SPX Credit Spread Trader

That is why I am trying to incorporate them in. However I am still not finding the nice credits for the diagonal on the puts as I am on the calls.

For puts, I still like the ratio spreads...


Quote from Sailing:

Coach,

Here again lies just another benefit of the Put Diagonal. You really encourage the trade to head toward your short.... and with VEGA spiking... you can just close the position for a profit.... just when credit spreads are glaring "RED" in the face... or looking for alternative hedges....

It's a Beautiful thing....

M~
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Conversely....

Now you're set up (with SPAN or Haircut margin) to sell back months VEGA... and buy short term longs... ie, being short VEGA for the whipsaw. On the bounce... or stagnant movement... profit on VEGA, is further downside and VEGA spike.... just wait it out... because you have longer term month VEGA.

Even last month... when VIX was 24... is was only a couple days later and it retreated to 15. $$$

M~
 
Quote from optioncoach:



I doubt my performance would improve so drastically without hedges when losses in times when the hedges worked would have to be counted in versus what I do now. Also, each season the market changes and I may need to be more cautious at certain times than others. I am trying not to let my decisions for hedges be too subjective. I would rather act more automatically if I could so that my emotions get reduced as much as possible.
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phil,

thats my whole point. You say yourself that you much rather do it mechanically than discretionary as to not be swayed by emotions yet you put these hedges on at times when your emotions are pretty much lining up with the overall market sentiment, its that whole reversal conducive condition i mentioned earlier.

I know emotions and opinions arent a part of any backtesting model so in this case we cant actually know whether performance can be improved by eliminating or shortening hedges, now can we?

Now again, wasnt saying that what you are doing is wrong, i was just trying to take the discussion further but i see in light of the way its traded(discretionary) not much analysis can be done as we cannot replicate all conditions.

Now how about some JA gossip. she has been noticeably absent from the discussion.
 
I think the idea is sound but too hard to test right now because of the unmeasurable factors.

As for JA, I am trying to dispel some rumors I heard she might be engaged to her boyfriend she has on the side :D.


Quote from rallymode:

phil,

thats my whole point. You say yourself that you much rather do it mechanically than discretionary as to not be swayed by emotions yet you put these hedges on at times when your emotions are pretty much lining up with the overall market sentiment, its that whole reversal conducive condition i mentioned earlier.

I know emotions and opinions arent a part of any backtesting model so in this case we cant actually know whether performance can be improved by eliminating or shortening hedges, now can we?

Now again, wasnt saying that what you are doing is wrong, i was just trying to take the discussion further but i see in light of the way its traded(discretionary) not much analysis can be done as we cannot replicate all conditions.

Now how about some JA gossip. she has been noticaably absent from the discussion.
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Murray,

Perchance, is this what you were asking me about before?

e.g. short vega, long gamma straddle/strangle swap

Depending on strikes, not too dissimilar to short calendars.

Need to be able to top-pick IV with some degree of accuracy, though depends on maturity of front month options as you say to give you some breathing room. The top-picking aspect makes it more conducive to individual equities IMO when used in conjunction with news/reports/rulings etc. Also, prefer to initiate delta-neutral-ish. Wonder if you use a delta preference for your position...

Maverick's diagonalized long Christmas trees have more vega exposure naturally.

MoMoney.

Quote from Sailing:

Conversely....

Now you're set up (with SPAN or Haircut margin) to sell back months VEGA... and buy short term longs... ie, being short VEGA for the whipsaw. On the bounce... or stagnant movement... profit on VEGA, is further downside and VEGA spike.... just wait it out... because you have longer term month VEGA.

Even last month... when VIX was 24... is was only a couple days later and it retreated to 15. $$$

M~
More...
 
Was thinking about putting on an AUG put spread at 1150/1160 or so... until I read that Israel attacked Beirut airport. Wow!

Anyone know who is selling Hezbollah the rockets/missiles?
 
Mo,

Yes... this is what I was refering...

I haven't played with individual equities... VEGA wise that is... selling back month VEGA. But I like the idea. Just appears easier to take advantage of the known... rather than wait, hope, and pray for somthing going forward!

I have a conference call with Maverick tonight.... we're setting up an account with him....

He hasn't unlocked the full details of the Vega express X-mass tree style trading strategey (although we've had some long disucssions about it's philosophy) to us yet.... wondering if you'd share your insigts with respect to Mav's curvature approach!

Thanks,

M~

Quote from momoneythansens:

Murray,

Perchance, is this what you were asking me about before?

e.g. short vega, long gamma straddle/strangle swap

Depending on strikes, not too dissimilar to short calendars.

Need to be able to top-pick IV with some degree of accuracy, though depends on maturity of front month options as you say to give you some breathing room. The top-picking aspect makes it more conducive to individual equities IMO when used in conjunction with news/reports/rulings etc. Also, prefer to initiate delta-neutral-ish. Wonder if you use a delta preference for your position...

Maverick's diagonalized long Christmas trees have more vega exposure naturally.

MoMoney.
More...
 
You won't find the Credits... you're not playing THEAT... you're playing VEGA and a little DELTA with the Put Diagonal... that's the difference and in my opinion the advantage.

Put Diagonal... up big today... whew! With no worries.... can exit anytime.

M~






Quote from optioncoach:

That is why I am trying to incorporate them in. However I am still not finding the nice credits for the diagonal on the puts as I am on the calls.

For puts, I still like the ratio spreads...
More...
 
Quote from Sailing:

Just appears easier to take advantage of the known... rather than wait, hope, and pray for somthing going forward!
More...

Agree, after the triggering event (earnings, judgement etc.) implied volatility comes in - why not leverage that indeed. I wouldn't be as confident employing the strategy on broad-based indexes though, but that's just me.


wondering if you'd share your insigts with respect to Mav's curvature approach!
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I have know idea about Mav's curvature approach I'm afraid! Sounds interesting though. All I know is Mav's perfect option position - the flying wrangle! (I'm sure he's updated his view since he wrote about it though) I'm stilll just a newbie Murray :)

Good luck going proprietary!

MoMoney.
 
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