see what this week brings..
 
Quote from just21:

Had NDX and SPX bear call spreads that were just out of the money but had to buy back a 1190-1200 emini sp option that I put on to check out the SPAN margin for. This was actually within two standard deviations when I put it on. Stick to the rules!
More...

Just out of curiosity, have you ever considered potentially liquidating half of it in the week prior to expiration if the risk:reward is so skewed that an expiration week squeeze (i.e. two of them back to back in the indicies April and May) could transpire and run the strikes.

Senor Zen
 
The spreads are wide which means you are always chasing the market. I have when trading stock options always bought back when the price gets down to a tick or two.
 
When I am in the charting programs I don't feel like turning on the options program to check the 2std levels.
Is there a graphic indicator that would show the std levels on a price chart like there is one for hv?
 
Quote from just21:

Even though market has been trending down from Jan 1st the 1 standard deviation (68.269%), 20 day historical volatility, probability cone comes in at 1390 by expiry
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could you elaborate on that? do you mean asset confidence intervals?
 
Quote from just21:

ODDS probability cone in Metastock. What option programs calculate standard deviation?
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Optionstar for one, but I would like to have this info graphically on my charts on Prophet or NeoTicker
 
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