SPX Credit Spread Trader

[jldavid47]

Quote from RichardRimes:

Its funny but psychologically I'm more afraid of the "White Swan":eek:

The behavior of the market has been interesting wrt up moves lately. We've had 3 days in the last 6 weeks with over 90% of the volume to the upside. Normally (i.e. in a bull market) this kind of action would propel the market higher. Instead, there has been no upside follow-through at all. IMHO this is characteristic of a bear market (and I've been around long enough to have seen the bear markets of the 1970s). You see these huge up days that are all short-covering and no "real" buying whatsoever. As soon as the short covering is exhausted (usually within 10 trading hours lately) the market sags yet again. Not only that, the NASDAQ has been displaying huge divergences. Even its "sharp" rallies have been weak compared to the DJIA and S&P. I've been using these sharp rallies to enter fairly aggressive short positions generally using call credit spreads at or even a bit in the money. For me, trading like that forces me to keep my position sizes small and keeps me from worrying about any color of "Swan."

 

[RichardRimes]

I think you are right, although I don't see this Bear market as being as vicious as 2002 or other Bear's. If there is a "soft landing" with Ben not raising rates in August then possibly the bear could be finished. His shadow is looming however. I have been much more careful in putting on my Put credit spreads and more agressive in the Call credit spreads and keeping a lot of cash in reserve.

 

[Sailing]

Scoobie,

The past six months we placed these on ToS. Because the next months out are placed when the VIX is low... and at a Far-Out-of-The-Money strikes... it does take a bit of patience to fill. We like to choose strikes with multiples of 25... becasue that's where the large open interest occurs. That said.. we've been lucky to fill right around Mid... I think the key is the strike prices... just easier for MMs to fill you where there is demand.

We do enter as a spread!

Quote from scoobie27:

Murray,

Do you leg into your diagonals or do you enter them as a spread order?

If you're entering them as spread order, do you have as hard a time getting filled as dagnyt? It seems diagonal orders are harder to fill around the midpoint than credit spreads.

And which broker do you use or are you with V trader now?

Thanks in advance.

 

[ryank]

Quote from Sailing:

Scoobie,

The past six months we placed these on ToS. Because the next months out are placed when the VIX is low... and at a Far-Out-of-The-Money strikes... it does take a bit of patience to fill. We like to choose strikes with multiples of 25... becasue that's where the large open interest occurs. That said.. we've been lucky to fill right around Mid... I think the key is the strike prices... just easier for MMs to fill you where there is demand.

We do enter as a spread!

With the VIX taking a beating today I'm looking to see if there are any call diagonals that look intersting. Using anywhere from 1305 on up for the Aug short I keep finding that I have to have a 40 point wide spread to get a credit instead of a debit. That seems a bit wide and a little more risk than I would like. With 24 days to expiration is it too late for a call diagonal? I'm not finding any straight FOTM bear call spreads that I'm comfortable with right now either.

 

[El OchoCinco]

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%

UPDATE On the nice upmove I decided to add some call spreads for August but since I am not sure of the extent of the move higher, especially with a FED meeting in between now and expiration, I did not do the full amount to leg into a Condor. I have a Condor with a limp:

STO 150 AUG SPX 1310/1320 Put SPreads @ $0.55

Credit = $8,250

COMBINED CREDIT = $23,250

Return = ~8.4%


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.

EDIT: Have not done the final tally yet on the positions! Waiting for today's sheets to do the math.


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

 

[ryank]

Quote from optioncoach:

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%

UPDATE On the nice upmove I decided to add some call spreads for August but since I am not sure of the extent of the move higher, especially with a FED meeting in between now and expiration, I did not do the full amount to leg into a Condor. I have a Condor with a limp:

STO 150 AUG SPX 1310/1320 Put SPreads @ $0.55

Credit = $8,250

COMBINED CREDIT = $23,250

Return = ~8.4%

Looks like Coach found something he liked and jumped in . I'm content with my positions at the moment but looking to see where I will take the plunge.

 

[RichardRimes]

we all know you meant STO 150 1310/1320 CALL credit spreads

edit...I like the "limping" condor

 

[Sailing]

Coach,

The Call Diagonal 1300/1325 is available for .30 debit also...

Nice fill... we too have that spread on for Aug/Sept.

Quote from optioncoach:

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%

UPDATE On the nice upmove I decided to add some call spreads for August but since I am not sure of the extent of the move higher, especially with a FED meeting in between now and expiration, I did not do the full amount to leg into a Condor. I have a Condor with a limp:

STO 150 AUG SPX 1310/1320 Put SPreads @ $0.55

Credit = $8,250

COMBINED CREDIT = $23,250

Return = ~8.4%


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.

EDIT: Have not done the final tally yet on the positions! Waiting for today's sheets to do the math.


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

 

[El OchoCinco]

Oops, yes I meant CALL SPREADS....I think too much about my puts


(funny imbedded joke for my lansmen there)

Quote from RichardRimes:

we all know you meant STO 150 1310/1320 CALL credit spreads

edit...I like the "limping" condor

 

[El OchoCinco]

Just to make sure, you did notice I did the diagonal with AUGUST ES calls and JULY End of the Month calls. I think I can have some fun using the ES and EW calls for credits.

Quote from Sailing:

Coach,

The Call Diagonal 1300/1325 is available for .30 debit also...

Nice fill... we too have that spread on for Aug/Sept.