SPX Credit Spread Trader

rallymode · May 31, 2006

Quote from ryank:

I was one of those June 1230/1240 put people. This was the first time I have been burnt since October/November of last year I think (this time was more painful).

i am just curious, you dont have to share if you dont want to but what was the loss in % terms of credit received?

Cache Landing · May 31, 2006

Quote from rallymode:

Actually cache, those are annual goals. My SPX strategy is positioned for 10-20% annually while my aggressive port aims for 30-40%. Although i usually bring in an average of 70% return on risk, i only risk 3-5% of port value. Those are all annual and are just goals, only relevance of the goal number is the risk i take, it is centered around those goals. I am also positioned for a max of 5% drawdown.

By the way, george soros made an average of 30% over 25+ years if i am not mistaken. If you guys can do better than that consistently my hat's off to you.

That makes more sense. I was assuming you were referring to return on risk.

Admittedly I am a bit more aggressive in regards to total port gains.

rallymode · May 31, 2006

Quote from Cache Landing:

Admittedly I am a bit more aggressive in regards to total port gains.

cache, how old are you?

rallymode · May 31, 2006

Quote from ryank:

I've been averaging mid single digits per month and been pretty happy. Maybe I need to up my expectations!

the difference being you are probably risking upwards of 50% of port funds to gain 5% or so a month. I am risking 3-5% to gain around 2-3%. That's one of the reason's why i prefer close to the market spreads.

Cache Landing · May 31, 2006

Quote from rallymode:

cache, how old are you?

That's top secret.

Young enough to still be quite aggressive, but old enough to have been trading options for a while. And I wasn't some child prodigy like riskarb.

ryank · May 31, 2006

Quote from rallymode:

i am just curious, you dont have to share if you dont want to but what was the loss in % terms of credit received?

You are making me look at that ugly trade again

. I took in .55 and got out at 2.30. So my loss was 1.75 or about 3x my initial credit :eek:

Here is an update of my OTM vs CTM paper trade:

May 16th
10 June 1215/1225 puts, credit of $.50 = $500 with $9500 risk

May 17th
5 June 1240/1245 puts, credit of $1.20 = $600 with $1900 risk

May 22nd
1215/1225 puts mid is $1.00 = loss of $500
1240/1245 puts mid is $.80 = gain of $200

May 31st
1215/1225 puts mid is 1.2 = loss of $700
1240/1245 puts mid is .85 = gain of $175

El OchoCinco · May 31, 2006

Riskarb is no child prodigy... he is just a child

Just want to see if he is listening lol

Quote from Cache Landing:

That's top secret.

Young enough to still be quite aggressive, but old enough to have been trading options for a while. And I wasn't some child prodigy like riskarb.

Cache Landing · May 31, 2006

Quote from rallymode:

the difference being you are probably risking upwards of 50% of port funds to gain 5% or so a month. I am risking 3-5% to gain around 2-3%. That's one of the reason's why i prefer close to the market spreads.

This is the point where we are similar. I prefer close to the money for the same reason. I don't have to tie up more than 10% of my portfolio to achieve the desired results.

ryank · May 31, 2006

Quote from rallymode:

the difference being you are probably risking upwards of 50% of port funds to gain 5% or so a month. I am risking 3-5% to gain around 2-3%. That's one of the reason's why i prefer close to the market spreads.

You've got it. That's why I am moving to the CTM spreads, roughly similar reward to OTM but with less risk as per my paper trade example I posted.

rallymode · May 31, 2006

Quote from Cache Landing:

That's top secret.

Young enough to still be quite aggressive, but old enough to have been trading options for a while. And I wasn't some child prodigy like riskarb.

I ask so that i can get an idea if you have any kids, marrying a rich girl would help me with my capital growth. Just trying to listen to coach's advice LOL