SPX Credit Spread Trader

[piccon]

Thanks Coach for entering your Bull Put.

This drop puts me in a very good position right now.

25 OEX 605/610 @0.60
15 OEX 600/605 @1.35
13 SPX 1340/1350 @0.90
15 RUT 780/790
15 RUT 720/710

Hedges

5OEX 595 call (5)

1 RUT 770 Call (1)

I have 5 OEX 595 protecting both 605/610
and OEX 600/605

OEX credit alone is 3.4K with no BULL PUT yet. Still looking for 575/570 entry but waiting for Stochastic indicator before entering.

Now there are only 9 trading days before expiration. Let's enjoy the time decay.

Quote from optioncoach:

Figures the market would reverse and drop shaprly AFTER I got my put fills at a puny $0.35 lol...

 

[rallymode]

Quote from piccon:



25 OEX 605/610 @0.60
15 OEX 600/605 @1.35
13 SPX 1340/1350 @0.90
15 RUT 780/790
15 RUT 720/710

Wow, a rally today would've caused some serious pain. You can certainly breathe easier now and enjoy the weekend with these call positions.

 

[ChrisM]

Quote from piccon:

Thanks Coach for entering your Bull Put.

This drop puts me in a very good position right now.

25 OEX 605/610 @0.60
15 OEX 600/605 @1.35
13 SPX 1340/1350 @0.90
15 RUT 780/790
15 RUT 720/710

Hedges

5OEX 595 call (5)

1 RUT 770 Call (1)

Could you tell us more about your approach ? Is there any specific gamma/delta formula you follow ? Any specific reason for spreading over OEX, SPX and RUT ?

 

[rallymode]

Here is some interesting info i read on one of my news sites that i follow. just thought i'd post it here since we all folow the spx.

"As per Jason Goepfert of Sentimentrader.com, "we have already seen the largest range in the S&P 500 since January 20th, and one of the largest ranges in the past year.". He looked for other days with action like this, wherein we hit a new S&P high, crossed into negative, and in the process carved out the largest intraday range in 30 days. The results are not pretty.

" In the past decade, we've seen this 5 times, and three days later the S&P was lower 4 of the 5 times, for an average of -3.4%"


The VIX has actually taken today seriously. Sort of. We are up 7% or so to 12. Of course a 12 VIX does not conjure up images of dogs and cats living together, but any lift on a Friday is impressive on some level. And with a 10 SMA under 11.5, we actually have a shot to see overbought VIX levels should the dip continue into next week."

 

[skanan]

Can you tell me how much was SPX when you got filled ? I'm trying cancel/replace on TOS many times with no luck at 0.50 when SPX was around 1297.

-N

Quote from rdemyan:

Decided to jump in the water with Coach:

1) Got filled on the following:

SPX 1215/1225 bull put at $0.45

2) Then got filled later for half as many contracts as earlier:

SPX 1215/1225 bull put at $0.50

 

[piccon]

They all have there trading characteristic. OEX is the one I like the most so far.

I was ready to short RUT and NDX this morning but the MM didn't bite.

The only reason I kept my RUT is because it's way overbought and was ready to turn down anyway.

This is how I make money in OEX:

I enter when it's overbought 600/605 and later entered 605/610 but at the same time I bought OEX 595.

Ex 600/605=2K (credits)
605/610=1.5K credits.

I bought 595 as insurance and it only cost me 1.4K . So I use the 1.4K of 605/610 to protect 600/605.(2K)

I also use statistical analysis of previous trading action to select Short strike.

Quote from ChrisM:

Could you tell us more about your approach ? Is there any specific gamma/delta formula you follow ? Any specific reason for spreading over OEX, SPX and RUT ?

 

[andysmith]

Thinking short term, I think Jason's thesis depends on whether we see

a) the good 'ole intraday reversal that takes hold around 1:30pm EST, or

b) a snap up 10 points or so on Monday

If either of these two happens, we're still in a confirmed uptrend, not rolling over.

By the way, can you explain the comment about VIX going higher on a Friday being impressive. Why Friday?

Quote from rallymode:

Here is some interesting info i read on one of my news sites that i follow. just thought i'd post it here since we all folow the spx.

"As per Jason Goepfert of Sentimentrader.com, "we have already seen the largest range in the S&P 500 since January 20th, and one of the largest ranges in the past year.". He looked for other days with action like this, wherein we hit a new S&P high, crossed into negative, and in the process carved out the largest intraday range in 30 days. The results are not pretty.

" In the past decade, we've seen this 5 times, and three days later the S&P was lower 4 of the 5 times, for an average of -3.4%"


The VIX has actually taken today seriously. Sort of. We are up 7% or so to 12. Of course a 12 VIX does not conjure up images of dogs and cats living together, but any lift on a Friday is impressive on some level. And with a 10 SMA under 11.5, we actually have a shot to see overbought VIX levels should the dip continue into next week."

 

[andysmith]

What the TOS guys have told me is that the fill depends on what the SP futures is trading at, not SPX.

Quote from skanan:

Can you tell me how much was SPX when you got filled ? I'm trying cancel/replace on TOS many times with no luck at 0.50 when SPX was around 1297.

-N

 

[ChrisM]

Quote from piccon:

They all have there trading characteristic. OEX is the one I like the most so far.

I was ready to short RUT and NDX this morning but the MM didn't bite.

The only reason I kept my RUT is because it's way overbought and was ready to turn down anyway.

This is how I make money in OEX:

I enter when it's overbought 600/605 and later entered 605/610 but at the same time I bought OEX 595.

Ex 600/605=2K (credits)
605/610=1.5K credits.

I bought 595 as insurance and it only cost me 1.4K . So I use the 1.4K of 605/610 to protect 600/605.(2K)

I also use statistical analysis of previous trading action to select Short strike.

Thank you. This means you do not measure any specific correlations among them, you just use them as separate instruments for pre-defined trading opportunities ?

 

[rallymode]

Quote from andysmith:



By the way, can you explain the comment about VIX going higher on a Friday being impressive. Why Friday?

It wasnt my comment, it was within the piece about the SPX rolling over. I am guessing he means that Friday's are not usually characterized with spikes in VIX.