Not sure what strategy you are talking about. You mean naked FOTM calls vs FOTM credit spreads? No way you can go 150-200 points otm on the call side and get a better credit. Two pages ago i posted a screenshot of bear call spreads using the spx and es options. If you look at that you will see the puny credits. I still don't like selling call side premium into an increasing iv(if thats what we are getting into) but if you must go that route i'd stay CTM with ES options and swing the moves. Just my opinion.
SPX Credit Spread Trader
- Thread starter El OchoCinco
- Start date
Not sure what strategy you are talking about. You mean naked FOTM calls vs FOTM credit spreads? No way you can go 150-200 points otm on the call side and get a better credit. Two pages ago i posted a screenshot of bear call spreads using the spx and es options. If you look at that you will see the puny credits. I still don't like selling call side premium into an increasing iv(if thats what we are getting into) but if you must go that route i'd stay CTM with ES options and swing the moves. Just my opinion.
Brokers many times use the mid-point, the average price or the last price to derive the deltas and this can lead to differences. Especially if they are not off by too much...
I believe, the deltas from Optionsxpress Option Pricer are based on a "Theo Value" (in red) given a single IV estimate for all strikes.
This can lead to a "Theo Value" that is somewhat far away from where the actual market is due to skew etc.
The further OTM strikes will have larger divergence.
MoMoney.
This can lead to a "Theo Value" that is somewhat far away from where the actual market is due to skew etc.
The further OTM strikes will have larger divergence.
MoMoney.
YW. You might get a "better" delta when using the "Implied Volatility Chains" view as the deltas here are caculated from market prices.
These should match up slightly better with those from thinkorswim given the caveats already mentioned by Phil above.
MoMoney.
These should match up slightly better with those from thinkorswim given the caveats already mentioned by Phil above.
MoMoney.
Jeff:
Thanks for the info. I found your previous post intriguing, but it looks like there is a substantial skew in the pricing of puts versus calls. Integral to my strategy is that I avoid the black swan event to the best of my ability, which currently means no puts. I was a bit disappointed to see that naked call options on futures don't seem to have much value relative to puts. I knew that there would be a skew, but it was much more than I expected.
Thanks for the info. I found your previous post intriguing, but it looks like there is a substantial skew in the pricing of puts versus calls. Integral to my strategy is that I avoid the black swan event to the best of my ability, which currently means no puts. I was a bit disappointed to see that naked call options on futures don't seem to have much value relative to puts. I knew that there would be a skew, but it was much more than I expected.