SPX Credit Spread Trader

[Heatheranderson]

My positions:

20 SPX 1205/1215 Bull Put-- Credit $1.0
20 RUT 650/660 Bull Put-- Credit $0.95

Thinking of completing the IC with the below.

20 SPX 1330/1340 Bear Call-- Credit $0.70
20 RUT 780/790 Bear Call--Credit $0.70

 

[momoneythansens]

I think you were spot on with your forecast of higher volatility in an earlier post - and todays price action seems to be a good reflection of that. Good for daytraders.

With your several months of experience of attempting to leg into spreads for better than fair value, overall do you think that you have come out better
(including the cost of any long legs that were not subsequently spreaded)?

Since you have good directional instincts, it would be interesting to know how you have fared on the expectancy front...

Quote from Aardvark:

What a nutty day:eek: I guess I will update my June position in the FWIW category or how to turn a perfectly wonderful position into a mess

5/10 BTO 1 (lot) June 1250 P debt@2.60
BTO 1 (lot) June 1245 P debt@ 2.50
had I held...woo hoo...but nooooooooo
5/11 STO 2(lots) June 1245 credit@ 4.10 (essentially creating a debt spread) and chashing half the nice gain....this was fine had I been patient...but noooooooooooo
5/15 STO 1 (lot) cr 1225/1245 Put spread for cr. 1.90...too early
lets just compound this by selling another one on
5/17 STO 1 (lot) 1225/1240 cr. 1.60

I really thought I could do something creative with this mess..and wasn't too worried about the decline because I at least was long a lot of 1250's as a bit of a cushion.However when early today mkt was down I just gave up on trying to make something out of it so I STC 1 (lot) of 1250/1240 puts..cr. 2.70

what I ended up with was 2 (lots) of 1225/1245 put credit spreads for a total credit of 4.65 and anyone and his mother who wanted to take the risk could have sold that this AM!!!!!

Japanese have a word for this..."me cha ku cha" sigh...so I guess right now Cache L and I are the ones with our necks out the most.... :eek: I wish I could say I learned something..the only thing I'm learning is how hard it is to create positive expectancy

 

[Cache Landing]

Quote from Aardvark:

what I ended up with was 2 (lots) of 1225/1245 put credit spreads for a total credit of 4.65 and anyone and his mother who wanted to take the risk could have sold that this AM!!!!!

Japanese have a word for this..."me cha ku cha" sigh...so I guess right now Cache L and I are the ones with our necks out the most.... :eek: I wish I could say I learned something..the only thing I'm learning is how hard it is to create positive expectancy

LOL. You can always count on me to stick my neck out further than most.

HAHA.. You know you might have been a bit too aggressive when Rally makes a statement like this;

Welcome aboard the crashing train. LOL

If i knew you wanted in, i could've made market with some of my 1235/1240 position.

Don't worry too much Aardvark, just gotta roll with the punches.



[edit] BTW, I think the only way to "create" positive expectancy is to accurately forecast direction/vols. You seem to be decent at it, so we'll see how it all pans out in the end.

 

[momoneythansens]

Quote from Cache Landing:


Don't worry too much Aardvark, just gotta roll with the punches.

Yeah, I think you'll both be OK by expiration if you can hold your nerve in the interim.

[edit] BTW, I think the only way to "create" positive expectancy is to accurately forecast direction/vols. You seem to be decent at it, so we'll see how it all pans out in the end.

We could throw time into the mix - but that doesn't require forecasting - it just happens...and in only one direction. Of course IV can be viewed as synthetic time.

So best case scenario is to have all three: direction, IV and time all move in your favor on an existing position before adjusting into new better than fair value position.

Food for thought.

MoMoney.

 

[Aardvark]

Quote from momoneythansens:

I think you were spot on with your forecast of higher volatility in an earlier post - and todays price action seems to be a good reflection of that. Good for daytraders.

With your several months of experience of attempting to leg into spreads for better than fair value, overall do you think that you have come out better
(including the cost of any long legs that were not subsequently spreaded)?

Since you have good directional instincts, it would be interesting to know how you have fared on the expectancy front...

Yes I do "believe" I have overall done better legging into spreads...but since I don't know what I would have received had I not legged in I can't do a side by side comparison. I know RD did better than I on June call spread by .10 but lets face it a nickel or dime happens to all of us depending on how friendly the MM is! Almost all months I have eventually spread with at least a small profit. Only last month did I leave legs unspread for so long I lost money (on those legs...overall I did just fine)

edit geez...I do sound a bit like a hooker don't I.... :eek: but lets face it we are all prostitutes to this market

 

[cdowis]

Where can I get historical closing prices for spx options?

 

[rallymode]

Quote from ryank:

Have you jumped out of your 1235/1240 spread or are you hanging on?

I am sticking around for the moment but i will not hold through expiration. I am closing on the first bounce. I dont like this market for bull put spreads.

 

[rallymode]

Quote from Cache Landing:



HAHA.. You know you might have been a bit too aggressive when Rally makes a statement like this;

Welcome aboard the crashing train. LOL


If i knew you wanted in, i could've made market with some of my 1235/1240 position.

Cache, we need to put our seat belts on, this may get ugly. I am also getting raped with my SOX position. Remind me to never trade that POS again LOL

 

[Cache Landing]

Quote from rallymode:

Cache, we need to put our seat belts on, this may get ugly. I am also getting raped with my SOX position. Remind me to never trade that POS again LOL [/B][/QUOTE]

Hey, thanx for almost talking me into the SOX trade. LOL

Yeah, I'm gearing up for battle too. I'd planned on talking profits on the first good bounce. OTOH, if we don't drop I think we will be rangebound for a while. I'd toyed with the idea of converting to a b-fly. We'll see what vols are looking like and if I can convert easily. Something to think about.

 

[rallymode]

Quote from Cache Landing:



Yeah, I'm gearing up for battle too. I'd planned on talking profits on the first good bounce. OTOH, if we don't drop I think we will be rangebound for a while. I'd toyed with the idea of converting to a b-fly. We'll see what vols are looking like and if I can convert easily. Something to think about.

Well, we all knew this was coming so i am not surprised. Though, I cant say i am a fan of a FLY adjustment with vols picking up. I am going to offset and look for another day to fight once the trading range becomes clearer in my mind

By the way, I have been scalping the ES the past 2 days and it seems that 200 MA is holding so far. I see alot of buying everytime we dip down there. Sure feels like inst buying to me, but what do i know. Late day rally today looked very promising although it faded. We need to cross the highs of the last few days and we should be home free for a lil while. By Friday we shall know one way or another i think.