SPX Credit Spread Trader

FYI,

The 1300c/1315c Diagonal is looking good... approaching maximum profit range.... unlike the vertical spread!

It's quite a bit different in nature than spreads... this is what we like about it.

M~



Quote from rdemyan:

Yeah, I decided to bail out of my August 1300/1315 bear call today, for essentially the same reasons you cite. I plan to place another trade as an "adjustment", but I just didn't do it today. I'm going to wait until after the ISM numbers tomorrow. Also I might even place a bull put.:eek: My goal, however, is not to recover all of the loss, but just to minimize it. So if no opportunity presents itself tomorrow for August, I'll wait until after the fed meeting. It was a stupid mistake to place the trade in the first place, entirely due to greed and out of my comfort zone. That's okay, it reminds me of why I have a plan in the first place [now I just need to stick to it :)]
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Murray:

Thanks for posting this as it is something I've been thinking about.

But, if the 1300 is breached, then it pretty much acts like a straight vertical spread, right. There will probably be some difference in pricing, but basically you start losing money fast. And once breached I don't understand how the adjustment is that much better. You're still so CTM with your long and if your roll to a Sept bear call, now you're just extending it to September having that much more time to worry about it.

What is it that I'm not understanding?

Thanks.


Quote from Sailing:

FYI,

The 1300c/1315c Diagonal is looking good... approaching maximum profit range.... unlike the vertical spread!

It's quite a bit different in nature than spreads... this is what we like about it.

M~
More...
 
One other thing I've been wondering about on these diagonals.

You've said and one can see it in the graphs that it is really the last couple of days where the profit is made. I think you've also said that you don't really see a whole lot of movement other than that (assuming that there isn't a huge move up or down in the index).

Does this imply that the debit for the spread doesn't change much over time until the last couple of days.



Quote from rdemyan:

Murray:

Thanks for posting this as it is something I've been thinking about.

But, if the 1300 is breached, then it pretty much acts like a straight vertical spread, right. There will probably be some difference in pricing, but basically you start losing money fast. And once breached I don't understand how the adjustment is that much better. You're still so CTM with your long and if your roll to a Sept bear call, now you're just extending it to September having that much more time to worry about it.

What is it that I'm not understanding?

Thanks.
More...
 
murray, also, when a call calendar is initiated there is an estimated loss on a risk graph if the short strike goes atm. with the vix dropping as the market climbs (assumption) does this estimated loss get worse or better being long vega?
 
1. >TOS spread hacker

I find it very useful in looking for calendars. Shows the volatility of front and back month and the difference between the two. I then look at the chart pattern and the volatility range.

It's very easy to put the trade into analysis tab to see how it looks over time and different volatilities.

Truly cool.

I made a suggestion to allow skewness in their probability analysis, rather than restricting it to the bell curve.

2. Added Aug/Sep 108 call calendar in T Bonds today. Low voty and range bound.
 
THANK YOU!

I have been in positive territory in July for the first time in a very long time.

The changes to my trading seem to be working, and your comments here have been very helpful. I have moved from strictly commodities to equities, and made other changes based on your ideas and suggestions.

Thanks mucho!!!
 
Quote from cdowis:

1. >TOS spread hacker

I find it very useful in looking for calendars. Shows the volatility of front and back month and the difference between the two. I then look at the chart pattern and the volatility range.

It's very easy to put the trade into analysis tab to see how it looks over time and different volatilities.

Truly cool.

I made a suggestion to allow skewness in their probability analysis, rather than restricting it to the bell curve.

2. Added Aug/Sep 108 call calendar in T Bonds today. Low voty and range bound.
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Hello cdowis,
I assume the T Bond spread was done with futures. Is there an equity equivalent? If yes, what is the symbol? Thanks.
 
Been looking myself. The only candidate I know is the TNX, but it has no liquidity. The US looks really good for a calendar right now.
 
We are now inside the 45 day window for September options. I'm waiting until after the Fed meeting next week before putting on any Sept positions. Also need a little more juice taken out of my August before I roll to September.

Today's downward move is helping my put diagonal some, not a big change but at least the market and VIX are moving in the right direction for me right now :D.
 
In a spread..... you have 'nuetralized' volatility.... and opposing deltas.... In the diagonal, you have VEGA either working for you or against you, and in most instances, the call side works against you. That said, today is a good example where the volatility, because of some ISM inflation numbers, have helped the call side, both in delta and vega. Only a one day scenario.

But, let's assume the market headed up today.. +10pts... you're right... the 1300c certainly works against you, volatility works against you... etc., but your Sept 1315c is working for you. Unlike in the vertical call spread.... the 1300c is working against you, the 1315 is working slightly with you... but will have no extrensic at expiration, so this is really working against you also, (decaying THETA).

So, if the market shoots up.... your vertical spread is... well... a loss..... probably substantial at this point The diagonal... well, it too may be slightly losing, but you could buy back the Aug 1300c and sell the Sept 1325c and convert into a Bull Call. Remember, the Sept 1315c is making you money. You could also buy back the 1300c and sell the 1315c and play a two week calendar. You just don't have these adjustments in the vetical spread because you're fighting THETA and GAMMA the entire time.

I'm not saying you can't lose money in the diagonal... I'm just saying that managing your risk is so much easier, less stressful, and more time forgiving.

M~


Quote from rdemyan:

Murray:

Thanks for posting this as it is something I've been thinking about.

But, if the 1300 is breached, then it pretty much acts like a straight vertical spread, right. There will probably be some difference in pricing, but basically you start losing money fast. And once breached I don't understand how the adjustment is that much better. You're still so CTM with your long and if your roll to a Sept bear call, now you're just extending it to September having that much more time to worry about it.

What is it that I'm not understanding?

Thanks.
More...
 
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