SPX Credit Spread Trader

I have a question that I should probably know the answer to, but don't.

What accounts for the difference in price between the futures and the SPX? And is there a correlation to market moves when that difference changes?
 
Easier than that would be to SKYPE.

If you haven't trided it... it's better than phone quality... it's over the internet... it can also display video... and it's FREE.

For that matter... you can conference chat on Yahoo Messenger also.. and it's FREE.

The quality of these internet telephony calls is awesome. We hold our investment meetting VIA the internet


Quote from Heatheranderson:

Sold 25 SPX SEPT 1340/1350 Bear Call spread -- $0.80 credit

Coach
I have an idea.why dont we hold a weekly conference call on telephone?. It would be nice to talk to fellow options traders and also listen to you and other experts.
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Quote from jeffm:

Check out "Trading Options to Win" by S.A. Johnston. Its a good options trading book in general, and he particularly discusses OTM writes on commodities.
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He does not have much to say on the IC but he loves the ratios. He specializes in 3:1 (long 1 short 3) -- I think he calls it the "Ronco", and even 5:1, using seasonality as the setup for the trade. He is a frequent visitor to another forum at www.marketforum.com.

He has a great chapter on risk and it's interesting to hear what he has to say on naked options (another viewpoint).
 
My current position (using a suggestion by Sailor) in SP:

Aug L 1315/ Aug S 1330 call
Sep L 1220/ Aug S 1240 put

SP trading around 1284.

Right now I'm about 120 in the hole, but looks good on paper for theta, depending on how quickly and how far it moves up.

Also have a Aug/Sep 45 put calendar on WM. It is on the bottom range of its IV, already after earnings, very sedate stock. Got in at .35.

Regarding a place to interact, woodies has a free chat room dedicated to options. The Risk Dr shows up there from time to time at www.woodiescciclub.com/start.htm
 
It looks like my August 1300/1315 bear call will likely get into trouble.

I'm thinking that I'm going to roll this spread to September. Here's why:

1) It's a relatively small position and I can afford to roll it forward for a number of months if necessary.

2) In July I booked profits for both July and August, hence I don't feel as pressured to try and make money this month. I know this reason is not a good reason, but unfortunately it does often play into the psyche.

So, I'm wondering how to best do this. On Friday I watched the market and priced midpoints for the August 1300/1315 bear call. It looked like by rolling it to a Sept 1320/1335 and even possibly the 1325/1340, I could keep the original credit for the August bear call (IOW: buying back the Aug 1300/1315 and selling the Sept 1320/1335 resulted approximately in no net credit or debit)

I would rather be above 1325 in September.

So the question is: Should I wait to do the roll when the SPX gets above 1290 and that way I might be able to go higher than 1325 in September.

I need a usable spread pricing model to help me with this. I don't know if ToS has one that could help me with this situation.

Suggestions, ideas, comments welcome.

Thanks.
 
Hey Rd...I've got 1295 shorts that I was looking at this am as well. I know you can use the trade page to change the different scenarios but I'm not good with that but I know there are many here who are.

My thought was perhaps doing a B-fly (longs are 1310)..I've decided to wait until I need to roll rather than a preemptive roll simply because the odds of a 40-50pt gain over the Jul set are pretty slim given the headwinds we have.

Having said that...IF we breach important resistance at 1290ish who knows where we could get to by September, therefore your concern of 1325 for September is justified.

Go back and look at Jun/Jul/Aug spx close last year...it hardly budged. In 04 20-30 pt changes max...so my guess/bet is no bigger than a 30 pt change in July set of 1250. We are or will be next week oversold on the 10 day oscillator so I'm looking for at least a couple of down days to work with. I bought a few 1225 puts I can sell against to drum up offset cash. For myself I'll wait to see what next week brings. I wouldn't be surprised to see some more buying but then a softening of the market in anticipation of the Fed.

Just my random musings on a saturday afternoon:p
 
RR:

In listening to the talking heads on Friday, one theme kept being repeated: it looks like the Fed is done. While it is true that the market is lower 6 to 12 months after the Fed stops, it is often up strongly in the short term when the Fed signals that it will stop.

On Friday, the SPX moved up from the bottom of the ascending wedge to the top. If we break out on Monday, who knows. 1290 does look like strong resistance.

I'm trying to figure out by how much I can increase my rolled September short strike, if anything, by waiting until we get above 1290. There are competing factors since theta will hit the August spread harder than the September; hence the need for a good spread pricing model with the ability to change time to expiration, volatility, etc., etc.

Quote from RichardRimes:

Hey Rd...I've got 1295 shorts that I was looking at this am as well. I know you can use the trade page to change the different scenarios but I'm not good with that but I know there are many here who are.

My thought was perhaps doing a B-fly (longs are 1310)..I've decided to wait until I need to roll rather than a preemptive roll simply because the odds of a 40-50pt gain over the Jul set are pretty slim given the headwinds we have.

Having said that...IF we breach important resistance at 1290ish who knows where we could get to by September, therefore your concern of 1325 for September is justified.

Go back and look at Jun/Jul/Aug spx close last year...it hardly budged. In 04 20-30 pt changes max...so my guess/bet is no bigger than a 30 pt change in July set of 1250. We are or will be next week oversold on the 10 day oscillator so I'm looking for at least a couple of down days to work with. I bought a few 1225 puts I can sell against to drum up offset cash. For myself I'll wait to see what next week brings. I wouldn't be surprised to see some more buying but then a softening of the market in anticipation of the Fed.

Just my random musings on a saturday afternoon:p
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TOS has it!! I think may be the analysis page where you click those little wrenches and change the vol/date/interest rate/price...I just don't know how to work it. They need a special class for dummies like me.:D
 
Yeah, I was playing around with that last night [We both need to get a life :)]

If you convert your position to a butterfly, how would you do this exactly and what would be the net resulting options.



Quote from RichardRimes:

TOS has it!! I think may be the analysis page where you click those little wrenches and change the vol/date/interest rate/price...I just don't know how to work it. They need a special class for dummies like me.:D
More...
 
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