SPX Credit Spread Trader

Margin Releases:

ToS - as soon on Friday as the SET is released, so is your margin. No phone call needed

OptionsXpress - must call them to release margin on Friday after SET is announced.

TradeKing - must call them to release margin after set on Friday

IB - releases on Monday, no sooner.


M~
 
August/Sept Double Diagonal 14-day Update

Market summary since inception:

Market has moved up slightly from 1250 to 1265ish.
VIX is up 1.2% since initiaton

Return on Margin: 15.5%

See attached chart and positions for reference
 

Attachments

One more (last thought) on SDS. I do agree with Mark that it is probably not that great a "hedge" for short term (day/swing). However in an IRA if you (and most are) primarily long deltas a % dedicated to SDS would help to diversify your over-all port. Most of us doing CS and IC's have pretty much delta neutral options therefore unless SDS does have liquid options to trade for short term hedges or directional bets, I see its use more as a long term diversification trade.
 
Quote from Sailing:

For those of you asking about the triple and quadruple diagaonals... well here's our quintuple diagonal positions for this month.

Enjoy,

M~
More...

Murray,

For double diagonal margin, do you require to have margin for both sides, or just one side?
 
That's a terrific demo of your positions and entries. Thank you very much. Wow...once TOS has access to globex, I'm all over that.

Question: Why the extra 10 long calls? Were you concerned about an upside breakout and the calls were to mitigate losses above 1320?

Quote from Sailing:

For those of you asking about the triple and quadruple diagaonals... well here's our quintuple diagonal positions for this month.

Enjoy,

M~
More...
 
Are you still looking at the 1350/1375 Sept/Oct Diagonal? I pulled the trigger yesterday when the VIX dropped to 14.20, but didn't get filled, and now the VIX is above 15. I probably should hold off on trading anyway until I get back from our vacation.

Do you have any rules for the maximum debit you will take on the spread, or are you gauging your entries into diagonals based upon the VIX and where you feel the index will wind up on expiration...?

Thanks,
burrr

PS: That's a wicked chart on the quad diagonal...


Quote from Sailing:

August/Sept Double Diagonal 14-day Update

Market summary since inception:

Market has moved up slightly from 1250 to 1265ish.
VIX is up 1.2% since initiaton

Return on Margin: 15.5%

See attached chart and positions for reference
More...
 
Total Margin is 25K.

ToS treats it as risk based on one side only.

OptionsXpress does not (50K)... unless you call them and explain the entire situation.... and then they're very reluctant because they're monitoring software would not catch you if you bought back the short... ie, ended up naked. Gave up trying.




Quote from yip1997:

Murray,

For double diagonal margin, do you require to have margin for both sides, or just one side?
More...
 
Yes... insurance to the upside for protection.

Send ToS an email regarding globex..... like Ryan & Rally did... the more we ask.. the more they will comply.

Thanks



Quote from jeffm:

That's a terrific demo of your positions and entries. Thank you very much. Wow...once TOS has access to globex, I'm all over that.

Question: Why the extra 10 long calls? Were you concerned about an upside breakout and the calls were to mitigate losses above 1320?
More...
 
No steadfast rules yet. With only seven months of Double Diagonal trading under our belts.... there is still plenty of room for rewrites.

But for now... we look to enter at relatively low VIX levels... and sell at $25 increment strikes (liquidity), and sell shorts at support and resistance levels, if possible. Entering 3-4 weeks out.

We are accumulating data, three axis data.
Price of Double Diagonal
Days to Expiration
VIX

We're trying to explore what combination of Price/Time/Volatility apprears to be the best point of entry. We love this 3-D analysis..... stuff. Not sure if anything will come of it, but it keeps the investment club busy!

M~




Quote from burrben:

Are you still looking at the 1350/1375 Sept/Oct Diagonal? I pulled the trigger yesterday when the VIX dropped to 14.20, but didn't get filled, and now the VIX is above 15. I probably should hold off on trading anyway until I get back from our vacation.

Do you have any rules for the maximum debit you will take on the spread, or are you gauging your entries into diagonals based upon the VIX and where you feel the index will wind up on expiration...?

Thanks,
burrr

PS: That's a wicked chart on the quad diagonal...
More...
 
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