SPX Credit Spread Trader

[scoobie27]

Quote from Crucis:

OX also allows futures trading. I believe they require a minimum of $25K account balance for futures trading. There is a link on the OX homepage.
http://www.optionsxpress.com

Thanks Crucis, I just have the funds, so will check it out. But i much prefer the look of IB's platform.

By the way, I have just got a reply from IB. He said again that ES can't be put through as a spread order.

However SPX credit spreads can be put through as a spread order, so that one good thing.

Cheers

 

[jeffm]

Remember that ES options (and ES futures) trade exclusively on the electronic Globex platform. When you bring up an ES option chain, what you see is not a reporting of the market in the pit. Your screen IS the market. If you put in an order to sell that is below the current ask, YOUR order becomes the inside ask, and you will immediately see your order on the screen. This has benefits and drawbacks. One drawback is that Globex doesn't handle spread orders very well. In the SPX pit, you can send your order down as a spread and the people in the pit know what to do with it. You need human brains to make sense of how to fill a complicated combo order. Globex doesn't have that kind of flexibility. On the other hand, SPAN margin gives you the flexibility to leg in without requiring a huge account.

Its the same old axiom that's been around for years.
Pick any 2: Good....Fast....Cheap

IB's customer service is legendary, but not in a good way However, your issues with spread orders are related to Globex, not IB. IB will let you setup the spread in TWS, which is handy for monitoring as your position matures. You just can't send the spread order over to Globex.

 

[nlslax]

Quote from rdemyan:

I decide to put in an order today for an August bull call on the SPY to hedge my August SPX 1345/1360 bear calls.

I figured I'd put an order in to buy the 133/134 SPY bull call for August at $0.10.

The mid was $0.10 and the ask was $0.20.

The order was filled in one second at $0.10. That speed surprised me. I had considered trading the SPY several months back and came to the conclusion that, despite the higher commissions relative to the SPX, it could be profitable if one could get filled at the mid on the SPY and if the spread expired (i.e. there would only be commissions to get in). I may look at this again.

What experience have people had getting fills at the midpoint when trading the SPY?

Thanks.

I'm guessing you got filled on ISE (ISE is NISE)...sorry...
I've found that when using the ETF's or MNX, RMN that I get better faster fills when ISE is involved.

 

[scoobie27]

Quote from jeffm:

Remember that ES options (and ES futures) trade exclusively on the electronic Globex platform. When you bring up an ES option chain, what you see is not a reporting of the market in the pit. Your screen IS the market. If you put in an order to sell that is below the current ask, YOUR order becomes the inside ask, and you will immediately see your order on the screen. This has benefits and drawbacks. One drawback is that Globex doesn't handle spread orders very well. In the SPX pit, you can send your order down as a spread and the people in the pit know what to do with it. You need human brains to make sense of how to fill a complicated combo order. Globex doesn't have that kind of flexibility. On the other hand, SPAN margin gives you the flexibility to leg in without requiring a huge account.

Its the same old axiom that's been around for years.
Pick any 2: Good....Fast....Cheap

IB's customer service is legendary, but not in a good way However, your issues with spread orders are related to Globex, not IB.

 

[scoobie27]

Quote from jeffm:

Remember that ES options (and ES futures) trade exclusively on the electronic Globex platform. When you bring up an ES option chain, what you see is not a reporting of the market in the pit. Your screen IS the market. If you put in an order to sell that is below the current ask, YOUR order becomes the inside ask, and you will immediately see your order on the screen. This has benefits and drawbacks. One drawback is that Globex doesn't handle spread orders very well. In the SPX pit, you can send your order down as a spread and the people in the pit know what to do with it. You need human brains to make sense of how to fill a complicated combo order. Globex doesn't have that kind of flexibility. On the other hand, SPAN margin gives you the flexibility to leg in without requiring a huge account.

Its the same old axiom that's been around for years.
Pick any 2: Good....Fast....Cheap

IB's customer service is legendary, but not in a good way However, your issues with spread orders are related to Globex, not IB. IB will let you setup the spread in TWS, which is handy for monitoring as your position matures. You just can't send the spread order over to Globex.

Oops stuffed up the previous post

Anyway, I understand what you said but there is a bid and ask price for credit spreads with the size/vol as well. So im guessing someone put it there and and I should be able to hit them. I'll give it a rest for now and im sure i'll work it out as i trade along.

Thanks

 

[jeffm]

Quote from scoobie27:

Oops stuffed up the previous post

Anyway, I understand what you said but there is a bid and ask price for credit spreads with the size/vol as well. So im guessing someone put it there and and I should be able to hit them.

You can go back and edit a previous post.

If you create a spread order on TWS, what you see as the bid/ask is just copied over from the appropriate legs of the spread.
I.e.
AUG 1345C 0.60x0.90
AUG 1360C 0.25x0.45
1345-1360 spread shows up as 0.15x0.65
which is just 0.60-0.45 x 0.90-0.25
It is just a translation of the current prices into the spread quote.

 

[rallymode]

Quote from rdemyan:



What experience have people had getting fills at the midpoint when trading the SPY?

Thanks.

I also have good experiences getting filled mid point on 2 legged spy combos almost instantly. Never had to wait more than a few mins, sometimes i even get fills a few pennies better than the mid, other times i even unintentionally grab the edge early or late in the trading session during volume spikes.

 

[scoobie27]

Quote from jeffm:

You can go back and edit a previous post.

If you create a spread order on TWS, what you see as the bid/ask is just copied over from the appropriate legs of the spread.
I.e.
AUG 1360C 0.60x0.90
AUG 1345C 0.25x0.45
1345-1360 spread shows up as 0.15x0.65
which is just 0.60-0.45 x 0.90-0.25
It is just a translation of the current prices into the spread quote.

Thanks Jeff,

Should be

AUG 1360C 0.25x0.45
AUG 1345C 0.60x0.90

But i'll just leg in and not worry about the spread order for ES.

 

[rallymode]

Quote from scoobie27:



By the way, I have just got a reply from IB. He said again that ES can't be put through as a spread order.

This is interesting to me. I remember a few months ago TWS couldnt send ES options combo orders to globex. Then IB rolled an update that allowed it. I distinctly remember the release notes saying so. I've even had fills on ES combo's submitted as a single order.

I guess they must've rolled the update back or come to think of it maybe i just imagined it.

 

[El OchoCinco]

INTERESTING ES DIAGONAL SPREAD.

Just put on the following nice diagonal spread using Long AUG ES option calls and short JULY EOM ES Options Calls:

Long 50 ES Aug 1330 Calls @ 1.60 ($4,000)

Short 45 EW Jul 1300 Calls @ 3.00 ($6,750)

Net Credit = $2,750
Max Theoretical Risk = $67,500
Theoretical Return 4.07%

Risk is theoretical because time value premium in AUG ES Calls will offset short 1300 calls to some extent as short ES calls move ITM but I would not just let it run past 1300 and do nothing anyway as there are many ways to roll up the strikes, move them out to AUG, convert to other positions, etc...

EDIT: EOM ES options are European style if that question was on your mind