SPX Credit Spread Trader

Quote from optioncoach:


The reason I like Put Ratio Spreads is that I have long deltas in front of the short puts. So if the market drops hard, I do not suffer a large paper loss since I am long deltas so I have many choices. Also I have multi-directional profit potential.
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hey now, here is one more thing that we agree on besides JA, you surprise me phil. LOL

I currently hold a 1075/1050 ratio put spread. Did a 1100/1075 in June. Apparently i am a bit more conservative than you yet again. I am liking those trades alot on the put side lately, especially if you catch a vix spike to sell at :)
 
Quote from scienter:

Does anyone have experience trading close to the money (CTM) credit spreads (10-15 pts), within a 30 d expiration period, by following simple TA approach, such as 5,5 stochastic crossovers?

I back-tested the past year and found approximately a 70% win rate...Of course you wouldn't want to bet the farm on this....but with a fairly attractive r/r (usually credits of 2.0+ for a 5 pt spread), it may be an approach one could use to supplement FOTM spreads. Anyone with thoughts or experience with such an approach? Thanks
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Actually what ive being doing is even simpler than that(ma crossovers?). I do it at/near the 3-month highs/lows. Been doing it for 18+ months now. 90% win rate in my case with 20-25 points OTM. However, it was all due to the relatively tame rangebound market. Past experience/back testing is no guarantee of future results :)

With IV increasing i am beggining to lean on long vega bets using debit put spreads at the highs and credit ratio put spreads at the lows.
 
Quote from Prevail:

this is largely a function of the rut's nearly double volatility of the sp. more premium nonetheless, thanks for the analysys.
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Semi-newbie question here, but what are ER2 options?
 
Quote from nravo:

Semi-newbie question here, but what are ER2 options?
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RUT is the Russell 2000 index, and futures
ER2 is the EMini RUT futures on Globex
IWM is the ETF version of RUT (like SPY is for SP)
RMN is a mini RUT index (RUT/10) that trades options.
KRH is the Kurt Russell index. It tracks the number of times KR and Goldie Hawn are discussed in the tabloids. I was long KRH for years, but it crashed in 2001 along with the techs.
 
it is not a limit for the entire day, just intraday. if the cash continues then futures will be pegged with almost no liquidity. but the rule does help keep the futures from running like it did in '87 in large part due to portfolio insurance.

Quote from nravo:

But let's say the S&P (cash was up) 8 pecent in one day, which I believe has happened, although I could be wrong. Would the S&P futures somehow have a cap of a 5% increase until the next trading day, seems had to image the futures would have a cap but the cash market wouldn't.
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You have to remember that when I moved to SPX, I had to give up on put ratio spreads due to the large margin requirements.

Now with ES options and risk-based margins, I am free :). I could do the same with SPX options but I like ES more for matching my hedges and splitting the b/a spreads.

I will still post my SPX trades which are being done in the non-prop account so I have not left any of you behind (_|_).

Put ratio spreads are still credit spreads afterall lol...

So between the two we will get some nice diversity between the two.

Quote from rallymode:

hey now, here is one more thing that we agree on besides JA, you surprise me phil. LOL

I currently hold a 1075/1050 ratio put spread. Did a 1100/1075 in June. Apparently i am a bit more conservative than you yet again. I am liking those trades alot on the put side lately, especially if you catch a vix spike to sell at :)
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Hmm...stretching some definitions LOL.

Time for new thread and new title me thinks.

Seriously, when this thread hits 1 million views, ET is going to break, I'm sure of it :D

Quote from optioncoach:

Put ratio spreads are still credit spreads afterall lol...
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Quote from optioncoach:

You have to remember that when I moved to SPX, I had to give up on put ratio spreads due to the large margin requirements.

Now with ES options and risk-based margins, I am free :). I could do the same with SPX options but I like ES more for matching my hedges and splitting the b/a spreads.
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phil,

all in all we are not that different afterall despite our disagreements in the past LOL

I think our differences spawn from the whole hedging issue. You are confident and believe you can protect your spreads via hedging/closing/adjusting while i do not. Hence i limit my risks by staying closer.

I am interested to see how your trade the ratio verticals as i do quite a few of those as well.
 
one place to start is to calculate expectency. (.7* 2) - (.3*3). 1.4-.9 equals .5. this is before trading costs. an early exit would easily bring the theoretical loss down.

my countertrend trading system had nearly 15 consecutive winning trading signals from dec to may. countertrend models have higher winning rates but they are even more pronounced in the sp so a premium selling method on it with strict exits is typically viable. this is one of the reasons rally does well.

Quote from scienter:

Does anyone have experience trading close to the money (CTM) credit spreads (10-15 pts), within a 30 d expiration period, by following simple TA approach, such as 5,5 stochastic crossovers?

I back-tested the past year and found approximately a 70% win rate...Of course you wouldn't want to bet the farm on this....but with a fairly attractive r/r (usually credits of 2.0+ for a 5 pt spread), it may be an approach one could use to supplement FOTM spreads. Anyone with thoughts or experience with such an approach? Thanks
More...
 
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