SPX Credit Spread Trader
- Thread starter El OchoCinco
- Start date
UPDATE CURRENT OPEN POSITION SUMMARY OF SPREADS:
1. SPX August Credit Spread
LIMPING Iron Condor
STO 300 AUG SPX 1125/1115 Put Spreads @ $0.50
Credit = $15,000
UPDATE Closed put spread for $0.05 and rolled up to 300 SPX 1210/1220 for $0.25. Thus an additional net credit of $0.20 or $6,000
STO 150 AUG SPX 1310/1320 Call SPreads @ $0.55
Credit = $8,250
NEW COMBINED CREDIT = $29,250
Return = 10.8%
-------> I held on to the calls on the lack of strength above 1280 and looks like I will be rewarded with SPX around 1270 with 4 days to expiration. Going to leave the position to expiration for a huge July return.
2. ES/EW Call Ratio Diagonal Spread
AUG 1330 ES Calls not worth too much now and did not take profits when they were worth about 1.00. But still had a nice net credit profit and will probably let it run unless there is still some premium when I check the quotes today. This was a nice diagonal for a ncie credit return of 3.8%
Net Credit Profit = $2,750
3. 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
--------> Still holding on as I see potential for downward movement into the end of the summer and into September. The AUG puts will expire worthless and the SEP might have some good profit potential if we get a strong move lower and VIX increase.
1. SPX August Credit Spread
LIMPING Iron Condor
STO 300 AUG SPX 1125/1115 Put Spreads @ $0.50
Credit = $15,000
UPDATE Closed put spread for $0.05 and rolled up to 300 SPX 1210/1220 for $0.25. Thus an additional net credit of $0.20 or $6,000
STO 150 AUG SPX 1310/1320 Call SPreads @ $0.55
Credit = $8,250
NEW COMBINED CREDIT = $29,250
Return = 10.8%
-------> I held on to the calls on the lack of strength above 1280 and looks like I will be rewarded with SPX around 1270 with 4 days to expiration. Going to leave the position to expiration for a huge July return.
2. ES/EW Call Ratio Diagonal Spread
AUG 1330 ES Calls not worth too much now and did not take profits when they were worth about 1.00. But still had a nice net credit profit and will probably let it run unless there is still some premium when I check the quotes today. This was a nice diagonal for a ncie credit return of 3.8%
Net Credit Profit = $2,750
3. 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
--------> Still holding on as I see potential for downward movement into the end of the summer and into September. The AUG puts will expire worthless and the SEP might have some good profit potential if we get a strong move lower and VIX increase.
nice...just listening to the intro was relaxing
bob...unfortunately too old for d,s, R&R
Ryan I do need a sport that doesn't allow for daydreaming...in Tennis I'm waiting to receive serve thinking "do I want to hold that VIX put for one more day"
Cache ...Costa Rica is on my travel list...unfortunately getting away for us these days just seem to be to visit family.
I AM going to start planning MY dream trip
http://www.aranui.com/ I am g...is next exp...we'll see how it goes..thx guys
Coach,
Volatility has taken it's toll on the Put Diagonals this month, but the profit is still satisfying.
FYI, we're probably going to sell twice (2) the number of SEP 1210p against the Sept 1200p and also buy a half-lot of Oct 1175p. This will essentionally end up being:
1210/1200p Credit Spread
1210/1175p Diagonal
M~
Volatility has taken it's toll on the Put Diagonals this month, but the profit is still satisfying.
FYI, we're probably going to sell twice (2) the number of SEP 1210p against the Sept 1200p and also buy a half-lot of Oct 1175p. This will essentionally end up being:
1210/1200p Credit Spread
1210/1175p Diagonal
M~
What do you think about 2 verticals same strikes but diff months, short the front month and long the back month (or essentially 2 calendars one long one short)
Such as
(edit: prices are from last week when I was typing this)
BTO Sept 1175 put
STO Sep 1200 put
Credit 2.05
BTO Dec 1200 put
STO Dec 1175 put
Debit 4.2
Net debit of 2.15
Then roll it each month - sell verticals in Oct and Nov worth at least 1.10 each to break even, and the back month debit spread is a built in hedge.
If you prefer to talk in calendars it would look like
BTO Sept 1175 put
STO Dec 1175 put
BTO Dec 1200 put
STO Sep 1200 put
That to me is more confusing, but itâs the same position.
Some observations:
Like a diagonal, but with no uncovered spread
Much like diagonals, avoid this when VIX is high, might be a good thing to do when VIX is low and regular verticals donât look so hot
A close right at 1175 in Sept would cause a 15 point loss while the Dec vert is only worth probably around 8-9
You have to roll to Oct by paying a debit of around 9 (15 to close and probably around 6-7 to open) - ouch
Best Case Scenario
Market closes just above your short leg in Sept, Oct and Nov. You get to write fully hedged, ATM credit spreads for rediculously fat premiums, and then still sell off your hedge for a credit at the end.
