SPX Credit Spread Trader

[Sailing]

The 1250 was part of an overall profit range produced by the 1250, 1225, and 1195. Without it... there was little proft between 1240-1260 range on the risk profile. The calls were at 1305

As it turne out... it was the big winner for the month.

M~

Quote from scoobie27:

I could be wrong but I think Murray said the position were placed around 1265ish. Its stated at the top of his post.

Wow that makes the 1250/1230 diagonal pretty daring :eek:

Yes thank you Murray, a great post indeed!Much appreciated.

 

[Sailing]

If I missed someone... just let me know.

Thanks for all the input. This is what makes this forum unique, educational, and interesting.

Murray

 

[rallymode]

Quote from Sailing:



We are still backtesting and analyzing this type.

Any additional info would be appreciated...

M~

Murray, i dont like these on indices and i rarely do these so i am not sure if i can add anything more than what i already mentioned. Sometimes i will find the smile i like but then i will be lost in direction or vice versa have the direction down but cant find the juice to sell. So i dont do whole lot of those.

When i do i just rather be net long gamma/delta as to not be forced into an adjustment as vega and gamma are peaking on me in the current month. If i decide to lean my deltas short(smaller debit or credit), I much rather have my -gamma risk at a further out strike(diagonalized frontspread or christmas tree) vs a CTM strike(the diagonal that you guys are trading).

You should ask mav at your next conference. That is if he wants to reveal his proprietary diagonal christmas tree method.

 

[rdemyan]

Murray:

There were some posts regarding whether you thought a put diagonal provided black swan insurance. If so, this would be because the long, back-month put would have a higher IV which would hedge the loss in the short, front-month put.

Would appreciate your thoughts on this.

Thanks.

Quote from Sailing:

If I missed someone... just let me know.

Thanks for all the input. This is what makes this forum unique, educational, and interesting.

Murray

 

[Sailing]

Obviously the Call Diagonal will ride out and profit from a black swan event (if placed with a credit)... but the Put diagonal would depend on how it was placed. Rally's sugggestion of buying the back month within the strike of selling the current month, would protect you in a Swan event, but in general, the Put diagonal (as described by me in an earlier post) would be susceptible to a black swan event. Surely the back month Puts would sky rocket in volatility, which would help greatly offset an initial loss. I would also assume that with any significant time left in the expiration month, that too would help to greatly offset the unrealized loss. But in general, the loss would be the difference in strike prices - premium of short.... assuming a 1:1 ratio at expiration.

Quote from rdemyan:

Murray:

There were some posts regarding whether you thought a put diagonal provided black swan insurance. If so, this would be because the long, back-month put would have a higher IV which would hedge the loss in the short, front-month put.

Would appreciate your thoughts on this.

Thanks.

 

[Sailing]

Mav is too busy monitoring margin! Hello Mav!

See... no response. You need to be careful... though, he quietly observes... then WHAM... shoots you down out of the sky.

I do wish he'd un-proprietary.. and reprioritize!

He would be a real asset with his floor trading experiences.

M~

Quote from rallymode:

Murray, i dont like these on indices and i rarely do these so i am not sure if i can add anything more than what i already mentioned. Sometimes i will find the smile i like but then i will be lost in direction or vice versa have the direction down but cant find the juice to sell. So i dont do whole lot of those.

When i do i just rather be net long gamma/delta as to not be forced into an adjustment as vega and gamma are peaking on me in the current month. If i decide to lean my deltas short(smaller debit or credit), I much rather have my -gamma risk at a further out strike(diagonalized frontspread or christmas tree) vs a CTM strike(the diagonal that you guys are trading).

You should ask mav at your next conference. That is if he wants to reveal his proprietary diagonal christmas tree method.

 

[Prevail]

sorry, sp pit options.

Quote from rdemyan:

Not clear on what the instrument is: SPX, ES, SP?

 

[Prevail]

reversed, taken flat, shutdown.

thanks.

Quote from JimPos:

Prevail:
What do you mean when you say the spread is reversed?

 

[Aardvark]

Quote from Prevail:

I took a different approach today. sold the aug 1190 put and bot the sep 1140 put for .3 credit. the trade cost no money on 4k of margin. I show a 10 percent chance the 1190s are hit. there are two exits, the 1190s expire or if sp hits 1190 the entire spread is reversed. currently, the latter exit is priced at 6 points. this will improve over time.

the goal here is not a large gain, although possible, but rather to own a sep put free and clear.

My only question here is if the goal is owning a put for free...is this not somewhat directional? You will own 1140 sept...what if we rally back to the 1300's in Sept? Are you in a small way betting on a continuation of this downtrend? Say you did a 10 lot of these your margin/maintainence is now $40,000. Thats been my whole issue with these diagonal's in a retail/IRA account.

 

[dagnyt]

Quote from rdemyan:

Mark:

How are your fills on the SPX, or have you given up in disgust?

I get an occasonal fill in SPX, but it's a very annoying process. Perhaps it's my diagonal spread orders that makes is so difficult. I received better fills when trading same month vertical spreads.

These days I trade RUT, RUI and MID. I've tried XEO and SMA, looking for alternate indexes, but have had little success. XEO did provide a couple of fills, but not until my order sat long enough to become fillable at the natural bid-ask. That is not the path to profitable trading.

Mark