SPX Credit Spread Trader
- Thread starter El OchoCinco
- Start date
Thanks although I should post it with this disclaimer:
There is no reason to assume that the future is in any way encumbered by the limits of the past.
case in point, nothing worse than a 90 point move towards your short leg, and THEN you get a black swan
Date......... 30 day change
28-Sep-01 -124.37
27-Sep-01 -138.65
26-Sep-01 -164.37
25-Sep-01 -149.70
24-Sep-01 -178.21
21-Sep-01 -212.22 <---- :eek:
20-Sep-01 -202.19
19-Sep-01 -175.19
18-Sep-01 -157.42
17-Sep-01 -144.66 <----
10-Sep-01 -90.99
7-Sep-01 -118.62
6-Sep-01 -94.08
5-Sep-01 -82.61
4-Sep-01 -87.81
this is why, much to my delight, throughout this thread the participants have been preaching the need for strict risk controls.
There is no reason to assume that the future is in any way encumbered by the limits of the past.
case in point, nothing worse than a 90 point move towards your short leg, and THEN you get a black swan
Date......... 30 day change
28-Sep-01 -124.37
27-Sep-01 -138.65
26-Sep-01 -164.37
25-Sep-01 -149.70
24-Sep-01 -178.21
21-Sep-01 -212.22 <---- :eek:
20-Sep-01 -202.19
19-Sep-01 -175.19
18-Sep-01 -157.42
17-Sep-01 -144.66 <----
10-Sep-01 -90.99
7-Sep-01 -118.62
6-Sep-01 -94.08
5-Sep-01 -82.61
4-Sep-01 -87.81
this is why, much to my delight, throughout this thread the participants have been preaching the need for strict risk controls.
What does everyone think about putting on an August SPX (or SPY NDX RUT etc.) straddle just before the Fed announcement? I realize that one risk is that IV could drop significantly after the announcement.
If we are worried about IV, then how about a reverse calendar?
What are some of your thoughts?
AZD
If we are worried about IV, then how about a reverse calendar?
What are some of your thoughts?
AZD
Mark,
I would definitely be in touch with the broker and get email or written confirmation as to what will happen.
Sure will be nice when ToS expands into future options.
Word has it... many people have made requests... and ToS is seriously looking at moving this direction this FALL!
Just send them an email... attach your wish list.
M~
I would definitely be in touch with the broker and get email or written confirmation as to what will happen.
Sure will be nice when ToS expands into future options.
Word has it... many people have made requests... and ToS is seriously looking at moving this direction this FALL!
Just send them an email... attach your wish list.
M~
Not a good time, as once again, vix is only around 15. I think more experienced people here were advocationg reverse calenders when vix is much higher eg between 20 - 24 back around in mid june. That way when vix drops, you make good money from your short back month as it has a higher vega than the long front month.
Just my two cents
Scoobie,
Take a graphical analysis look at these three diagonals:
-10 Sept 1225p
+10 Oct 1200p
-5 Sept 1275p
+5 Oct 1260p
-10 Sept 1350c
+10 Oct 1375c
Then tell me what you think. The idea of selling an ATM diagonal came from this months OptionTraderMagazine, so we're experimenting here a little.
Selling ATM puts is bringing in lots of premium should the market stay or go up slightly. And having half the position helps offset downside risk as the lower diagonal increases in value.
Tell me you thoughts...
With the VIX crrently relatively high (15%).... you would be looking at over a 100pt window with around 5% return on margin. That doesn't seem to compare fairly with credit spreads, but consider the market moving down (seasonality)... you have potential returns of 30%+, if volatility moves up 4% from here. Your lower B.E. point also slides down as vol increases.
Conversely, if the VIX drops 3% to 12, you would be around Break even. It is a VEGA play...
Oh, and don't forget... you have tons of adjustments before feeling the 'pinch'.
We have been looking at it this way....
If we can make 2-3% per month with little risk and non-threatening time oriented adjustments.... and during the year, experience one or two down months (increasing volatility) and take in returns 20-35% for those VEGA periods..... that will keep the bill collectors away all year long.
Over the past three years, our clubs performance has been outstanding, but we also realize the conditions of the market have played out in our favor. As coach points out... it's all about risk managment. And we feel this type of trade helps to better allow for managing the risk.
It's a strategy of 'patience'.
M~
Take a graphical analysis look at these three diagonals:
-10 Sept 1225p
+10 Oct 1200p
-5 Sept 1275p
+5 Oct 1260p
-10 Sept 1350c
+10 Oct 1375c
Then tell me what you think. The idea of selling an ATM diagonal came from this months OptionTraderMagazine, so we're experimenting here a little.
Selling ATM puts is bringing in lots of premium should the market stay or go up slightly. And having half the position helps offset downside risk as the lower diagonal increases in value.
Tell me you thoughts...
With the VIX crrently relatively high (15%).... you would be looking at over a 100pt window with around 5% return on margin. That doesn't seem to compare fairly with credit spreads, but consider the market moving down (seasonality)... you have potential returns of 30%+, if volatility moves up 4% from here. Your lower B.E. point also slides down as vol increases.
Conversely, if the VIX drops 3% to 12, you would be around Break even. It is a VEGA play...
Oh, and don't forget... you have tons of adjustments before feeling the 'pinch'.
We have been looking at it this way....
If we can make 2-3% per month with little risk and non-threatening time oriented adjustments.... and during the year, experience one or two down months (increasing volatility) and take in returns 20-35% for those VEGA periods..... that will keep the bill collectors away all year long.
Over the past three years, our clubs performance has been outstanding, but we also realize the conditions of the market have played out in our favor. As coach points out... it's all about risk managment. And we feel this type of trade helps to better allow for managing the risk.
It's a strategy of 'patience'.
M~
Coach,
Thanks for your article on ratio spread. In your article, it seems that you like ratio spread better than credit spread. I think the ratio spread gives you a better expectancy in the long runs, and more flexibility.
However, did you consider the margin requirement? The Return on Margin for ratio spread might be lower than that of credit spread.
Thanks for your article on ratio spread. In your article, it seems that you like ratio spread better than credit spread. I think the ratio spread gives you a better expectancy in the long runs, and more flexibility.
However, did you consider the margin requirement? The Return on Margin for ratio spread might be lower than that of credit spread.