SPX Credit Spread Trader

Aardvark · Jul 11, 2006

Quote from Aardvark: July 3

Hey Ryan..its interesting with a low volume day I've gotten a couple of fills...finally got a good chance to roll down my 1245put to 1235....at least getting the target off my back also got filled on 1310/1320 calls...a little close to the money but with decent credit. .85. I guess with the "big" boys away we retail mice can play

Took advantage of the last minute turnaround in the market to close the 1235/1225 put spread (rolled down from the infamous 1245 from May. Fill was .50 so that part of the saga is now closed. I probably didn't need to close as the vix is really down and I don't think we'll see 1235 by exp... however it just seemed like an opportunity I couldn't pass up. Still have some call shorts so not out of the woods

.

rdemyan · Jul 11, 2006

Well, it turns out I finally got filled at $0.05 debit despite the initial b/a $0.00/$0.50. Now, I'll put in an order to sell my long 1370 at $0.05 and if it happens that's great. The important thing is that I've freed up margin and guaranteed myself a profitable July of at least 4.4% (only looking at August positions now).

Quote from optioncoach:

Quickest way to find out is to cancel the order and not any changes in the b/a spread. I have done that before.

El OchoCinco · Jul 11, 2006

I actually have not had time lately for diagonals but in August I am going to move back into them since I had some nice success on smaller positions. I will use ES options for them and have been investigating using End of Month options along with the regular ES options for more choices. But I will definitely be doing more put ratio spreads and diagonals using ES in the coming months.

Quote from Sailing:

Coach,

Haven't heard you talk much about the diagonal spreads !!

They have been extremely profitable as of late, especially with the VIX popping up and down.

Are you still trading them?

We're looking to enter a put diagonal here shortly, 1200p/1225p, and possibly a Credit spread on the upside !

We're also considering a further out month on the diagonal... DEC, instead of SEP... for VEGA reasons.....

Congrats on the additional tax write off. Hope you're getting some sleep!

M~

El OchoCinco · Jul 11, 2006

Sorry to disagree with you but my partial hedges have a 100% fade profitability, not 90%

Notice today's turn around lol.

By the way, nice bullish flag pattern in SPX. I expect SPX to break out and move perhaps another 20 points higher. Gonna look for ways to play this tomorrow morning, perhaps with a diagonal, OTM calls, call spread or calendar of sorts given expiration coming up.

Quote from rallymode:

I am thinking of starting a system where i will fade coach's hedges. In fact, phil, PM me everytime you open them up so that i can provide the liquidity, we will meet up half way , i will just take the other side - Fair?

System has 90%+ win ratio, over the last year. This should make mo's system look like a charity case

rallymode · Jul 11, 2006

Quote from optioncoach:

I will use ES options for them and have been investigating using End of Month options along with the regular ES options for more choices.

i find the liquidity pathetic at best LOL What are your thoughts so far?

scoobie27 · Jul 11, 2006

Quote from augiedixit:

Scoobie27

If I may ask, which broker are you using to trade ES options. OptionXpress does not have that capability yet. I am seriously considering trading ES options.

Thanks,
Augiedixit

Hi Augiedixit, Sorry for the late reply as I was alseep on the other side of the world when you wrote this message. So when i write this you'll be asleep : ) Yup I trade ES through IB (Interactive Brokers) as well. Just opened the account, cause like you I had and still have an account with OX, which doesn't trade ES. As Vendata said, the brokerage is 1.65 per contract but I also heard that the comission is 0.75. Have to check up on that but 1.65 is about right. They have a great trading platform which makes OXs web based platform look very prehistoric. Still have my OX account but don't use it much now that I have IB.

Cheers
scoobie

Sailing · Jul 11, 2006

The put side is 1:1. When and if the market approaches the short strike... volatility spikes take the Break Even much further down... and offer many adjustment opportunities.... although I've found selling into the VEGA spike to be very profitable.

The call side is ratioed.... and I've been leaning more towards doing credit spreads on that side. A little further out... and a little better return overall.... The problem on the upside is VEGA... it just bleeds out. .. so the credi spread atleast nuetralizes this... per say.

M~

Quote from Aardvark:

Murray...I forgot to ask are these ratioed diag spreads?

El OchoCinco · Jul 11, 2006

End of month ES options have wider spreads but more premium naturally with the extra 2 weeks or so. Volume is not as much as ES but gonna test them out slowly.

Quote from rallymode:

i find the liquidity pathetic at best LOL What are your thoughts so far?

El OchoCinco · Jul 11, 2006

Have not tried to keep the put diagonals 1:1. Will have to fool around with that as well...

Quote from Sailing:

The put side is 1:1. When and if the market approaches the short strike... volatility spikes take the Break Even much further down... and offer many adjustment opportunities.... although I've found selling into the VEGA spike to be very profitable.

The call side is ratioed.... and I've been leaning more towards doing credit spreads on that side. A little further out... and a little better return overall.... The problem on the upside is VEGA... it just bleeds out. .. so the credi spread atleast nuetralizes this... per say.

M~

scoobie27 · Jul 11, 2006

Quote from rallymode:

With the ES options, once you place an inside bid or offer you become the market so you gotta wait for a fill. I personally leg in by hitting bid/asks +/- a dime or a nickel

Rally, I understand now why you leg in. Thats because you can't sell ES credit spreads as a combo order. I tried to sell ES bull Puts yesterday on TWS. Managed to get the spread quote on the quote panel. But once I tried to "Transmit" /sell the spread as a combo order, i got a message saying "the contract is not supported by the exchange".

Therefore I have no choice but to leg in if I want to sell credit spreads on ES. Im sure this is not the case with SPX ?

Coach, do you find this to be the case as well? Do you have to leg in when you sell ES spreads?

scoobie