SPX Credit Spread Trader

Actually it was stated the obvious to the very stupid. Was not looking for the right symbol LOL...

Interestingly a JUNE ES EOM 1160 is at 1.00. Was looking at selling 100 for $5,000 credit for 2 weeks. Hmmm Fed risk too much I think although that i such a far low.

Quote from momoneythansens:

You might have to try EW as the symbol. Apologies if that was stating the obvious. :)
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While we are on the ES EOM options subject i'd like to point out an interesting observation regarding settlement of EOM options.


6) What is the methodology for determining the expiration day special “fixing” price?

The special fixing price is based on CME E-mini S&P 500 futures. To avoid confusion, there is the one fixing price used to determine which
EOM options are exercised for both the standard CME S&P 500 and CME E-mini S&P 500 contracts, under normal circumstances.
CME will establish a special fixing price based on a 30-second weighted volume average traded price of the CME E-mini S&P 500 futures,
from 2:59:30 to 3:00:00 p.m. Chicago time, on the last business day of the month. This fixing price will be disseminated immediately
using the symbol “ESF.”
 
Quote from optioncoach:

Diagonals and Iron Condors mixed together..... Murray and others might find this interesting. I am going to try and catch it if I can:

Double Diagonals - Throw in Some Iron, End Up with Butter
This Thursday, April 13, at 4:15 PM EST, Craig Faassen, our Chief Option Strategist, will be giving a free webinar on 'Managing Double Diagonals'.
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Is this webinar available for download?

Any other recommended resources on the double diagonal?
 
Coach, Mo, Cache, others,

Has anyone considered/tried using OTM calendars to hedge a threatened CR spread? Say if put side is threatened (20spx points, say) you add a calendar centered on your short strike. Vega would help on the put side - probably not as effective in hedging a threatened call CR spread. I'd welcome comments from anyone. Thanks,
 
Quote from Eric99:

Coach, Mo, Cache, others,

Has anyone considered/tried using OTM calendars to hedge a threatened CR spread? Say if put side is threatened (20spx points, say) you add a calendar centered on your short strike. Vega would help on the put side - probably not as effective in hedging a threatened call CR spread. I'd welcome comments from anyone. Thanks,
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This sounds wrong to me.

If the underlying index continued to tank, you would be forced to close the calendar quickly (because the spread would go against you if the market tanked further) but the small profit earned from the calendar would do little to offset the loss from the credit spread.

Perhaps if you chose to calendar a strike that was an additional 20 pts OTM, it might help the downside (but would be a sure loser if the market headed higher).

Painful as it is, the surest way to maintain your ability to stay in business is to adjust. That means covering or rolling some, or all, of your threated spreads.

Mark
 
A hedge should be long deltas to be effective.

A calendar spread is not so strong in the deltas as long puts would be. If the calendar was deep OTM it would have nice profit potential but it is not as big as long options. YOu could diagonalize and ratio the puts perhaps but the key is to be long deltas somehow.

Quote from Eric99:

Coach, Mo, Cache, others,

Has anyone considered/tried using OTM calendars to hedge a threatened CR spread? Say if put side is threatened (20spx points, say) you add a calendar centered on your short strike. Vega would help on the put side - probably not as effective in hedging a threatened call CR spread. I'd welcome comments from anyone. Thanks,
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Quote from burrben:

Couple things:

1) Is anyone gearing up for July, or all sitting and waiting for the Fed Announcement?

2) June results were 6.23% return on risk with the adjustement that I had to make. IF i didn't adjust, it would have been 11.1% return on risk, all inclusive of commish. But I'm still glad I adjusted.



Thanks,
burr.
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#1 - I'm sitting and waiting for the Fed Announcement. There seems to be some debate out there if they'll do a 25 or 50 basis point crank end of the month.

#2 - good job I got 7% return on mine after closing out my bullish put spreads. I would have had 12% if I didn't hit my 15 point from short strike rule
 
Coach,

I read over your adjustments post (June). (Thank you, by the way, for sharing :) ). What did your hedge look like if you don't mind my asking? ATM put? Piccon has posted about adding a butterfly centered before the short strike. Others use ATM debit spreads. What flavor hedge do you prefer?

Thanks again,
 
I had 50 SPY June $121 Puts for a cost of $1,750. I basically had some long deltas so that if the market kept moving below 1220 the long puts would generate some profit to help offset adjustment costs or partially defray the loss from closing.

Quote from Eric99:

Coach,

I read over your adjustments post (June). (Thank you, by the way, for sharing :) ). What did your hedge look like if you don't mind my asking? ATM put? Piccon has posted about adding a butterfly centered before the short strike. Others use ATM debit spreads. What flavor hedge do you prefer?

Thanks again,
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