SPX Credit Spread Trader

[scienter]

Quote from momoneythansens:

Momoney,

Thanks.

Re: your statement: " A separate value for probability is normaly calculated from the model."

Is their a common model at OX or available on the web that is used that you are aware of?


Re:

"It might be helpful not to think about sigmas in terms of credit spreads and short strikes. Rather, think about it in terms of where the underyling might be at a certain date in the future."

I guess that what I was referring to originally when I asked about a "point of reference" from which sigma would be calcualted from. So, using todays closing level of approx. 1280, if I wanted to wait for a 1 sigma move b/f placing my spread, how would I calculate it, esp. if I want to use IV to calcualte it instead of statistical/historical volatility?

Would it be horribly wrong if I were to look at the delta's for underlying calls and puts tonight and identify those strikes at .32 and say..ah hah.. . you little bastards, if on Tues the market were to move to your stike levels, we have experienced a 1 sigma move?

In otherwords, quite simply, how do I know when a 1 sigma move has occured from current levels?

Thanks to all of you have weighed in on this discussion. It has been exteremely helpful to a relative newbie who is still trying to define his comfort llevel with this trading technique.

Happy holidays. I'll be staining my deck.


MoMoney. [/B]

 

[Aardvark]

Quote from Crucis:

I just filled a 1305/1315 for $1.00. Had the oder out for about 15 minutes.

I assume thats a call spread Crucis...I hope its a debt spread :eek: we have a way's to go guys the market could just melt up from here....

 

[riskarb]

Quote from rallymode:

Do you ever trade r/rs as directional trades? Apart from hedging your exotics with them.

All the time. The first two in the journal were directional, not hedges.

 

[Aardvark]

earlier today I did get filled on some of my calls...short 1320(1340long) but held back on putting them all on...I haven't a clue where the market will go the first two weeks of June and don't think anyone else does either

 

[riskarb]

Quote from codyhopkins:

I think he said 1305/1315 natural on close was $2.05

My mistake, deleted.

 

[rallymode]

Quote from Cache Landing:

Or a few bear calls and long ATM puts. We'll see.

+puts -calls, that's riskarb's bear risk reversal. Any reason why you want to go long an ATM put vs an OTM one?

 

[Cache Landing]

Couldn't get filled trying to buy back the bull puts. MMs weren't budging at all. No matter. I actually think we are going to start the day positive on Tuesday. That should present a good opportunity.

 

[Cache Landing]

Quote from rallymode:

+puts -calls, that's riskarb's bear risk reversal. Any reason why you want to go long an ATM put vs an OTM one?

That's true, it just doesn't have the stank on it that Risk has with the naked shorts. I like the ATM because I'm not entirely convinced that we will get back below 1260. I want the deltas.

 

[Cache Landing]

Risk,

Any instant disadvantages to constructing a version of the R/R by replacing the short calls with a bear call spread? I just want to make sure I haven't missed something.

 

[andysmith]

Rally, I can't see it going passed 1285 or so.... SOX is dead and NAS is comatose... 'course that could change...

Quote from rallymode:

Alright, now that we had our bounce thanx to the Memorial Day Rally (cache, promotion worked LOL) what is next for our beloved index?

We are closing at a relatively weak resistance point here. If we get through 1280-1282, i see a continued move into the 1290-1300 area. Now that's where i expect MAJOR resistance. I do not see the SPX going over 1300 unless something really positive comes out of the economic reports over the next week or two.

1290-1300 would be a pretty good area to open bearish position, however i wouldnt go the credit call route this time around. As always just my opinion.

Have a great holiday guys!