SPX Credit Spread Trader

Quote from optioncoach:

You have also added another dimension in that the strikes are not equidistant in a normal Iron FLY. Your calls are only 15 points away from the straddle while the puts are 25 points away.

Are you inserting a bias when you do this?
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Phil,

I believe this may be correct without any directional bias.

Based on studies used for calculation of our ODI indicator, we do the same - taking greater exposure upside.

Nothing to say - Ansbacher index considers market sentiment to be bullish when calls to put price ratio at the same OTM distance is greater than 0.8 (if I well remember). Anyway, "balanced" market means puts are more expensive than calls.
 
I made a simple format for testing ( this or other SPX strategy).
Note : all calcs on the ASK , one should add/deduct spread as needed.
Insert numbers in column "O" only , and double check all ; I did it really fast.
 

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Quote from IV_Trader:

I made a simple format for testing ( this or other SPX strategy).
Note : all calcs on the ASK , one should add/deduct spread as needed.
Insert numbers in column "O" only , and double check all ; I did it really fast.
More...

very weird... all inserted Excel formulas disappeared , displays only values(correct ones). Please disregard.
 
Why? And how long would you hold? And exit rules?

Quote from CALCULON:

I would uniformally take the diagonal or long time fly over the standard long time spread into earnings.
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Quote from andysmith:

Why? And how long would you hold? And exit rules?
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Short too many gammas in the time spread. Benefits of the time-fly are predictability and limited exposure to vol-implosions. Timing depends on asset class. Index can be traded as a rollover-methodology; individual equity positions are trickier. Refer to my post re: goog on page 850.
 
I've done 30 point ATM iron flies (regular, not time) on OEX. Not sure if the this time-fly is any better (aside from being +vega). Need to look at it closer.

Quote from CALCULON:

Short too many gammas in the time spread. Benefits of the time-fly are predictability and limited exposure to vol-implosions. Timing depends on asset class. Index can be traded as a rollover-methodology; individual equity positions are trickier. Refer to my post re: goog
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Quote from andysmith:

I've done 30 point ATM iron flies (regular, not time) on OEX. Not sure if the this time-fly is any better (aside from being +vega). Need to look at it closer.
More...

The vega is a function of individual deltas on the put/call wing combo strikes... larger wing deltas[individually] = larger vegas. Vertical flies are short gamma and vega when atm. I would trade a time fly in much larger numbers due to the reduced, per contract exposure.

This excludes legging into cheap iron flies for reduced risk-outlay.
 
Quote from optioncoach:

I cannot wait until this comes out in English!

Cannot
Understand
Nary a
Thing!

LOL
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That post sounds like Riskarb. Have to read it again and again.
Its like debugging C# code...........
 
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