SPX Credit Spread Trader

Quote from Cache Landing:

1050 is adventurous? Let me guess... June ratio spread?
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yes, i have a 1075/1100 ratio spread for $1 credit. got it when the vix was at 19. Breakeven is 1050, then after that i am all naked in the hands of the black swan gods. LOL

I am a conservative trader but 15% below an oversold market is a pretty good distance. I can sleep with this.

I expect to do quite of few of those actually when/if the vols come back to the market. I am a big fan of ratio spreads on both sides. There are some great ways to adjust them with verticals. The big risk is you are left naked past your breakeven point. While you may do very well going 1 sigma away on the call side, you need to really crash proof yourself on the put side so that you are not taken out by a crash like '87. September 11 would've been a non issue.
 
Coach
I am reading cottle's hidden reality. Most of it is going over my head but i am getting greater insights into MMs perspective.
Now, i know where you get some of your lines like, "i tried to be cute". :)
 
Quote from nils:

Mod's must have some new directives. I posted some info from another site on a different thread. Was told since that site was not an advertiser, I should not post their info.

As you said, it's their playground and their rules.

Can't complain much; ET is still the best I've found for what they do.
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What is it they do? other than allow you to pretend to be a trader. Perhaps you could post some trades, or make some recommendations. My guess is your no trader, and your scared to death to put on a trade, so you spend all day pretending to be one by posting trader chit chat on ET.
 
Aardvark,

Don't you have a 1375 call you were going to try and do something with? Probably about worthless at this point isn't it?
 
Newbie question related to Butterflys. I was examining the P&L chart on a OEX 580/585/595 Butterfly this morning and noticed that it paid a credit of around .80 and had the potential to make 5.00 or so at expiration wth the OEX @ 585. I'm wondering if you put this position on, how does the P&L chart look DURING the next 3 weeks leading up to expiration ... is there a OEX price where you could close the position and scalp some premium prior to expiration .... under what conditions ? Thx.
 
Thanks Cache,

I use OX and I'm not aware of any app. that calculates probability...they do have a pricing app. though.

Re: the use of delta as an approximation, I assume a delta of .05 would equate to 5% chance of finishing in the money.

Also, when IV spikes higher than historical vol., is there any tool that estimates the probability that the IV will remain above historical vol. (or at it's current levels) for a particular period of time?

I would like to try to estimate the the likelihood that the IV input into the sigma calculation will remain at or below that level for a particular period of time.

So for example, let's say today's prob. of 1320's finshing OTM by JUN expir. is 95 % based on an current IV of 18. If IV is trending up however, that prob. may decrease with time as IV increases.

Is there something that could tell me that the likelihood of IV remaining at or above 18 for the next threee weeks is ___?

This would then give me a cerain level of confidence around my sigma calcualtion.

Quote from Cache Landing:

I could explain how to calculate 1/2/3 st. deviations but it would be easier to simply use analysis software to do it. You'd waste a lot of time trying to compute it all the time. Two quick solutions.

1) If your broker's platform is good then it should have that info for you. I use TOS mainly and I love it.

2) You can use the delta of the strike you are looking at to determine an approximation of its likelihood of expiring ITM. Given that 1 sigma is 67%, 2 sigmas about 95%, and 3 sigmas about 99%.
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Wag,

I assume by Prcie, you mean price of the short strike?



Quote from chaswagg:

SIGMA=IV*P*SQRT(D/252)

IV-IMPLIED VOLATILITY
P- PRICE
D- DAYS TO EXPIRATION

1 SIGMA 68%
2 SIGMA 95%
3 SIGMA 99%

wag
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Quote from scienter:

Also, when IV spikes higher than historical vol., is there any tool that estimates the probability that the IV will remain above historical vol. (or at it's current levels) for a particular period of time?

I would like to try to estimate the the likelihood that the IV input into the sigma calculation will remain at or below that level for a particular period of time.

So for example, let's say today's prob. of 1320's finshing OTM by JUN expir. is 95 % based on an current IV of 18. If IV is trending up however, that prob. may decrease with time as IV increases.

Is there something that could tell me that the likelihood of IV remaining at or above 18 for the next threee weeks is ___?

This would then give me a cerain level of confidence around my sigma calcualtion.
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Nope, this is where skill in reading the market comes in. You can use tools like www.ivolatility.com to look at what happened historically though, but all the guestimates will have to be your own.
 
Quote from myminitrading:

What is it they do? other than allow you to pretend to be a trader. Perhaps you could post some trades, or make some recommendations. My guess is your no trader, and your scared to death to put on a trade, so you spend all day pretending to be one by posting trader chit chat on ET.
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Hey Mini,
Maybe you should take some of your own advice and go on vacation, instead of spending the time hunting down the posts of others who disagree with you.





I have noticed as of late, my temperament has changed I have become more aggressive towards other posters here. This is not like me at all, I have always been laid back easy going. This is quite disturbing and it has me worried.

I think the best thing to do is take that vacation.

Ciao!
 
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