SPX Credit Spread Trader

Quote from riskarb:

I don't refute there is significant $prem left. Simply that the execution risk as a % of $prem is extraordinarly high. The gamma value for deep otm positions with 15d or less is small, but increases much like an exotic barrier touch option.

Maybe run 50% of your allocation at 45d, the remainder held for opportunties with 15d to expiration. You're limiting your exposure by 50% with a similar decay profile.
More...

Good point. Thanks for the suggestions.
 
Quote from cdowis:

>With 15d left on these positions there is usually significant premium left to claim.

How well do you sleep at night during the last week of exp?

Stepping in front of a bulldozer to pick up a dime, or a dollar. Same feeling of fear for me.

Remember that the margin is still the same. As Dan points out, your **ROI** is better served by moving on to a new month.
More...

In his example the margin is actually half, 20 FOTM spreads vs 10 OTM spreads both with 10 points between the short and long.
 
Quote from riskarb:



The 45d/15d rollover has a better R/R w/o the gamma risk of the 30d to exp play, that's all. The variance on execution exceeds the credit remaining with < 15d to expiration when trading 2sigmas otm. I think you would be pleased with the 45d/15d strategy. Regardless, I don't recommend either, but I am happy to see you all doing well.
More...

I've found myself gravitating to the 45d-15d rollover or there abouts, I used to go more towards 35d-0d. The last two weeks on my FOTM positions hardly budge, they are always stuck at .10-.20ish so I haven't been sticking around for expiration.
 
Quote from ryank:

I've found myself gravitating to the 45d-15d rollover or there abouts, I used to go more towards 35d-0d. The last two weeks on my FOTM positions hardly budge, they are always stuck at .10-.20ish so I haven't been sticking around for expiration.
More...

I completely agree for 2sigma FOTM positions. This changes dramatically for 1sigma OTM. There is generally still a significant amount of premium left, but I believe the 45d-15d strategy still applies with some degree of validity.:)
 
Quote from Cache Landing:

I completely agree for 2sigma FOTM positions. This changes dramatically for 1sigma OTM. There is generally still a significant amount of premium left, but I believe the 45d-15d strategy still applies with some degree of validity.:)
More...

Since there's no theta in FOTM spreads, i would agree that going 45-15 is probably better.

With regards to closer OTM spreads(20-40 points), i see no benefit in going to 45-15 from 30-0. If anything it's somewhat detrimental as i now have to worry about getting mid point twice on a wide b/a spread(once at 45 and then at 15, most likely you will give up credit both times). The spreads are narrower with <7d to expiry i.e. better time to close/roll if necessary. -vega exposure is insignificant this close to the market.

my 2 cents on the subject
 
Quote from volatilitypimp:

coach phil,

we are approaching page 1000! what do you propose to the first person who posts on that page?

how about a date with JA and at the end of the evening she will honk on bobo. :D
More...

actually i am on page 149 :)
 
Well if you go to the most posts per page in the option section it will get you to 149 pages which might be easier to read lol...

I keep debating about starting a new thread on the 1 year anniversary but afraid we will lose all the old good stuff lol..
 
Quote from codyhopkins:

Is it me, or is TOS's data been very sketchy lately (including today!)
More...

None of the indexes in the box on the left are working. Happened just a little bit ago. Not sure if that is affecting the chains or not, doesn't look like it at first glance.
 
You must log in or register to reply here.
Back
Top