SPX Credit Spread Trader

FWIW, my double diag did quite well. I am very nervous over an IC right now. Too little premium and too much risk that the market will run away. The double diag likes low vol which increases, and extreme moves (to a certain degree).

Sounds like this market.
 
Quote from momoneythansens:

Scoobie,

Just a word of caution - Elite Trader uses forum software from www.vbulletin.com .This software has built in algorithms (and bayesian network techniques) to detect those annoying spam bots. Alas, these things aren't always 100% accurate at differentiating between genuine users such as yourself and the nuisance spam bots. One of the filters checks to see if a given user ID posts more than 15 times in one day. If this is detected, the software flags that user ID as a probable bot which then usually results in automatic banning of the user by the software. It is a cumbersome and difficult task for the moderators to reinstate the user once this has happened. More than a few unsuspecting ET members have been caught out by this mechanism in the past so watch out! This information is in the "terms of use" that you agreed to when you signed up. Unfortunately, most people don't read them.

Re: ES spreads - suggest a little more research on this topic. The www.cme.com site has the answers you are looking for. I posted some information specifically on ES spreads not more than two weeks ago that might be of assistance.

Good luck!

MoMoney.
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Thanks for letting me know or I might have had to change my handle. I was thinking of "deepseacreature" as I used to just lurk around and pop up every now and then. Didn't have enough knowledge to post and still don't. I think I'll tone it down and go back to lurking the depths of this thread :) Or i might address different posts on my one post to keep under the 15 daily limit.

Got your cme link earlier and have been reading it slowly. Between the cme link, butterflies, diagonals, coach's put ratios spreads...i think im getting analysis paralysis :D
 
A few thoughts on the SPX. I do not believe a discussion of the potential direction of the SPX is OT. Putting on a CS...even FOTM requires "some" bias because in high vol times your 2 sigma OTM could very quickly become 1 sigma then actually threatened. So I would argue that opinion, as long as it is backed up by SOMETHING (fundamental thoughts...a chart or some TA) is welcome.

It appears to me we are becoming oversold very quickly, however in looking at the 3 month chart of the VIX I see we are still much lower (14.4) than the previous two highs. May 22nd VIX almost hit 20 and June 24th almost 24. I would argue if the VIX is only up a couple of points today it may provide a perfect opportunity to put on a Put CS. Our previous lows (on the SPX)were higher...there is a great deal of pessimism in the markets (justifiably). The trend line that Prevail pointed to is still intact.

Personally I try to buy when I am most depressed and sell when I am most optimistic (on the market)..so today I'm buying:(
 
LOL. Hope you realize my post was tongue-in-cheek. Have too much time on my hands at the moment. Suggest you put me on ignore for foreseeable future :D

Feel free to post as much as you want - it ain't my thread. Without questions, there would be no thread.

RE: ES Option Spreads, this is my post earlier on the matter:

ES Option Spread Orders

RE: IB support - you might want to consider live chat features for faster response.

Quote from scoobie27:

Thanks for letting me know or I might have had to change my handle. I was thinking of "deepseacreature" as I used to just lurk around and pop up every now and then. Didn't have enough knowledge to post and still don't. I think I'll tone it down and go back to lurking the depths of this thread :) Or i might address different posts on my one post to keep under the 15 daily limit.

Got your cme link earlier and have been reading it slowly. Between the cme link, butterflies, diagonals, coach's put ratios spreads...i think im getting analysis paralysis :D
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ES Credit Spread Update

Rolled my Partial hedge into a bear put spread for a net credit and gonna buy more ES puts for partial hedges given current environment. Also shorted a few ES futures just for added partial protection in case we have a sharp drop into the afternoon.


7/6/06

Sold 300 July ES 1220/1210 Put Spreads @ $0.55

Credit = $8,250

Risk at Expiration = $141,750

Return = 5.8%

7/7/06

Bought 5 ES JULY 1265 Puts @ 9.25 for $2,312.50

NEW NET CREDIT = $5,937.50

7/13/06

Sold 5 ES July 1255 Puts @ 11.25 for $2,812.50 (Roll above hedge into bear put spread)

New Partial Hedge Position:

1265/1255 Bear Put Spread for net credit of 2.00 or $500.

Bought 5 ES July 1250 Puts @ 9.50 for $2,375

NEW NET CREDIT = $6,375 (gross of course)


Short 3 ES Contracts @ 1256.25
EDIT: COVERED @ 1261.75for loss of $825.00
 
Quote from momoneythansens:

LOL. Hope you realize my post was tongue-in-cheek. Have too much time on my hands at the moment. Suggest you put me on ignore for foreseeable future :D

Feel free to post as much as you want - it ain't my thread. Without questions, there would be no thread.

RE: ES Option Spreads, this is my post earlier on the matter:

ES Option Spread Orders

RE: IB support - you might want to consider live chat features for faster response.
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Oi ! Thats two strikes now ! :mad: :D But alls good, and thanks for the ES spread thread. Also gonna use live chat from now on too. Used to do that on OX and it was quite good.

Markets looking scary. Ooo I feel paralysis comin on. Mmm..maybe I should call handle procrastinator :)
 
My little problem is that I tend to add hedges just when things start to look their worst..... and isn't that usually when the contrarian sentiments take over and push the market back the other way lol :D.

Better safe than sorry.
 
Quote from optioncoach:

My little problem is that I tend to add hedges just when things start to look their worst..... and isn't that usually when the contrarian sentiments take over and push the market back the other way lol :D.

Better safe than sorry.
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As long as your consistent!!!!:p
 
Quote from optioncoach:

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 :)
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Hi Coach,

The prices for you ES calls are currently

AUG 1330 CALLS ~ 1.3 Loss 0.3
JUL 1300 CALLS ~ 0.8 Profit 2.2

So you've made about 1.90 per contract not taking the ratios into account. Good call.
 
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