SPX Credit Spread Trader

Quote from volatilitypimp:

.0025

~50%APY
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:eek:


A bit worse than you quote as an APR. Back to your regurlarly scheduled program. Can only make a case for holding that vig for expiration week into -dgamma. Not something that would sit too well if your strangles turn into losers.
 
Indeed. Talk about adding insult to injury :( . Okay enough of the commercials.

[edit: the real benefit imho is trading into lock positions, as they are treated as being flat, i.e. no vig charges.]
 
Got filled on my Sept/Oct Diagonal this morning. Details:
VIX : 13.40
STO 10 SPX SEPT 1225 PUT
BTO 10 SPX OCT 1200 PUT
Mid of : 3.00 Debit
Fill at : 3.20

Current Mid : 2.95.

I tried to get filled at 3.10 forever but couldn't.

I'm looking at adding Mav and Sailing's Xmas tree diag at Sept 1250/ Oct 1225, but only 5 contracts.

After that I'm looking to get into a Call credit spread, but I'm not sure of my strikes yet, probably above 1325.

Comments are always appreciated. Attached is the TOS graph of the position.

burrrrrrrrrrrrrrrrrrrrr.....


Quote from optioncoach:

Grabbed a diagonal today using ES and EW Calls for SEPT and AUG. I pushed hard legging in so did not get the best fills I wanted as the market crept higher but I still like it for post AUG expiration gains:

Sold 135 AUG EW 1315 Calls @ Average Price of 1.83
Credit = ~ $12,402.50

Bought 150 SEP ES 1335 Calls @ 1.45
Debit = $10,875

NET CREDIT = $1,527.50
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Attachments

We're looking the same... but also adding a small positions at 1275/1250

That's not a bad fill... and I like the fact you're filling on an up day...

M~


Quote from burrben:

Got filled on my Sept/Oct Diagonal this morning. Details:
VIX : 13.40
STO 10 SPX SEPT 1225 PUT
BTO 10 SPX OCT 1200 PUT
Mid of : 3.00 Debit
Fill at : 3.20

Current Mid : 2.95.

I tried to get filled at 3.10 forever but couldn't.

I'm looking at adding Mav and Sailing's Xmas tree diag at Sept 1250/ Oct 1225, but only 5 contracts.

After that I'm looking to get into a Call credit spread, but I'm not sure of my strikes yet, probably above 1325.

Comments are always appreciated. Attached is the TOS graph of the position.

burrrrrrrrrrrrrrrrrrrrr.....
More...
 
Hmm, does this mean your adding more than two layers to your Xmas tree? So say 2x1275/1250 5x1250/1225 10x1225/1200?

I'm really using the VIX as a indicator for these diags. I should be trading my call credit spreads today, but since I'm on vacation until the 28th I don't like puttin on positions and not being able to watch them when I don't make money approaching the short strike.

bababuurrrr....


Quote from Sailing:

We're looking the same... but also adding a small positions at 1275/1250

That's not a bad fill... and I like the fact you're filling on an up day...

M~
More...
 
Quote from volatilitypimp:

Perhaps I'm confusing myself, lol. The offer is actually 10-1 intraday for options and 5-1 overnight. And it's 20-1 for stock leverage.

[edit: the 10-1 really helps me out because I can leg into spreads with the short leg first no problemo. So in that regard I have a lot more freedom. And like I said you can carry 5-1 overnight if you wish, but the vig isn't cheap. So the setup is really geared towards the risk, stat, vol, conv. arb types of traders]
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Since it is a prop firm, we don't get any protection for our account. Am I right?

I like the idea of using the intraday leverage to leg in the short first.
 
Quote from volatilitypimp:

Perhaps I'm confusing myself, lol. The offer is actually 10-1 intraday for options and 5-1 overnight. And it's 20-1 for stock leverage.

[edit: the 10-1 really helps me out because I can leg into spreads with the short leg first no problemo. So in that regard I have a lot more freedom. And like I said you can carry 5-1 overnight if you wish, but the vig isn't cheap. So the setup is really geared towards the risk, stat, vol, conv. arb types of traders]
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its a prop shop ? You need 7 to join?
thanks , v-pimp
 
Quote from yip1997:

Since it is a prop firm, we don't get any protection for our account. Am I right?

I like the idea of using the intraday leverage to leg in the short first.
More...

Correctamundo. No SIPC insurance or other safeguards that retail houses have. BUT, you are only at risk for the amount of money you deposit with their LLC. Kinda like a call option on your money. If you blow out, you're only on the hook for the deposited amount(Simplex eats the remainder of the loss) unlike a retail brokerage which will come after your assets if you are short truckloads of options and get your stikes blown through. These are fat-tailed events we're talking about here. Hey Refco went backrupt, so anything is possible I guess.

It is a decision that each trader must make for themselves. You need to weigh the benefits of the leverage and commissions vs. the *relative* security of the retail house.

If you trade relative value arbitrage primarily and are unconcerned whether or not your money has SIPC insurance, the prop route may be the way you want to go.

Conversly, if the majority of your business is writing three week credit spread paper, retail may be all you really need or want.

You could also split the two accounts like coach does, and I'm sure he and others can articulate the tradeoffs better than I.
 
Quote from burrben:

Hmm, does this mean your adding more than two layers to your Xmas tree?
More...

Might be some confusion over diagonalized Christmas Tree/Ladders vs. quadruple diagonals et al.

Christmas trees are frontspreads. Diagonalized Christmas trees just have the short options in a back month to increase the vega sensitivity. The long Christmas tree would be the more common frontspread short vega variety. The short Christmas tree would be the backspread long vega variety.

Anyway, the long vega double tree is distinct from the quadruple diagonals that I believe Murray is executing. Glad that's all clear now...LOL

The short vega PUT tree is one way to play shorting high volatility and steep skews.

MoMoney.
 
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