SPX Credit Spread Trader
- Thread starter El OchoCinco
- Start date
Mark:
I don't trade the XEO, but my experience with the SPX is that it is very difficult to get filled near the mid during the first hour or so of trading. It seems like pricing is still getting established during this period.
Example: I'm looking at the Aug 1300/1315. About 15 minutes ago it was at a b/a of 1.20/1.60. Now the market is actually a few points higher than at that time and the b/a is $0.80/$1.20.
I don't trade the XEO, but my experience with the SPX is that it is very difficult to get filled near the mid during the first hour or so of trading. It seems like pricing is still getting established during this period.
Example: I'm looking at the Aug 1300/1315. About 15 minutes ago it was at a b/a of 1.20/1.60. Now the market is actually a few points higher than at that time and the b/a is $0.80/$1.20.
Hey Apex....I've been trying to figure it out as well. One thing I've started doing is looking at Theo Val's then doing the math to get a Theo Val of the spread. On one I did this am it was .20 below the mid. Your right you really can't trust the mid. But the mid on the computer is based on the bogus offerings of the SPX MM
Murray:
Thanks for the write up. I still have my diagonal open which I will re-post when I can locate it in the thread
...
ALSO, what a beautiful day in the market huh.. I wish I could say I picked the short-term bottom knowing for a fact what CPI and Bernanke would say but I had no idea what those two things would do. I just felt like we extended too far right now. Not to say we still are not going lower but this "wave" if you will, went too far too fast on the Oil surge and middle east conflict stuff that investors wanted any breadcrumb to go long and they got it today.
Thanks for the write up. I still have my diagonal open which I will re-post when I can locate it in the thread
...ALSO, what a beautiful day in the market huh.. I wish I could say I picked the short-term bottom knowing for a fact what CPI and Bernanke would say but I had no idea what those two things would do. I just felt like we extended too far right now. Not to say we still are not going lower but this "wave" if you will, went too far too fast on the Oil surge and middle east conflict stuff that investors wanted any breadcrumb to go long and they got it today.
Quote from RichardRimes:
Hey Apex....I've been trying to figure it out as well. One thing I've started doing is looking at Theo Val's then doing the math to get a Theo Val of the spread. On one I did this am it was .20 below the mid. Your right you really can't trust the mid. But the mid on the computer is based on the bogus offerings of the SPX MM
Great idea to look at the Theo value.
REMINDER of my ES/EW Diagonal Ratio Call Spread opened on 7/12:
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%
JULY EW 1300 has mid-point of about 0.75
AUG ES 1330 has mid-point of about 0.50
I will let the JULY calls expire worthless assuming we either rally but not over 1300 in a week or so or we stay sideways or down before next fed meeting. Either way I expect the EW July options to expire worthless and then I will decide what to do with the AUG depending on where the market is.
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%
JULY EW 1300 has mid-point of about 0.75
AUG ES 1330 has mid-point of about 0.50
I will let the JULY calls expire worthless assuming we either rally but not over 1300 in a week or so or we stay sideways or down before next fed meeting. Either way I expect the EW July options to expire worthless and then I will decide what to do with the AUG depending on where the market is.
PUT DIAGONAL SPREAD for SEP/AUG
On the nice VIX drop down and seeing potential for some interesting swings from now until Aug Fed meeting I opened my first DEBIT diagonal spread using puts:
Sold 20 AUG ES 1225 Puts @ 8.75
Bought 20 SEP ES 1200 Puts @ 11.00
Net Debit = 2.25 or $2,250
VIX = 14.57
On the nice VIX drop down and seeing potential for some interesting swings from now until Aug Fed meeting I opened my first DEBIT diagonal spread using puts:
Sold 20 AUG ES 1225 Puts @ 8.75
Bought 20 SEP ES 1200 Puts @ 11.00
Net Debit = 2.25 or $2,250
VIX = 14.57
CURRENT OPEN POSITION SUMMARY OF SPREADS:
1. SPX August Credit Spread
STO 300 AUG SPX 1125/1115 Put Spreads @ $0.50
Credit = $15,000
Risk = $285,000
Return = 5.3%
2. July ES Adjusted Into Put Ratio Spread and Hedges
Bought 300 ES July 1220 Puts @ 8.25
Sold 600 ES July 1200 Puts @ 4.20
Net credit = .15 or $2,250
PLUS Credit of $8,250 from original short 300 1220/1210 Put Spreads
PLUS Profit from ES 1265/1255 Bear Put Spread of $1,937.50.
MINUS Loss of 1,062.50 of closing of 5 ES 1250 Puts at 5.25
GROSS NET CREDIT at JULY EXPIRATION = $11,375
3. ES/EW Call Ratio Diagonal Spread
Long 50 ES Aug 1330 Calls @ 1.60 ($4,000)
Short 45 EW Jul 1300 Calls @ 3.00 ($6,750)
Net Credit = $2,750
4. ES Diagonal Put Spread
Sold 20 AUG ES 1225 Puts @ 8.75
Bought 20 SEP ES 1200 Puts @ 11.00
Net Debit = 2.25 or $2,250
VIX = 14.57
1. SPX August Credit Spread
STO 300 AUG SPX 1125/1115 Put Spreads @ $0.50
Credit = $15,000
Risk = $285,000
Return = 5.3%
2. July ES Adjusted Into Put Ratio Spread and Hedges
Bought 300 ES July 1220 Puts @ 8.25
Sold 600 ES July 1200 Puts @ 4.20
Net credit = .15 or $2,250
PLUS Credit of $8,250 from original short 300 1220/1210 Put Spreads
PLUS Profit from ES 1265/1255 Bear Put Spread of $1,937.50.
MINUS Loss of 1,062.50 of closing of 5 ES 1250 Puts at 5.25
GROSS NET CREDIT at JULY EXPIRATION = $11,375
3. ES/EW Call Ratio Diagonal Spread
Long 50 ES Aug 1330 Calls @ 1.60 ($4,000)
Short 45 EW Jul 1300 Calls @ 3.00 ($6,750)
Net Credit = $2,750
4. ES Diagonal Put Spread
Sold 20 AUG ES 1225 Puts @ 8.75
Bought 20 SEP ES 1200 Puts @ 11.00
Net Debit = 2.25 or $2,250
VIX = 14.57