SPX Credit Spread Trader

nlslax · Jul 13, 2006

Quote from Sailing:

Coach,

Here again lies just another benefit of the Put Diagonal. You really encourage the trade to head toward your short.... and with VEGA spiking... you can just close the position for a profit.... just when credit spreads are glaring "RED" in the face... or looking for alternative hedges....

It's a Beautiful thing....

M~

My calendars are looking cool blue. Not even 10% of the stomach tightening as my CS positions give me.

Was in a TOS seminar a few days ago and one of the presenters (JJ) said that many pro's who do IC's use long calendars to hedge.

FWIW

nlslax · Jul 13, 2006

Quote from andysmith:

Was thinking about putting on an AUG put spread at 1150/1160 or so... until I read that Israel attacked Beirut airport. Wow!

Anyone know who is selling Hezbollah the rockets/missiles?

Most likely Syria, I'm sure they are next on the list.
It's probobly more like Lend/Lease as opposed to selling.

El OchoCinco · Jul 13, 2006

Where are you putting the calendar strikes in relation to your IC short strikes?

EDIT: I am sorry, where would TOS put the calendar strikes in relation to the short IC strikes

Quote from nlslax:

My calendars are looking cool blue. Not even 10% of the stomach tightening as my CS positions give me.

Was in a TOS seminar a few days ago and one of the presenters (JJ) said that many pro's who do IC's use long calendars to hedge.

FWIW

nlslax · Jul 13, 2006

Quote from optioncoach:

Where are you putting the calendar strikes in relation to your IC short strikes?

In the example they gave, the calendars were placed at the long strikes using the SPY's. They discussed OTM CS's, but I'm thinking with FOTM CS's the calendars would be more effective at or near the short strike.

nlslax · Jul 13, 2006

Quote from optioncoach:

EDIT: I am sorry, where would TOS put the calendar strikes in relation to the short IC strikes [/B]

Good point - You wouldn't want to know where I would have put them...

momoneythansens · Jul 13, 2006

Quote from nlslax:

In the example they gave, the calendars were placed at the long strikes using the SPY's. They discussed OTM CS's, but I'm thinking with FOTM CS's the calendars would be more effective at or near the short strike.

vertical + calendar as described at long strike = diagonal

I suppose SPX vertical and SPY calendar allows fine tuning the vega exposure/ratio due to the granularity offered by SPY contract size vs SPX etc. but questionable merits. What am I missing/misunderstanding?

Is it just a variation on the theme of tailoring the short gamma/long vega mix as appropriate to one's personal risk appetite and forecasted market conditions?

MoMoney.

blure2 · Jul 13, 2006

Group;

I have 140 JUL 640/650 Bull Put Spread @$.4 credit.

Could you folks please offer an opinion for constructing a hedge. If I should, how?

Thanks,

Bob

dojiboy007 · Jul 13, 2006

Quote from momoneythansens:

vertical + calendar as described at long strike = diagonal

Holy crap. Why didn't I think of that? You might have just convinced me to switch from IC's to DD's.

Muchas Gracias!

codyhopkins · Jul 13, 2006

Quote from Aardvark:

Took advantage of the last minute turnaround in the market to close the 1235/1225 put spread (rolled down from the infamous 1245 from May. Fill was .50 so that part of the saga is now closed. I probably didn't need to close as the vix is really down and I don't think we'll see 1235 by exp... however it just seemed like an opportunity I couldn't pass up. Still have some call shorts so not out of the woods.

Congratulations,

Bet your feeling good about getting out now!

Maverick74 · Jul 13, 2006

Quote from momoneythansens:

I have know idea about Mav's curvature approach I'm afraid! Sounds interesting though. All I know is Mav's perfect option position - the flying wrangle! (I'm sure he's updated his view since he wrote about it though) I'm stilll just a newbie Murray

Good luck going proprietary!

MoMoney.

Nothing to be afraid of Mo. LOL. Mav's curvature is proprietary.