SPX Credit Spread Trader

Quote from volatilitypimp:

rally, can you chart equity spreads(like the above ES) with IB? If so, I may have to revisit them as a broker.

I remember riskarb charting some reversals in his journal, it escapes me what the underlying was tho..
More...

any combo that you can quote in a market line you can pull a chart on. Give me a couple of symbols and i will try it out for you. I like this feature alot, pretty much a live option modeler, you just rewind and discount for vega and theta.


EDIT: i didnt even know IB had it until i saw riskarb's journal LOL
 
I believe it is on thinkorswim's list of things to do.

In the mean time, there is a crude way to plot spreads if the ratio is 1:1 i.e. standard verticals.

Backfill permitting on thinkorswim charts you can use the "spreads" study to plot the spread between one symbol (enter OPRA code for desired option) and another symbol.

It's not pretty and far from perfect. No OHLC available.

You should be able to do this on prophet.net charts too...

Or you can use the price comparison study of the two different symbols for a visual picture of the spreads.

Quote from volatilitypimp:

rally, can you chart equity spreads(like the above ES) with IB? If so, I may have to revisit them as a broker.

I remember riskarb charting some reversals in his journal, it escapes me what the underlying was tho..
More...
 
mo,

it's amazing how you seem to know so many intimate details about every single platform and broker out there.

Again, you should index all that knowledge together and publish an ebook or something LOL
 
Rally and others in the stoc thread,

I agree in theory that if you wait for the stoc crossover your may be late...but look at the lows/high that the price action has printed within 3 days of the crossover on a 5,5 or 5,3.....usually those lows or highs get tested again within a 5 day period after the crossover....in otherwords if your wait for a crossover, more times than not you will get a re-test (or near re-test) of the lows/highs associated with the ob/os condition and crossover... so you can still get in at a decent price...

I think there was only 2 or 3 times when the the 5,5 register a crossover and then just took off w/o letting you get in at/near temp. highs/lows

I'm not arguing that anticipation is a bad thing or is not the best way to get the best price....however check this out. What are others experience waiting for a cross and than a (near) re-test to enter the spread?


Quote from Rally:

It depends. More often then not, i dont wait for a confirmation or a turn, i simply enter against the trend. (indicator crossovers and turns are a grey area in my opinion, not sure i buy into all that LOL) If you wait for a confirmation you will likely be 5-10 points late and thats like 25-50% of your cushion with a 20-25 points OTM credit spreads. I really dont even use the stochs all that much except to confirm the overbought/oversold level. I can probably call its value without charting it and just looking at the price action but its simpler when its drawn right in front of you.
 
Quote from Prevail:

By fading a simple ma system using about 13 for the long and 2 to 5 for the short will produce an equity curve similar to this. About a 70% win rate, obviously close to the inverse of a trend following model. Average trade is still over $2500, about 10 big sp points.
More...

Just a quick comment on your equity curve. Its hard to tell with just trade numbers instead of dates, but your system seems to have made all its money during the boom boom late 90's. Early 90s and early 2000's don't show the same level of performance.

Now, you are talking about using these entry signals for possible option trades. The workings of these trades will obviously be hugely different from a straight futures system. In that sense, showing futures performance doesn't really tell you that much. A 70% w/l could be much better or worse when the same method is used with options. Your $avg trade will vary even more greatly with options.

Just watch out that your entry and exit is still valid in today's market.
 
The prop firm I am with provides me leverage and market access. They offer access to some 3rd party vendors such as X-Trader. But they themselves do not offer any tools. I use Tradestation mainly for charting.



Quote from 1robert11:

Does the Prop Firm you trade with offer good analysis tools to determine your overall risk when all your trades are looked at in an overall portfolio basis?

Do you plan on trading a Delta neutral position in your overall portfolio to take in Theta?
More...
 
JULY 100*200 Put Ratio Spread:

BTO 100 JULY ES 1200 Puts @ 8.50 ($42,500)

STO 200 JULY ES 1175 Puts @ 5.50 ($55,00)

Net credit = 2.50 ($12,500)

Breakeven at expiration = 1147.50 on the ES for July.


VIX HEDGE

BTO 30 JULY VIX 20.00 Calls @ $0.75 or $2,250
 
Quote from momoneythansens:

Hmm...$19.95 * 53,000 ET Members....:D
More...

19.95 is wayyyy to low...$199 more like it:p wasn't Mktsurf offering Cottle's used book for like way more!
 
You must log in or register to reply here.
Back
Top