SPX Credit Spread Trader
- Thread starter El OchoCinco
- Start date
my NDX puts 1675/1650 are ITM. my risk mngmt self says bite the bullet and close it out. my irrational self says to wait a day or two. who's gonna prevail?
...You gotta know when to hold 'em, know when to fold 'em, know when to walk away, know when to run....
edit: closed put spread, the bears aren't done yet imo.
...You gotta know when to hold 'em, know when to fold 'em, know when to walk away, know when to run....
edit: closed put spread, the bears aren't done yet imo.
Phil,
We also had a small (10 contract) Put Diagonals. It was a mere 10/10 Diagonal. We wanted to track volatility implications.
Here's what was interesting... eventhough the market had run up from our initial position by +25 points, the downside move today allowed us to close that Diagonal Put postiion for a 3% return.
No additional margin was required... but like I said.. just 10 contracts. Didn't want to expose ourselves to any "black swan" wipe-out events.
Again... just another weapon to use in the diagonal strategy.
In Summary:
I feel the diagonal allows you to trade what the market gives you, rather than what the market tells you to do. I like this approach!
Our backtesting has shown, out of 12 months, you should expect 5 months of small to no credit, 4 months of 3-10% monthly returns, 3 months of 11-35% returns. This should equate to healthy yearly returns (50%+ with no black swan fears & very little risk)
We have requested ToS to support the Ratio Diagonal in the trading platform. Currently you must run it through the trading desk. They will be working on it for future releases.
M~
M~
Murray:
I am actually having some fun and small success with the diagonals. As I re-posted my position you see I put on a small 30 * 24 Diagonal for a $450 credit with a margin requirement of about $96,000.
I have not made any adjustments yet but just have been watching it. I may do more in the prop account since I will not have to worry about margin as much and do larger size as your group is doing. I think the flexibility for using it on the upside interests me as opposed to chasing tiny credits with call spreads due to the skew.
I am looking at a JULY JUNE one after MAY expiration and will see what strikes I like depending on the location of the index next week.. [/QUOTE]
We also had a small (10 contract) Put Diagonals. It was a mere 10/10 Diagonal. We wanted to track volatility implications.
Here's what was interesting... eventhough the market had run up from our initial position by +25 points, the downside move today allowed us to close that Diagonal Put postiion for a 3% return.
No additional margin was required... but like I said.. just 10 contracts. Didn't want to expose ourselves to any "black swan" wipe-out events.
Again... just another weapon to use in the diagonal strategy.
In Summary:
I feel the diagonal allows you to trade what the market gives you, rather than what the market tells you to do. I like this approach!
Our backtesting has shown, out of 12 months, you should expect 5 months of small to no credit, 4 months of 3-10% monthly returns, 3 months of 11-35% returns. This should equate to healthy yearly returns (50%+ with no black swan fears & very little risk)
We have requested ToS to support the Ratio Diagonal in the trading platform. Currently you must run it through the trading desk. They will be working on it for future releases.
M~
M~
Murray:
I am actually having some fun and small success with the diagonals. As I re-posted my position you see I put on a small 30 * 24 Diagonal for a $450 credit with a margin requirement of about $96,000.
I have not made any adjustments yet but just have been watching it. I may do more in the prop account since I will not have to worry about margin as much and do larger size as your group is doing. I think the flexibility for using it on the upside interests me as opposed to chasing tiny credits with call spreads due to the skew.
I am looking at a JULY JUNE one after MAY expiration and will see what strikes I like depending on the location of the index next week.. [/QUOTE]
As you all know, I was very quiet in May because of Fed and Job report. KJune should be pretty good for Call sellers. Presently I only have :
10 SPX 1340/1350 @1.50. It seems it's going to be safe by next Friday.
The market was in a bubble before Fed. I had plenty of cash but I didn't dare do too much. Here is what I have for June:
15 SPX 1375/1385 @1.00
10 RUT 820/830 @1.50
8 SPY 129 @ 0.70
All orders were placed two days before Fed announcement. I still have possible strikes to go with based on market movement but for now I feel 1370-1375 range is pretty safe for call strikes.
I am looking at 1250-1245 as Short Strikes for My PUTs
I bought the SPY as buffer for when the market goes down I can safely place my Bull Put. I am looking forward to placing some Bull Put today or tomorrow if the MM's want to bite.
10 SPX 1340/1350 @1.50. It seems it's going to be safe by next Friday.
The market was in a bubble before Fed. I had plenty of cash but I didn't dare do too much. Here is what I have for June:
15 SPX 1375/1385 @1.00
10 RUT 820/830 @1.50
8 SPY 129 @ 0.70
All orders were placed two days before Fed announcement. I still have possible strikes to go with based on market movement but for now I feel 1370-1375 range is pretty safe for call strikes.
I am looking at 1250-1245 as Short Strikes for My PUTs
I bought the SPY as buffer for when the market goes down I can safely place my Bull Put. I am looking forward to placing some Bull Put today or tomorrow if the MM's want to bite.
Assuming this was MAY you only got a week left. I do not follow the NAZ so do not know the support levels but we had a nice down move today on all markets but not far enough to signal a crash coming given the huge run up. We might pause a bit the next few days as we move around so you might get theta help. IN general it is hard for me to say where support is since I do not follow the index.
If you have the room you could keep moving down and increasing size and avoid hte Martingale due to the fact that by next week the whole thing ends as long as you have capital. Not the safest way but we will find a short-term bottom soon within the week
However look for another shoe to drop soon and push us lower as a sign to make an adjustment. YOu could convert the ratio put spread to a butterfly and perhaps limit the risk.
If you have the room you could keep moving down and increasing size and avoid hte Martingale due to the fact that by next week the whole thing ends as long as you have capital. Not the safest way but we will find a short-term bottom soon within the week
However look for another shoe to drop soon and push us lower as a sign to make an adjustment. YOu could convert the ratio put spread to a butterfly and perhaps limit the risk.
Be carefull with NDX. There is a huge divergence in this sector. The Dow and S&P were making new all time high when Nas was at less than 50% of its all time high.
I have traded NDX before but I would prefer playing RUT rather than NDX and MNX.
Reason: This a commodity market right now: energy, metal etc.. . Nas is 80 to 90% tech.
Cisco, DELL, GE, MSFT, JNPR ,INTC.. They all warned in the last 30 days.
These are the reason you should stay away. Play S&P and RUT ; they are more diversified.
JMHO
I have traded NDX before but I would prefer playing RUT rather than NDX and MNX.
Reason: This a commodity market right now: energy, metal etc.. . Nas is 80 to 90% tech.
Cisco, DELL, GE, MSFT, JNPR ,INTC.. They all warned in the last 30 days.
These are the reason you should stay away. Play S&P and RUT ; they are more diversified.
JMHO