SPX Credit Spread Trader

For what it's worth: it looks like if naked call options are sold on S&P futures, a similar credit to an SPX bear call credit spread can be received 15 to 20 points further out on the short strike. So A's credit of $0.85 could be gotten (maybe) on a July 1325 ES option sold naked (I'm looking at delayed quotes on the futures options).

The August comparisons that I'm currently looking at suggest that about a 20 point difference in short strikes can be expected.

I'm still trying to decide if this is worth it given that theoretically the risk could be unlimited on the naked futures options.


Quote from Aardvark:

Hey Ryan..its interesting with a low volume day I've gotten a couple of fills...finally got a good chance to roll down my 1245put to 1235....at least getting the target off my back:) also got filled on 1310/1320 calls...a little close to the money but with decent credit. .85. I guess with the "big" boys away we retail mice can play:p
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Quote from Aardvark:

Hey Ryan..its interesting with a low volume day I've gotten a couple of fills...finally got a good chance to roll down my 1245put to 1235....at least getting the target off my back:) also got filled on 1310/1320 calls...a little close to the money but with decent credit. .85. I guess with the "big" boys away we retail mice can play:p
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The mid on the 1310/1320 calls in now $1.10 :eek:

That is a good credit but just too close to the money for me, especially after losing money in June.
 
Compare the risk and the margin requirements of a credit spread v. a naked call and the similarities end pretty fast :). Do not go lightly into naked options based on that kind of comparison. As the market moves against you, the real differences are painfully obvious.

Quote from rdemyan:

For what it's worth: it looks like if naked call options are sold on S&P futures, a similar credit to an SPX bear call credit spread can be received 15 to 20 points further out on the short strike. So A's credit of $0.85 could be gotten (maybe) on a July 1325 ES option sold naked (I'm looking at delayed quotes on the futures options).

The August comparisons that I'm currently looking at suggest that about a 20 point difference in short strikes can be expected.

I'm still trying to decide if this is worth it given that theoretically the risk could be unlimited on the naked futures options.
More...
 
30 points OTM for 3 weeks when buyers are using any excuse to go long.... AVOID!

Also, never place such spreads INSIDE resistance as it will not help you. Stay outside the recent highs if you are doing call spreads.

Quote from ryank:

The mid on the 1310/1320 calls in now $1.10 :eek:

That is a good credit but just too close to the money for me, especially after losing money in June.
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Quote from optioncoach:

30 points OTM for 3 weeks when buyers are using any excuse to go long.... AVOID!

Also, never place such spreads INSIDE resistance as it will not help you. Stay outside the recent highs if you are doing call spreads.
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I'm certainly NOT advocating this spread:eek: however last time we saw 1279 was June 6...so how recent would you go? It is interesting how often markets do go higher during "holiday" periods of low volume (pro players on holiday)...can't help but think we are or soon will be quite overbought (shortterm)

For myself I'm long so many delta's I would welcome the spx threatening my call short:D

edit: your looking at May 8/9 highs I think 1325-1327? so 1330 might be safe
 
Yes the MAY highs of 1325 or so. 1279 is not significant in my opinion because the market has moved through it many times and it is not a significant high.

A new or major high over a long-time period is mroe relevant and any call spreads should be above those significant highs we hit in early May. 1325 is a high going back a few years at least. If we move higher we will definitely test that high again before pausing and moving higher or pausing and pulling back. Placing the spreads a few strikes outside such resistance gives you a better line in the sand to use to determine whether an adjustment is needed or whether the market will truly threaten your short strike.

Quote from Aardvark:

I'm certainly NOT advocating this spread:eek: however last time we saw 1279 was June 6...so how recent would you go? It is interesting how often markets do go higher during "holiday" periods of low volume (pro players on holiday)...can't help but think we are or soon will be quite overbought (shortterm)

For myself I'm long so many delta's I would welcome the spx threatening my call short:D

edit: your looking at May 8/9 highs I think 1325-1327? so 1330 might be safe
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The problem with 1330 is you can't get anything for a spread at least for July. But to sell ES naked call 1330 or above might be a place to look.
 
SPX is showing a volatility level of 12.96, down another 1% from Friday and has traded 125,766 calls versus 311,296 puts giving it a 2.47 to 1 put to call ratio. The p/c ratio for the SPX has also gained some strength since Friday. The big cap index is currently trading up 7.86 on the day putting it at 1,278.06.
 
Hi Coach,

I noticed your ratio put spreads and they look look like something id like to do. Do you also do them with calls? ie buying 100 calls and selling 200 further out the money calls?

Also do you only do the ratio put spreads when ES has fallen and vols increase. l looked at some of the strikes using SPX (as a temp replacement to ES quotes till i sign up to IB) and I think the credit doesnt look as good when vols is low. Or can you open these positions in high or low vols environment.

Thanks in advance.
 
Quote from ready:

SPX is showing a volatility level of 12.96, down another 1% from Friday and has traded 125,766 calls versus 311,296 puts giving it a 2.47 to 1 put to call ratio. The p/c ratio for the SPX has also gained some strength since Friday. The big cap index is currently trading up 7.86 on the day putting it at 1,278.06.
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SPX is up 10 points and VIX is down only .15. Not sure what to make of this.
 
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