SPX Credit Spread Trader
- Thread starter El OchoCinco
- Start date
Heather:
I was only able to get this to work for SPX credit spread with SPX hedge. I posted awhile back in the forum and someone responding that it could be done with the SPY as well, but I never tried it.
If I recall correctly, that discussion included how to actually do this. Look back in the August time frame (prior to August expiration) for the posts.
I was only able to get this to work for SPX credit spread with SPX hedge. I posted awhile back in the forum and someone responding that it could be done with the SPY as well, but I never tried it.
If I recall correctly, that discussion included how to actually do this. Look back in the August time frame (prior to August expiration) for the posts.
I think I keep my risk in check if I close out at expiration of the first leg or adjust somehow. This one is nice OTM so I may be able to adjust somehow. If the market stays where it is, it might be a loss so we will see where the market is at the end of next week. I am also experimenting with adding layers to adjust the risk/reward profile so that may affect what actions I take.
Yes, they are calendarized butterflies. In other circles (e.g. thinkorswim) they are known as straddle/strangle swaps.
They are one particular type of double diagonal and as such, a lot of the information discussed on double diagonals on this thread apply to them. They are long VEGA and so best placed when volatility is low.
The key difference is that the front month short straddle has different gamma characteristics to front month short strangles. This has implications for risk management and also win/loss ratios: expiration profit zone is not as wide.
Choosing the front month straddle strike is inherently tricky though. The position, much like a normal calendar is somewhat schizophrenic. In essence, the front month options want the opposite of the back month options.
I'm not aware of much external information on these positions. The behavior can be deduced from experience with calendars and regular flies. So that is perhaps where to start any research. The narrower your back month strangle, the more the time fly behaves like a calendar.
Here are couple of basic links though that I'm aware of:
Red Option Advisory: http://www.redoption.com/strategy/50/
Ensign Software:
http://www.ensignsoftware.com/tips/tradingtips55.htm
Good luck.
MoMoney.
Under the POSITION AND SIMULATED TRADES section, change: Single Symbol -> Portfolio, Beta Weighted.
This plots a beta weighted risk profile for your entire portfolio.
Select only your SPX and SPY positions to graph by checking the appropriate boxes.
Enter SPX as the beta symbol (top left) if it wasn't already entered.
Well the haircut will kick up as the index move to one side or the other. At the opening of the position the deltas pretty much offset so there is very little haircut. I do believe there is a minimum haircut and this SPX is mixed my other ES/EW positions so it might be balancing out for today. Tomorrow I will look at my haircut breakdown and see.
My leverage will obviously be the maximum haircut my account can hold. I think since I was doing 25/50/25 I probably could do100/200/100 without much of a haircut, maybe $20K or so with huge profit potential and limited risk. This will require further study and modelling.
Until I get my OV trial, coudl you just open one and do it as 100*200 and see what the SPAN margin is? THANKS!
My leverage will obviously be the maximum haircut my account can hold. I think since I was doing 25/50/25 I probably could do100/200/100 without much of a haircut, maybe $20K or so with huge profit potential and limited risk. This will require further study and modelling.
Until I get my OV trial, coudl you just open one and do it as 100*200 and see what the SPAN margin is? THANKS!
Quote from tplast:
Isn't there a minimum per contract with haircut? With IB there's a minimum of $25 per contract for 0 deltas on span.
And what about leverage? Do you have a maximum ratio of position value/net liquidation? Obviously they won't let you do gazillions of them
1335 strike on those puts? That is not too far OTM to have an effect to offset losses on the futures?