Quote from rallymode:
thank you for your comments, keep up the good returns
EDIT: i guess those May SPX bear call spreads might be safe after all
Hey now, don't go and jinx us with a week left.
SPX Credit Spread Trader
- Thread starter El OchoCinco
- Start date
Hey now, don't go and jinx us with a week left.
Mark:
That is exactly the debate we had here some time ago and the main reason why I have to state that the VIX hedges work if my assumptions are correct. The assumptions are that in a Black Swan event VIX spikes hard and there is uncertainty as to when it will come down and in most cases it comes down to a level hihger than prior to the spike. Therefore, the assumption is that the forward expectation of volatility will still be higher than the vols prior to the swan event.
So if my assumptions are correct, then the VIX hedge will provide some undetermined profit that will put a band aid on the spread losses. If my assumptions are incorrect, well I am still in the same boat I was before in a sense with slightly less credit due to the purchase of the VIX hedges. I intent to only spend small amounts on the VIX hedges at times until I can get a definitive answer if it will work the way I would hope. I actually hope i never find out the answer to be honest
.
I am looking into other potential hedging vehicles which have also been discussed here as well, such as VIX futures or Eurodollar futures but for now I do not have market access to them so those remain more educational pursuits.
Hoprefully this debate will never be resolved
That is exactly the debate we had here some time ago and the main reason why I have to state that the VIX hedges work if my assumptions are correct. The assumptions are that in a Black Swan event VIX spikes hard and there is uncertainty as to when it will come down and in most cases it comes down to a level hihger than prior to the spike. Therefore, the assumption is that the forward expectation of volatility will still be higher than the vols prior to the swan event.
So if my assumptions are correct, then the VIX hedge will provide some undetermined profit that will put a band aid on the spread losses. If my assumptions are incorrect, well I am still in the same boat I was before in a sense with slightly less credit due to the purchase of the VIX hedges. I intent to only spend small amounts on the VIX hedges at times until I can get a definitive answer if it will work the way I would hope. I actually hope i never find out the answer to be honest
.I am looking into other potential hedging vehicles which have also been discussed here as well, such as VIX futures or Eurodollar futures but for now I do not have market access to them so those remain more educational pursuits.
Hoprefully this debate will never be resolved
The recent breakout of the 2-month trading range has now failed. The longer term channel is still intact. Unless there is a strong reversal today and tomorrow, it is very likely that we stay in this channel for a lil while longer.
Next support area 1295-1300.
I think it's pretty safe to say that SPX 1340 is not as much of a threat for our close OTM may positions as it was 2 days ago. Just my opinion as always.
MAY POSITIONS
-500 SPX MAY 1215/1225/1370/1380 Iron Condors @ $0.60
Credit = $30,000
Risk = $470,000
Return = 6.38%
VIX CALL HEDGES
Long 100 VIX MAY 20.00 Calls @ $0.20
Cost = $2,000
Long 50 VIX MAY 15.0 Calls @ $0.62
Cost = $3,100
DIAGONAL SPREADS
Sold - 24 MAY 1345 Calls @ $1.50 ($3,600)
Bought +30 JUN 1385 Calls @ $1.05 $3,150
Net Credit = $450
-500 SPX MAY 1215/1225/1370/1380 Iron Condors @ $0.60
Credit = $30,000
Risk = $470,000
Return = 6.38%
VIX CALL HEDGES
Long 100 VIX MAY 20.00 Calls @ $0.20
Cost = $2,000
Long 50 VIX MAY 15.0 Calls @ $0.62
Cost = $3,100
DIAGONAL SPREADS
Sold - 24 MAY 1345 Calls @ $1.50 ($3,600)
Bought +30 JUN 1385 Calls @ $1.05 $3,150
Net Credit = $450
Murray:
I am actually having some fun and small success with the diagonals. As I re-posted my position you see I put on a small 30 * 24 Diagonal for a $450 credit with a margin requirement of about $96,000.
I have not made any adjustments yet but just have been watching it. I may do more in the prop account since I will not have to worry about margin as much and do larger size as your group is doing. I think the flexibility for using it on the upside interests me as opposed to chasing tiny credits with call spreads due to the skew.
I am looking at a JULY JUNE one after MAY expiration and will see what strikes I like depending on the location of the index next week..
I am actually having some fun and small success with the diagonals. As I re-posted my position you see I put on a small 30 * 24 Diagonal for a $450 credit with a margin requirement of about $96,000.
I have not made any adjustments yet but just have been watching it. I may do more in the prop account since I will not have to worry about margin as much and do larger size as your group is doing. I think the flexibility for using it on the upside interests me as opposed to chasing tiny credits with call spreads due to the skew.
I am looking at a JULY JUNE one after MAY expiration and will see what strikes I like depending on the location of the index next week..
Ready:
Was that a painful move or one that could become painful by MAY expiration....
Was that a painful move or one that could become painful by MAY expiration....