SPX Credit Spread Trader

I apologize in advance for this off topic post but this is too funny to pass up from the GOOG thread

http://elitetrader.com/vb/showthread.php?s=&threadid=61883&perpage=6&pagenumber=49

Quote from optioncoach:

GOOG is still trading within the bearish flag/wedge that has formed over the past few weeks on the daily chart after the drop off from $450 or so.

Today's high pretty much came within $1.00 of the upper range of the flag/wedge and stopped. Before taking a position, see if it will break out over $403/$404 and stay above before going long.

I would not be surprised to see GOOG push back to $390 if the breakout fails.


Quote from stock_trad3r:[/i]

Blah blah blah

i am long from 397 and making easy $$$

Google doesnt follow conventional TA patters (bearish wedges).

I easily see a target of 500 ...and 540 easily [/QUOTE]

GOOG in a/h at 391
Anyways... nice call Coach ... LOL
 
Quote from dagnyt:

I have had zero luck getting any XEO spreads opened. How far from mid-points must you go to get them to trade?

Mark
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Usually .10 to .15. from mid.

But sometimes just no fills......

I then look at the difference between the bid and ask of the spread. Take 30 to 35% of the difference.
Add that to the bid price if I am selling. Usually get filled, but sometimes it is way off the mid (.20 - .25).
 
I should have put my money where my mouth is lol.....

I am waiting until earnings is close and then looking at putting on deep OTM put ratio spreads well outside recent lows to take advantage of some IV crush possible and GOOG either shooting higher or staying rangebound...

I have an article coming out in the AUG Option Trader Magazine on Put Ratio Spreads with GOOG as an example :D



Quote from trkarl:



GOOG in a/h at 391
Anyways... nice call Coach ... LOL
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July/Auguest Diagonal Update by request:

Current SPX Put Diagonal Positions as of Tuesday, July 18

S July 1195p - $7.50 Currently $1.30
B Aug 1175p - $9.70 Currently $6.70

July 1195p should expire worthless... profit about 22.5%, depending on the final Aug 1175p value



S July 1225p - $11.80 Currently $4.70
B Aug 1200p - $13.20 Currently $10.20

If July 1225 expire worthless... profit about 47.2%, again dependingon the August 1200p value. Profit could be more if market moves closer to 1225.


Trading Notes:

Positions were entered when VIX was around 13. The increased VEGA really helps support the next month out positions and allows for further downside protection or B.E. B.E. has increased about 10 points.

Unlike credit spreads, the movement toward your short is desired... which in turn increases volatility. SET is obviously an issue, but there is a ton of premium still left in the shorts and really no need to exit early. We may evaluate SET near the close on Thursday and make a decision.

At no time during the month does the position really fluctuate much, get you nervous, or need an adjustment. It's this last week when things really heat up.... profit wise.

What I like about diagonals vs. credit spreads is the value of your long (next month out) can increase in value as the short expires. As the market moves toward the position, the long increases in value, both DELTA wise and VEGA wise.... unlike the credit spread, where you're hoping for both to expire. Also, you have multiple adjustment possibilities.... one of which is to short the back month DEC options and convert to an Aug/DEC short Calendar... compliments of MO.

On the call side, we had a 1305c/1325c which will generate a small 2% profit.

Again... ideally this is a great VEGA play... not a true form THETA play as many people misunderstand the position. The call side was placed to help profit if the market went up.. even though the puts would have made a small profit.

Hope this was helpful. We'll update you upon close with exact numbers.

Murray
The Grand Rapids Investment Club
 
Quote from Sailing:



Trading Notes:

Positions were entered when VIX was around 13.
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Great trade!

What do you look for when placing put diagonals?

1) Low vol. of the back month (VIX at 13)
Low vol. as compared to what? last month, 3 months?

2) How do you select the short strike?
(With credit spreads we look for 1.5 to 2 std. dev out.)
Do you place the short strike inside 1 std. dev., as profit increases as the index moves towards the short strike?

3) Is there a point in the index trading range that you place the put diagonal?
(With credit spreads, we try to open at support and resistence.)

Would you open the put diagonal at the top of the trading range?
(vol. would be lower here....?)


4) Besides the short calendar, what other adjustments have you made, once the short strike expires?


Thanks for any answers to the above qns.

Sharing your trades helps.......................
 
I have been doing these spreads for a few months now with TOS and am come to the conclusion that the midpoint is utter crap. I have asked .50 or more less than the mid on many occassions and still no fill on the SPX. The market seems to always be at least .25 off from the midpoint! Anyone else experiencing this?
 
I've noticed increasing distance between the midpoint and actual fills myself, but I've never gone more than $0.15. If I can't get filled at that, I cancel the trade.

Speaking of trades: Got filled on the following this morning:

Aug SPX bear call 1300/1315 at $0.90

This trade was an exception to what you've seen, apex, and to what I've been experiencing as well recently. I got filled at $0.05 below midpoint.


Quote from apex82:

I have been doing these spreads for a few months now with TOS and am come to the conclusion that the midpoint is utter crap. I have asked .50 or more less than the mid on many occassions and still no fill on the SPX. The market seems to always be at least .25 off from the midpoint! Anyone else experiencing this?
More...
 
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