Worst case scenario
VIX plummets and index closes right at the bottom of your short vert front month (as above) - you eat the 8-9 pt debit rolling to Oct hoping to make it back when you roll to Nov. But instead the same thing happens and you have to eat another 8-9 pt debit. Or the market then takes off and you cant sell Nov for sh!t, and your Dec long is on life support.
Pros
You can sleep at night, fear no black swans - worst case scenario is rather specific
Similar to diagonals, but with same strikes, nothing is "uncovered"
More narrow loss range than a diagonal (I think) since if market rockets through your short strike and keeps going, back month long can negate loss if it goes deep ITM
Small debit to overcome
Cons
Small debit to overcome can never be done at a credit, unlike diagonals
Although you can't blow up, the worst case scenario is about as bad
No idea how to make adjustments, should the worst case scenario begin. Help! Anyone have input?
Since *if* it breaks through your front short leg, you want it to do it in a big way to overcome the delta of your back month, this might be a good thing to do below support levels or above resistance. If the market hangs around those s/r levels but doesnât break them, you make a killing. If it shoots through them, you have a small loss.
Thoughts?
Such as
(edit: prices are from last week when I was typing this)
BTO Sept 1175 put
STO Sep 1200 put
Credit 2.05
BTO Dec 1200 put
STO Dec 1175 put
Debit 4.2
Net debit of 2.15
Then roll it each month - sell verticals in Oct and Nov worth at least 1.10 each to break even, and the back month debit spread is a built in hedge.
If you prefer to talk in calendars it would look like
BTO Sept 1175 put
STO Dec 1175 put
BTO Dec 1200 put
STO Sep 1200 put
That to me is more confusing, but itâs the same position.
Some observations:
Like a diagonal, but with no uncovered spread
Much like diagonals, avoid this when VIX is high, might be a good thing to do when VIX is low and regular verticals donât look so hot
A close right at 1175 in Sept would cause a 15 point loss while the Dec vert is only worth probably around 8-9
You have to roll to Oct by paying a debit of around 9 (15 to close and probably around 6-7 to open) - ouch
Best Case Scenario
Market closes just above your short leg in Sept, Oct and Nov. You get to write fully hedged, ATM credit spreads for rediculously fat premiums, and then still sell off your hedge for a credit at the end.
Worst case scenario
VIX plummets and index closes right at the bottom of your short vert front month (as above) - you eat the 8-9 pt debit rolling to Oct hoping to make it back when you roll to Nov. But instead the same thing happens and you have to eat another 8-9 pt debit. Or the market then takes off and you cant sell Nov for sh!t, and your Dec long is on life support.
Pros
You can sleep at night, fear no black swans - worst case scenario is rather specific
Similar to diagonals, but with same strikes, nothing is "uncovered"
More narrow loss range than a diagonal (I think) since if market rockets through your short strike and keeps going, back month long can negate loss if it goes deep ITM
Small debit to overcome
Cons
Small debit to overcome
can never be done at a credit, unlike diagonalsAlthough you can't blow up, the worst case scenario is about as bad
No idea how to make adjustments, should the worst case scenario begin. Help! Anyone have input?
Since *if* it breaks through your front short leg, you want it to do it in a big way to overcome the delta of your back month, this might be a good thing to do below support levels or above resistance. If the market hangs around those s/r levels but doesnât break them, you make a killing. If it shoots through them, you have a small loss.
Thoughts?
Coach and Murray,
You seem to get your diagonals for around 2.25 from your trades that i can see.
But I seem to pay around 3.00 to 3.3
eg currently the SEP1225/OCT1200 diagonal. I get a mid price of 3.10. Am i paying too much or Do you guys get the same price?
I just can't seem the get the 2.25 debit that you normally pay for your diagonals. Am i doing something wrong?
Thanks for any feedback. Im signing out for the day.
You seem to get your diagonals for around 2.25 from your trades that i can see.
But I seem to pay around 3.00 to 3.3
eg currently the SEP1225/OCT1200 diagonal. I get a mid price of 3.10. Am i paying too much or Do you guys get the same price?
I just can't seem the get the 2.25 debit that you normally pay for your diagonals. Am i doing something wrong?
Thanks for any feedback. Im signing out for the day.
Timing of entries perhaps and the time to expiration before I put them on plus VIX comparisons. So many factors go into it really. I placed my diagonal after the market moved off the lows to get in at low IVs and at a technical point in the index. I do not think I can get 2.25 everytime .
.