SPX Credit Spread Trader
- Thread starter El OchoCinco
- Start date
Quarterly??? I did not hear about that actually. Great for long sides but I do not think I want to sell any premium that far out. As you said it gives diagonal spreaders some nice options...
From Reuters:
CHICAGO, July 10 (Reuters) - Two of the largest U.S. options exchanges on Monday launched a group of index options with end-of-quarter expirations, highlighting the growing interest among investors in exchange-traded funds.
The Chicago Board Options Exchange, the largest U.S. options mart and the International Securities Exchange (ISE.N: Quote, Profile, Research), the top U.S. equity options exchange, said it will list quarterly options on five popular ETFs for a period of one year.
"The quarterly expiration might be more appealing to portfolio managers and other institutions that often rebalance or adjust portfolios quarterly," said Frederic Ruffy, an analyst at Optionetics, a California-based options education firm.
Ruffy also noted the initial listings will offer investors a greater number of expiration months for some of the more popular index products.
The pilot program includes options on the Standard & Poor's Depositary Receipts (SPY.A: Quote, Profile, Research), Nasdaq-100 Index Tracking stock, (QQQQ.O: Quote, Profile, Research), Diamonds Trust Series 1 (DIA.A: Quote, Profile, Research), iShares Russell 2000 Index Fund (IWM.A: Quote, Profile, Research) and Select Sector SPDR-Energy Fund (XLE.A: Quote, Profile, Research).
Regular monthly options typically expire on the Saturday following the third Friday of each month, but the new quarterly options product will expire on the last business day of March, June, September and December.
CHICAGO, July 10 (Reuters) - Two of the largest U.S. options exchanges on Monday launched a group of index options with end-of-quarter expirations, highlighting the growing interest among investors in exchange-traded funds.
The Chicago Board Options Exchange, the largest U.S. options mart and the International Securities Exchange (ISE.N: Quote, Profile, Research), the top U.S. equity options exchange, said it will list quarterly options on five popular ETFs for a period of one year.
"The quarterly expiration might be more appealing to portfolio managers and other institutions that often rebalance or adjust portfolios quarterly," said Frederic Ruffy, an analyst at Optionetics, a California-based options education firm.
Ruffy also noted the initial listings will offer investors a greater number of expiration months for some of the more popular index products.
The pilot program includes options on the Standard & Poor's Depositary Receipts (SPY.A: Quote, Profile, Research), Nasdaq-100 Index Tracking stock, (QQQQ.O: Quote, Profile, Research), Diamonds Trust Series 1 (DIA.A: Quote, Profile, Research), iShares Russell 2000 Index Fund (IWM.A: Quote, Profile, Research) and Select Sector SPDR-Energy Fund (XLE.A: Quote, Profile, Research).
Regular monthly options typically expire on the Saturday following the third Friday of each month, but the new quarterly options product will expire on the last business day of March, June, September and December.
Andy, I find I do get filled between 0.05 to .20 cent off mid on my SPX credit spreads.
However i find that if I get filled 0.10 cents off mid, it may not really be that. Cause when i do get filled, it may be because the market has moved in the market maker's favour. ie the bid ask has changed since i put it on and my limit price is actually 0.20 or 0.25 off the new mid when its hit.
So I might be feeling good that i got filled 0.10 cents of the mid but could just be fooling myself. So sometimes I just put my Limit order at mid and leave it there and let the underlying dictate whether i get filled or not.
I asked about the quarterly options at TOS seminar and was told these were are the request of mutual funds and might not be of any extra benefits to the retail. As coach said perhaps for diagonal's but why would we need to use them? We could just use Sept, Dec etc regular month.
UPDATE 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
---->> UPDATE I took off the long 300 ES 1210 Puts and sold them for 0.20 to take back more premium out of the position. So I left the 600 ES 1200 puts naked for one day since today is expiration and they are 50 points or so OTM.
The extra premium taken in was $3,000.
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 [/B][/QUOTE]
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
---->> UPDATE I took off the long 300 ES 1210 Puts and sold them for 0.20 to take back more premium out of the position. So I left the 600 ES 1200 puts naked for one day since today is expiration and they are 50 points or so OTM.
The extra premium taken in was $3,000.
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 [/B][/QUOTE]
Coach:
On the diagonal calendar spreads, I have a few questions. Since you want the index to approach your short strike, how do you select which short strike. Do you use delta as a criteria or is there some other criteria such as support and resistence levels. Or do you select the long strike first?
I am trying to expand my arsenal with volitility being what it is recently. Again, thanks for your help.
On the diagonal calendar spreads, I have a few questions. Since you want the index to approach your short strike, how do you select which short strike. Do you use delta as a criteria or is there some other criteria such as support and resistence levels. Or do you select the long strike first?
I am trying to expand my arsenal with volitility being what it is recently. Again, thanks for your help.
Guys and Gals:
I will be speaking this afternoon at the Washington D.C. Money Show so I will be out the rest of the day but will get to your questions I miss as soon as possible.
great expiration day for my ES Put Ratio Spread which with the additional moves I did yesterday brougt in another $3k. Hope you all are having a profitable July expiration.
I will be speaking this afternoon at the Washington D.C. Money Show so I will be out the rest of the day but will get to your questions I miss as soon as possible.
great expiration day for my ES Put Ratio Spread which with the additional moves I did yesterday brougt in another $3k. Hope you all are having a profitable July expiration.
Coach and Murray:
I keep reading that you want to put these trades on when VIX is low. Currently, VIX is at 16.8.
I'm not trading the ES but the equivalent strike trade on the SPX
is:
SPX August 1225 Put/Sep 1200 Put
Midpoint is $1.60 and the natural is $2.60
Not sure, since I've never placed these trades, but it seems like I might be able to get filled at your debit of $2.25. If I could get filled at the debit then I'm not sure I understand the benefit of putting the trade on when the VIX is low at least when entering the trade.
Admittedly I'm talking about the SPX and your trade was the ES, so maybe that's the difference. Also, the difference in the VIX numbers is about 2.2 so maybe that's not enough. OTOH the VIX rarely goes below 10, so on the surface, it would seem to be enough of a difference.
I keep reading that you want to put these trades on when VIX is low. Currently, VIX is at 16.8.
I'm not trading the ES but the equivalent strike trade on the SPX
is:
SPX August 1225 Put/Sep 1200 Put
Midpoint is $1.60 and the natural is $2.60
Not sure, since I've never placed these trades, but it seems like I might be able to get filled at your debit of $2.25. If I could get filled at the debit then I'm not sure I understand the benefit of putting the trade on when the VIX is low at least when entering the trade.
Admittedly I'm talking about the SPX and your trade was the ES, so maybe that's the difference. Also, the difference in the VIX numbers is about 2.2 so maybe that's not enough. OTOH the VIX rarely goes below 10, so on the surface, it would seem to be enough of a difference.
[/B][/QUOTE]