SPX Credit Spread Trader

Quote from RichardRimes:

decided to fine tune my Aug position. 1st sold the above 1315 longs (that had been part of my B-fly roll) got 2.25 (had paid 1.9) I now have an order for a slightly pg B-fly for the balance of the short 1295's. You can follow it on TOS's thinkspreads...mark is .30-.40 and I'm offering .95:eek:(debt) ...very interesting. If I don't get it then I think its a real "tell" the MM's do believe the market will take a dive after the Fed.

up to .65....may be their working on it
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xled the B-fly order...market looks like its selling off and with the "big" boyz taking off early today it will have a hard time rallying
 
Quote from rallymode:

Gamma scalping. Your losses are limited to the price you paid for the straddle, given you buy ATM. Your goal would be to flip the futs fast/well enough to offset any time decay. In my opinion it is a strategy that requires alot of finess to make it positive expectancy over the long haul. Alot of reading on it around here and mav has a nice detailed explanation on his firm's site that mo posted not too long ago.

On a side note. Opened SEP ES 1330/1335 bear call spread for $1.25. Given that this is my 666'th post perhaps i should've kept this quiet. :eek:
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I see how you are. Gotta show me up with your great fill huh?:D
 
Quote from yip1997:

Anyone uses ever-touch probability in credit spread strategy?

If we can estimate the probability that the index moves to our adjustment point, we can estimate how often we adjust our position.

Want to get some insight here on the use of ever-touch probability. McMillan thinks it is very useful in option trading.
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great topic yip. I do look at it and have tried to figure out how BEST to use it. perhaps touching points are good places to place hedges or buy/sell ES?
 
Quote from yip1997:

Anyone uses ever-touch probability in credit spread strategy?

If we can estimate the probability that the index moves to our adjustment point, we can estimate how often we adjust our position.

Want to get some insight here on the use of ever-touch probability. McMillan thinks it is very useful in option trading.
More...

Yeah, I talked about that a bit on this thread a while back. I don't think you were around yet and I don't know where I first mentioned it.
 
Quote from Cache Landing:

I see how you are. Gotta show me up with your great fill huh?:D
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well, given the 5 point premium in the ES, i wouldnt say its better. If we rally hard in AUG, it will be more painful for me to adjust as i will be ATM/ITM quicker. I too wasnt getting filled on the spx so i canceled(IB got a nice lunch on me) and legged into the ES. I cant believe the CBOE guys filled a boy from Utah faster than a homie. :D
 
Quote from RichardRimes:

great topic yip. I do look at it and have tried to figure out how BEST to use it. perhaps touching points are good places to place hedges or buy/sell ES?
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You can use your target adjustment point ( Coach's idea is 10 to 20 points from your short) in your touch probability. So you have an idea of how often you need to adjust your position.

Do you have the formula for touch probability? My rough estimate is 2 x delta.

I used it a lot for my naked writings with OIH in the past. I don't want it more than 20% of my short strikes, and I'll hedge when it comes close to 30 to 40%.

For vertical spread, I have no experience of using it. Since the long leg has a partial hedge effect on the short one, I think it is ok to have it close to 40%.

Just want to get some insights in this topic.
 
Quote from Cache Landing:

Yeah, I talked about that a bit on this thread a while back. I don't think you were around yet and I don't know where I first mentioned it.
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Just searched and couldn't find it.
 
I was too short this morning. Thus, I adjusted some call spreads that went ITM by rolling to higher strikes in a further out month.

Hated to do it, as holding short positions in options that are near the strike is the path to LARGE expiration profits. But, being short that gamma is too risky for me.

The rolls were rather painless as the cost was about 6% of the premium I've collected to date for my August positions. I'm very willing to pay that for protection.

With the market heading lower, it appears I may have been too hasty - but I've learned that there is plenty on money to make tomorow, as long as I don't get kiled today and I refuse to remain short options that are currently ITM

Hope the rest of you are doing well in the rising market.

Mark
 
Mark:

Just wanted to say that I'm sure many of us appreciate your posts. It's always good to get perspective and insight from those who've been in the business, have probably seen it all, and are trading a similar style.

Thanks.


Quote from dagnyt:

I was too short this morning. Thus, I adjusted some call spreads that went ITM by rolling to higher strikes in a further out month.

Hated to do it, as holding short positions in options that are near the strike is the path to LARGE expiration profits. But, being short that gamma is too risky for me.

The rolls were rather painless as the cost was about 6% of the premium I've collected to date for my August positions. I'm very willing to pay that for protection.

With the market heading lower, it appears I may have been too hasty - but I've learned that there is plenty on money to make tomorow, as long as I don't get kiled today and I refuse to remain short options that are currently ITM

Hope the rest of you are doing well in the rising market.

Mark
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