SPX Credit Spread Trader
- Thread starter El OchoCinco
- Start date
Regarding our discussion of a call vertical with a put diag combination.
The call vertical is helped by the vega, but, at the same time, hurts the put diag, and the gamma hurts both the vertical and the diag. The position appears to get very ugly on bullish moves, even with decreasing IV.
Basically, the trade-off is where the sag is found on the position:
the sag is in the middle of a dual diag,
on the two extremes of a iron condor,
and to the upside of this position.
It looks to have a strong bearish bias, rather than neutral. Maximum loss begins to occur before before it comes anywhere near the short call (compared to the IC).
Again, just an observation of an interesting position.
The call vertical is helped by the vega, but, at the same time, hurts the put diag, and the gamma hurts both the vertical and the diag. The position appears to get very ugly on bullish moves, even with decreasing IV.
Basically, the trade-off is where the sag is found on the position:
the sag is in the middle of a dual diag,
on the two extremes of a iron condor,
and to the upside of this position.
It looks to have a strong bearish bias, rather than neutral. Maximum loss begins to occur before before it comes anywhere near the short call (compared to the IC).
Again, just an observation of an interesting position.
Jeff,
Since we're moving toward the direction of 'Hair Cut' margin, I'd be curious if you would share what the 40pt Span margin requirement was...
Thanks.. Murray
Since we're moving toward the direction of 'Hair Cut' margin, I'd be curious if you would share what the 40pt Span margin requirement was...
Thanks.. Murray
Quote from jeffm:
The trades were ES options, which ToS doesn't offer. I trade them through IB. I would move to ToS in a heartbeat if they had globex futures options and SPAN margin. Instead, I am going to either rollover a small retirement account to ToS, or just stick $3500 in a cash account with them so I can have access to their software.
The span margin for a 40 point diagonal isn't prohibitive. The max loss potential on a 40 wide diagonal may be prohibitive. I leave that decision to the individual trader.
Mark,
It really is interesting in that last week. GAMMA is fun to watch... and with the Diagonal... you're coaching it on and not feeling to pinched like you are in credit spreads.
Unfortunately, the VIX fell significantly... killed us... but fortunately, it closed .25 away from maximum return point.... that's two months in a row...
Better to be lucky and manage risk, than be good at guessing without direction.
M~
It really is interesting in that last week. GAMMA is fun to watch... and with the Diagonal... you're coaching it on and not feeling to pinched like you are in credit spreads.
Unfortunately, the VIX fell significantly... killed us... but fortunately, it closed .25 away from maximum return point.... that's two months in a row...
Better to be lucky and manage risk, than be good at guessing without direction.
M~
I'd be happy to tell you if I knew the answer SPAN margin looks at your whole portfolio, so unless you only have 1 trade on, its hard to tell what the margin is for any individual trade.
You can also check your margin before and then after a trade. But that still may not be a good indicator, depending on how much other stuff you have working in the portfolio. Particularly if you have multiple trades in the same underlying.
When my AUG options clear out on Monday, I will put on a 1-lot SEP1200/OCT1240 diag and check the best-guess margin.
SPAN margin looks at your whole portfolio, so unless you only have 1 trade on, its hard to tell what the margin is for any individual trade.You can also check your margin before and then after a trade. But that still may not be a good indicator, depending on how much other stuff you have working in the portfolio. Particularly if you have multiple trades in the same underlying.
When my AUG options clear out on Monday, I will put on a 1-lot SEP1200/OCT1240 diag and check the best-guess margin.
I tried that one today, no fill. Looking at this one and the 1350/1375 calls but don't like the large negative dip at current vol. Haven't found a good ATM diagonal to take care of the dip without the 1225/1250 collapsing and going negative. Although, if we drop vol should increase and push the low end into a positive, alot depends on what happens to vol.
Murray:
In looking at your results, it kind of looks like you almost have to have a DD on. If the market moves in one direction or the other, the further removed position will probably lose money, while the one being moved towards can make good money as long as the short is not breached (and even if the short is breached a limited amount of ITM can be tolerated depending upon the BE).
Do you agree with my assessment?
In looking at your results, it kind of looks like you almost have to have a DD on. If the market moves in one direction or the other, the further removed position will probably lose money, while the one being moved towards can make good money as long as the short is not breached (and even if the short is breached a limited amount of ITM can be tolerated depending upon the BE).
Do you agree with my assessment?