SPX Credit Spread Trader

Quote from kalikahuna:

Yeah, I am in the exact same boat (1470/1480). I actually had a .05 debit close order throughout yesterday that never got filled. Saw the .1 possibility this morning and didnt bite...we'll see what tommorrow holds
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back to the main topic at hand. BTC the 1470 position for .15 debit about 15-20 min. ago when SPX was down 1.4 or so.
 
Quote from kalikahuna:

Yeah, I am in the exact same boat (1470/1480). I actually had a .05 debit close order throughout yesterday that never got filled. Saw the .1 possibility this morning and didnt bite...we'll see what tommorrow holds
More...

Well things seem nicely settled today so far - even with some outstanding new earnings reports the market is going sideways. Most of the put sellers should have unwound their positions yesterday to free up residual margin. So I think most of the end of the expiration period buying pressure has been vented. I don't expect more than 5-8 more points up through expiration.

I just did a fast scan of the trading volume at 1the 1470 and 1480 strikes. No one seems too excited to get out since few are bidding. We have roughly 47,000 and 62,000 currently open contracts respectively at these strikes. Trading volume is essentially non-existent. Only a few hundred shares of trading volume thus far. Clearly the consensus of the option writers/shorts is that they all currently intend to hold through expiration. It only costs .05 debit to get out but it looks like hardly anyone trying to get out here are getting fills.

I will monitor through market close today. If we get a serious late day rally that spikes us up inside of 1464 I'll close out in the last 5 minutes of trading otherwise I'll hold and risk SET. In those last few minutes of trading there is essentially no premium to close except for the average SET risk.

Good Luck,
TS
 
Well some I use are:

AFITM - Almost Fuckin In the Money (which is what I use for my short strikes when the market moves against me.

WTFOTM - Way the F@CK Out of the Money (my credit spread strikes)

PDGPJEOTM - Please dear God Please Just Expire OTM..

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Just saw this on another thread.

LMAO F#@kin hilarious Coach :D :D
 
Quote from kalikahuna:

back to the main topic at hand. BTC the 1470 position for .15 debit about 15-20 min. ago when SPX was down 1.4 or so.
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Well I elected to stay through expiration. This SPX CALL 1470/1480 spread position is now looking almost as good as locked down and successful. We will see for sure around noon tomorrow on the new SET.

There are only a statistical few historical cases of a massive (greater than 12) SET gap up. To reach me it would have to gap up over 13 points - so I think I am pretty safe. During the day I monitored trading volume at the short strike and noted that 20% of the open contracts slowly bailed out over the day for between .1 to .15 debit. The majority held tight though even when we had a few gap ups. But toward the end of the trading day volume thinned out so badly that the spreads opened up to a .7 debit asking (7 total contracts offered lol). That apparently rattled a few traders and shook out out a little more volume near the close for .15 and .20 debit. It was an interesting study in trader physchology but it looked to me like most writers seem to have pretty good nerves or are well hedged veterans (probably marker makers fully neutral hedged). No one panicked even when we had a slightly trending bull run at a positive rate/slope regression of about .5 points/hr and a few gap ups now and then.

Unfortunately we have some key housing data and other economic reports coming out just before Friday's open. If we get 1 or 2 really good unexpected positive news events on the housing data this market could explode at the open to the upside. That would be a bummer for me since that could pump SET way up to get into my shorts.

Here are tomorrow's news events:
Date ET Economic Report For Estimate Actual Prior Impact
Fri. February 16 08:30 Housing Starts Jan 1610K 1642K Moderate
Fri. February 16 08:30 Building Permits Jan 1590K 1613K Moderate
Fri. February 16 08:30 Producer Price Index (PPI) Jan -0.6% 0.9% Moderate
Fri. February 16 08:30 Core Producer Price Index (PPI) Jan 0.2% 0.2% Moderate
Fri. February 16 10:00 Consumer Sentiment Index (UoM) Feb 97.0 96.9 Moderate

This month's trading action convinced me that this bull is still very very real and ready to run some more. The new economic reports coming out today were almost a complete reversal in economic expansion expectation (factory slow downs etc.) - but the market still continued to want to run. I love this bull market since I am long in a lot of very good equities. But I wish it would cool its jets a little so it can consolidate and pull in more new money for the next leg. Even a dip now and then to stir up VIX would be nice since its getting very hard to get short premium to the upside.

Happy Trading,
TS
 
Quote from TrendSailor:

Well things seem nicely settled today so far - even with some outstanding new earnings reports the market is going sideways. Most of the put sellers should have unwound their positions yesterday to free up residual margin. So I think most of the end of the expiration period buying pressure has been vented. I don't expect more than 5-8 more points up through expiration.

I just did a fast scan of the trading volume at 1the 1470 and 1480 strikes. No one seems too excited to get out since few are bidding. We have roughly 47,000 and 62,000 currently open contracts respectively at these strikes. Trading volume is essentially non-existent. Only a few hundred shares of trading volume thus far. Clearly the consensus of the option writers/shorts is that they all currently intend to hold through expiration. It only costs .05 debit to get out but it looks like hardly anyone trying to get out here are getting fills.

I will monitor through market close today. If we get a serious late day rally that spikes us up inside of 1464 I'll close out in the last 5 minutes of trading otherwise I'll hold and risk SET. In those last few minutes of trading there is essentially no premium to close except for the average SET risk.

Good Luck,
TS
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Yeah, I would have liked to hold on and see how the day turned out but my day job required meetings all day, so i had to decide what to do before my regular work day started. I've been burned by the SET before from 10.5 out, so I try to avoid any SET risk whatsoever. Looks like tommorrow might be a down day so I wouldnt worry too much TS.
 
Front month February SPX Credit spreads turned out pretty well. I held all positions through expiration. With FEB SET posting in at 1452.26 here are my results:

FEB Iron Condor Positions & Results

130 SPX CALL FEB 1470/1480
Avg. Net Credit: $0.68/contract = $8,840
Margin at Risk: $130,000
Avg. Trading Days at Risk: 18
Return on Margin: 6.8%

115 SPX PUT FEB 1370/1360
Avg. Net Credit: $0.51/contract = $5,865
Margin at Risk: $115,000
Avg. Trading Days at Risk: 15
Return on Margin: 5.1%

10 SPX PUT FEB 1360/1350
(note: position placed in alt trading account to avoid simultaneous long/short conflict with the other closer in PUT spread)
Avg. Net Credit: $0.46/contract = $460
Margin at Risk: $10,000
Avg. Trading Days at Risk: 20
Return on Margin: 4.6%

Net Combined FEB SPX Spread Position Results
Net Profit: $15,165
Avg. Trading Days at Risk: 17
Avg. Weighted Period Return on Margin: 5.95%
Avg. Effective Annualized Calendar Rate of Return on Margin: 72%.

Time to TGIF early and celebrate another good month.

Cheers all,
TS
 
RUT settlement is not out yet? Why does it take so long to calculate the settlement price? I thought it is very simple to have a program to compute it. :confused:
 
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