Quote from iprph90:
hi guys, SET= 1264.71
SPX Credit Spread Trader
- Thread starter El OchoCinco
- Start date
Hey Mo:
I just started reading riskarb's new journal. Ugggh!
What's it gonna cost me to have you translate
I just started reading riskarb's new journal. Ugggh!
What's it gonna cost me to have you translate
Quote from momoneythansens:
You have to use your imagination when deciphering 'arb speak. Riskarb squeezes a lot of information into very few words = knowledge compression and high efficiency.
A (long) fly is short body, long wings.
A (long) time fly is short body (near month), long wings (back month)
a.k.a straddle/strangle swap which is a subset of the double diagonal class.
A short front month strangle and a long back month outer strangle is also a double diagonal or following on from the time fly nomenclature it could be called a time condor????
All good!
[ADDENDUM: Each diagonal can be dissected as a vertical and a calendar and thus behaves exactly as if you had both the corresponding vertical and the calendar positions! It all makes sense really]
Half the battle in any industry/domain is the jargon.
MoMoney.
Coach:
Whew! I have been sweating bullets the last two days. I had sold 30 1245/1255 bull put spread on 5/15 when the SPX was at 1290. I had a partial SPY hedge on but not near enough to cover my total margin risk. Once the market started to move south, I should have closed or rolled the position but the market was moving too fast at the time and I would have been at the mercy of the MM's and would have had to take a substantial loss.
Yesterday, I also had the same feeling that the market would level off and that there was no news coming out today which would give us a mild set. I was lucky you had the same short to provide insight. Your post yesterday reaffirmed what I was thinking. What I never anticipated was the 10 point drop after 3:30PM yesterday. At that point I would have had to take about a $6,000.+ loss. In the end though, I think it just came down to dumb luck(emphasize dumb) on my part and it's not something I would want to go through again. I also will have a post it on my computer - Remember 1245/1255-May 19, 2006.
Thanks again coach for you foresight and input to this thread. I also want to thank all other posters, (Mo, Rally, Riskarb, Cache, etc.) whose insight and critical evaluation has taught me to seek other means and methods besides credit spreads to increase my overall awareness of the options.
Whew! I have been sweating bullets the last two days. I had sold 30 1245/1255 bull put spread on 5/15 when the SPX was at 1290. I had a partial SPY hedge on but not near enough to cover my total margin risk. Once the market started to move south, I should have closed or rolled the position but the market was moving too fast at the time and I would have been at the mercy of the MM's and would have had to take a substantial loss.
Yesterday, I also had the same feeling that the market would level off and that there was no news coming out today which would give us a mild set. I was lucky you had the same short to provide insight. Your post yesterday reaffirmed what I was thinking. What I never anticipated was the 10 point drop after 3:30PM yesterday. At that point I would have had to take about a $6,000.+ loss. In the end though, I think it just came down to dumb luck(emphasize dumb) on my part and it's not something I would want to go through again. I also will have a post it on my computer - Remember 1245/1255-May 19, 2006.
Thanks again coach for you foresight and input to this thread. I also want to thank all other posters, (Mo, Rally, Riskarb, Cache, etc.) whose insight and critical evaluation has taught me to seek other means and methods besides credit spreads to increase my overall awareness of the options.
Quote from optioncoach:
I did not close the spread actually. I started shorting futures going into the close and we bounced off a pivot point support in the after hours and floated higher so I pulled them off and just went with my gut that we would be flat to slightly higher at the open on Friday with lack of news and people needing to digest the past few days events. Also no one wanting to take on major posiitons before the weekend.
I tried to be cute and scalp a little in the prop account on the 1250/1255 spread when the market was near 1320 or so. It was just out of my comfort zone and not in my normal trading nature and I almost had to eat a nice loss. Well it is a mistake I really would rather not make again
So I will be putting a POST-IT on my computer with "1250/1255" written on it to remind me of what could happen if I try to get cute and sneak some premium out of the market. We were up to flat in the opening 30 minutes so far, so SET will definitely not be 6 points lower than the opening.
Let my almost mistake be a lesson to all LOL...
Ha! Well since, Riskarb is charging for educating me, I'll just pass on the costs to you for translation services LOL.
Have a good day all, I'm off. Aardvark, I'll get back to your questions tomorrow if OK.
MoMoney.
Have a good day all, I'm off. Aardvark, I'll get back to your questions tomorrow if OK.
MoMoney.
Quote from rdemyan:
Hey Mo:
I just started reading riskarb's new journal. Ugggh!
What's it gonna cost me to have you translate
Here is a 2 year chart on the SPX. For those who have followed my posts the past few months, i wasnt comfortable opening put positions until we got our correction. I think the correction is now here. There is maybe a lil more room to go down(if the 200 MA doesnt hold) but i do not see us dipping below 1240 and staying there, if we go that far.
1240 is not only a major support area for this bull market but is also the breakout level of the October's rally. I'd say this is a pretty good entry no matter how far from the market you position yourself.
Of course, all this TA mumbo jumbo goes out the window if this is the end of the bull market and bad news keeps coming out. I am going away for a few days. Everyone have a great weekend!
May results:
1335/1340 for $1.6 credit = worthless
Return on Risk 47%.
June positions:
1235/1240/1355/1360 IC for $2.95 credit.
1240 is not only a major support area for this bull market but is also the breakout level of the October's rally. I'd say this is a pretty good entry no matter how far from the market you position yourself.
Of course, all this TA mumbo jumbo goes out the window if this is the end of the bull market and bad news keeps coming out. I am going away for a few days. Everyone have a great weekend!
May results:
1335/1340 for $1.6 credit = worthless
Return on Risk 47%.
June positions:
1235/1240/1355/1360 IC for $2.95 credit.
Looks like my caution might have caused me to miss the boat. Still, better to not chase a trade an receive a really poor credit.
I gotta say, the fills on the put side have been horrible the last several months.
I gotta say, the fills on the put side have been horrible the last several months.
Riskarb,
In your previous post, you recommend closing out the shorts with less than 2 weeks left to reduce gamma risk.
On diags, would you recommend the same thing ? What happend if the shorts is not in the money but expensive to buy back ?
Do you scalp against the delta using stocks or future or what ?
Thanks,
-Nick
In your previous post, you recommend closing out the shorts with less than 2 weeks left to reduce gamma risk.
On diags, would you recommend the same thing ? What happend if the shorts is not in the money but expensive to buy back ?
Do you scalp against the delta using stocks or future or what ?
Thanks,
-Nick
Hi Nick, hows your double diagonal going? Not quite as sideways as you'd have liked this week huh? Nice to see the journal is still ticking along.
RE: gamma scalping - this really is best done in the last two weeks when kurtosis kicks in IMO so I would say the recommendation does not apply to the time fly position.
You can always scalp with options too.
Right, really must go damnit!
MoMoney.
RE: gamma scalping - this really is best done in the last two weeks when kurtosis kicks in IMO so I would say the recommendation does not apply to the time fly position.
You can always scalp with options too.
Right, really must go damnit!
MoMoney.