My Credit Spreads Journal

[HLFinance]

The German 10Yr finished the week at 116.15 and on a gap up...


We're obviously seeing a short-term rallie, since the long term bias hasn't changed. I hope...

So where do you see a reversal? At these levels? Above 117?


I trade credit spreads, and i'm almost sure i should have opened the call spread (sell 117/118 and buy 118/119) friday (didn't - fear won over greed)...


Good Trading
Hugo

 

[HLFinance]

I've entered a credit put spread, maturiting in September, on Dax at July 10th.

Since then i've had the war on Hezbollah and record oil prices. Things seem to be headed for some consolidation (less volatile sessions), as oil retreats, but inflation worries keep equities in check...

I think the Dax will recover by week end and won't break the 5390 support in the mean time.

On the other hand the 5700 resistance seems rock solid: anyone thinks we're entering a sideways trend?

If we get back above the 5600 mark i'll close the position for whatever time value gain i can get... And Maybe try to restabilish the position whenever the Dax return to the current support...

Good Trading
Hugo

 

[HLFinance]

Come on! Anyone!


how far will the bund go?

Is this it?

back to 114.80/115.6 for the next 3 months?

Anyone agrees?

Good trading
Hugo

 

[momoneythansens]

Quote from HLFinance:

I've entered a credit put spread, maturiting in September, on Dax at July 10th.

Hi Hugo,

What strikes have you selected for your credit spread?

Given the September expiration there won't be a huge amount of decay if we are sideways so the spread will mainly gain from deltas. Is this your intention?

I think the Dax will recover by week end and won't break the 5390 support in the mean time.

On the other hand the 5700 resistance seems rock solid: anyone thinks we're entering a sideways trend?

Yes, it's difficult to see which way it will go. The 5390-5700 range is quite tight IMO so not sure how many weeks/months it can stay there.

If we get back above the 5600 mark i'll close the position for whatever time value gain i can get... And Maybe try to restabilish the position whenever the Dax return to the current support...

Good Trading
Hugo

Do you plan to detail fills, strikes, credit etc. on this journal? Just curious.

MoMoney.

 

[HLFinance]

Thanks for your reply, i was starting to feel lonely!

Sorry i wasn't as specific as i should've been...

Here are the actual positions:

Bought 7 Dax Sept 4900 Put 25.3 pts
sold 7 Dax Sept 5100 Put 41.8 pts
Credit Received: €577.50


Bought 7 Bund Sept 118 Call 0.3 pts
Sold 7 Bund Sept 117 Call 0.1 pts
Credit Received: €1400.00

Quote from momoneythansens:


Given the September expiration there won't be a huge amount of decay if we are sideways so the spread will mainly gain from deltas. Is this your intention?

No. My intention was to add time value decay (gains) to volatility depreciation gain. That last one just blew up in my face! :eek:

Quote from momoneythansens:


Yes, it's difficult to see which way it will go. The 5390-5700 range is quite tight IMO so not sure how many weeks/months it can stay there.

So what's your trading range bet (Dax)?

What about the bund? Any thougts?


Good Trading
Hugo

 

[HLFinance]

A correction to my last post is necessary!

Where it appears:

Quote from HLFinance:


Bought 7 Bund Sept 118 Call 0.3 pts
Sold 7 Bund Sept 117 Call 0.1 pts
Credit Received: €1400.00

It should be:
Bought 7 Bund Sept 118 Call 0.1 pts
Sold 7 Bund Sept 117 Call 0.3 pts
Credit Received: €1400.00

Sorry!
Hugo

 

[momoneythansens]

Quote from HLFinance:

Thanks for your reply, i was starting to feel lonely!

Yeah, I got that impression

Here are the actual positions:

Bought 7 Dax Sept 4900 Put 25.3 pts
sold 7 Dax Sept 5100 Put 41.8 pts
Credit Received: €577.50

OK, so that's €577.50 with a max risk of €7000.00. It's a fairly high risk/low reward but high probability bet. Not really my style. I prefer to sell closer to the money and market neutral strategies e.g. wide butterflies with risk/reward profiles that are non-fractional.

I can mostly be found rambling nonsense on the SPX Credit Spread Trader journal. There have been numerous philosophical debates about selling credit spreads F(ar)OTM versus C(lose)TM or even ATM etc. and the various pros and cons of each approach. However, most of these spreads discussed are near term and thus primarily short gamma credit spreads. Vega doesn't really factor.

No. My intention was to add time value decay (gains) to volatility depreciation gain. That last one just blew up in my face! :eek:

:eek: indeed. Being back month options, I don't think you'll experience much decay till next month though. In the mean time, you'll have to sweat out any adverse moves in volatility.

So what's your trading range bet (Dax)?

About the same but I wouldn't be confident in that range till September. Perhaps for the next month. There just seems to be a level of uncertainty over whether this is just a correction before resuming a bull run or whether this is the beginning of a bear run. In addition, the quiet summer months may not be so quiet this year. In short, I have no idea!

What about the bund? Any thougts?

Alas, I follow the bund even less than I follow the DAX but would like to add that to my list of things.

Good luck I will be following along...

MoMoney.