SPX Credit Spread Trader

[ryank]

Good thing I got some good fills last night to close out my DD, I'd be underwater right now and that really wouldn't make me happy. Working on getting fills for SPX Dec/Jan but no bites yet.

 

[uglyboy]

Quote from rallymode:

SPX, RUT and the NDX have a pretty strong correlation. If you need diversification i suggest a much lower correlation like the OIH for example.

Exactly. I've been looking at OIH a bit.

Sailing, with respect to straddles, I've been doing unbalanced butterflies a bit, and I'd be interested in looking at straddles/strangles. Personally, I would probably want to do them as butterflies with deep OTM wings, to limit both risk and margin...

 

[MTE]

Quote from rallymode:

SPX, RUT and the NDX have a pretty strong correlation. If you need diversification i suggest a much lower correlation like the OIH for example.

That's true, yet the correlation isn't perfect so you still benefit from diversification. I've been backtesting and "live-testing" just that, trading ICs on SPX, NDX and RUT.

A good example is Oct expiration. I lost money on SPX, but made full profit on NDX and RUT, which offset the loss on SPX. Nov expiration has a similar situation right now, while NDX is at the short call strike, RUT and SPX still have room.

With that said, you're right, adding something like OIH would diversify your positions better.

 

[dagnyt]

Covered my MID 800s on the recent dip. It was my largest position and it cost me. My monthly return (so far) has been reduced to 1%.

That's 3 consecutive months I've lost money during the final few days. Sigh.

Am vigorously adding a bunch of different Feb/Jan spreads in RUT.

Mark

 

[rdemyan]

Murray:

That would be a thread I would be very interested in. Suggest that you add strangles as well.

Quote from Sailing:

Our investment club has three people who just primarily trade STRADDLEs. They do quite well, although the research and day to day maintenance is overwhelming.

Does anyone here trade STRADDLEs?

My thoughts are to form a new ET Straddles thread and share all the research information... this may help reduce the amount of research time.

M~

 

[MTE]

Quote from Sailing:

Our investment club has three people who just primarily trade STRADDLEs. They do quite well, although the research and day to day maintenance is overwhelming.

Does anyone here trade STRADDLEs?

My thoughts are to form a new ET Straddles thread and share all the research information... this may help reduce the amount of research time.

M~

Would that be short or long straddles?

 

[ryank]

Quote from dagnyt:

Covered my MID 800s on the recent dip. It was my largest position and it cost me. My monthly return (so far) has been reduced to 1%.

That's 3 consecutive months I've lost money during the final few days. Sigh.

Am vigorously adding a bunch of different Feb/Jan spreads in RUT.

Mark

I've had the same thing happen to me the past few months. We get to expiration and the profit get zapped. I ended up about 2% this month, was up about 7% just a few days ago, still on the plus side though. I keep telling myself that is the silver lining (I would prefer my lining to be money green though )

Murray, you said you were up 17% the other day, where are you at now?

 

[yip1997]

Quote from dagnyt:

Covered my MID 800s on the recent dip. It was my largest position and it cost me. My monthly return (so far) has been reduced to 1%.

That's 3 consecutive months I've lost money during the final few days. Sigh.

Am vigorously adding a bunch of different Feb/Jan spreads in RUT.

Mark

Mark,

We are in the same boat! I covered half of my short leg, making a positive gamma with a large vega. By creating a positive gamma, I still have a chance of making more. Currently the return is just around 1% of my capital.

The expiration week has been my killer for the last 2 months too. It is hard to close the position at mid in the last week.

Have been trying to add Rut diagonals for Jan/Dec but none got filled.

 

[kapil]

Quote from dagnyt:

Covered my MID 800s on the recent dip. It was my largest position and it cost me. My monthly return (so far) has been reduced to 1%.

That's 3 consecutive months I've lost money during the final few days. Sigh.

Am vigorously adding a bunch of different Feb/Jan spreads in RUT.

Mark

Mark and Ryank,

Are your returns based on return on margin or your total capital allocated to options?

Kapil

 

[ryank]

Quote from kapil:

Mark and Ryank,

Are your returns based on return on margin or your total capital allocated to options?

Kapil

Mine is return on margin, I believe Mark and Murray do it the same way.