SPX Credit Spread Trader

AUG ES options are still trading today. With that in mind, here were my two diagonal trades for the month. This is for illustrative purposes only. I do not claim any expertise with this strategy. My normal trades are about as subtle as a rhino horn up the backside :)

7/25 ES 1277 VIX 14.3
STO AUG 1240P @ 6.00 delta 0.219
BTO SEP 1200P @ 7.00 delta 0.156 debit (1.00)
VIX was "fairly" low for the time, and daily stoch was overbought. Good time for a put diag.

8/4 ES 1292 VIX 13.91
STO AUG 1310C @ 4.65 delta 0.283
BTO SEP 1330C @ 5.75 delta 0.223 debit (1.10)
ES looked strong, so I put this one on with a target above the high of 6/2.

8/18 ES 1301 VIX 12.07
AUG options are still trading, but I will assume they expire worthless.
SEP 1200P are worth about 1.00, making the put diagonal a breakeven, even though the market is 24 points higher, and VIX is 2 points lower.
SEP 1330C is worth about 3.30, giving a profit of 2.20 points for the trade.

It was interesting to monitor the call diagonal. As the market approaches your short, you are simultaneously rooting for the increased profit and wondering if you will have to adjust since a little more movement will turn your profit into a loss.

I have to say, the ToS risk graphs are a HUGE educational tool in this regard. Anyone who doesn't have one should setup an account and try it out. You can use the software for free for 10 days before funding the account. Its a no-brainer.
 
>You can use the software for free for 10 days before funding the account. Its a no-brainer.

I have to agree.

It takes awhile to learn the functions and nuances of the analysis tab. For example, if you get an immediate loss on the position, you have to troubleshoot to see what went wrong. Common reasons include locking down the price and wrong date, analyzing multiple positions (when you only wanted to look at one.

You can look at the greeks of your entire portfolio. WOW!

I find it amazing that they do not charge for the platform.
 
So the puts are 40-wide and the calls are 20-wide. Did ToS hold just 40-wide in margin even though the strike distance is different?

OX requires the strike distance to be the same on IC's and does not share margin at all on diagonals (hopefully that oversight will change with the new clearing firm they just announced.)

Quote from jeffm:

AUG ES options are still trading today. With that in mind, here were my two diagonal trades for the month. This is for illustrative purposes only. I do not claim any expertise with this strategy. My normal trades are about as subtle as a rhino horn up the backside :)

7/25 ES 1277 VIX 14.3
STO AUG 1240P @ 6.00 delta 0.219
BTO SEP 1200P @ 7.00 delta 0.156 debit (1.00)
VIX was "fairly" low for the time, and daily stoch was overbought. Good time for a put diag.

8/4 ES 1292 VIX 13.91
STO AUG 1310C @ 4.65 delta 0.283
BTO SEP 1330C @ 5.75 delta 0.223 debit (1.10)
ES looked strong, so I put this one on with a target above the high of 6/2.

8/18 ES 1301 VIX 12.07
AUG options are still trading, but I will assume they expire worthless.
SEP 1200P are worth about 1.00, making the put diagonal a breakeven, even though the market is 24 points higher, and VIX is 2 points lower.
SEP 1330C is worth about 3.30, giving a profit of 2.20 points for the trade.

It was interesting to monitor the call diagonal. As the market approaches your short, you are simultaneously rooting for the increased profit and wondering if you will have to adjust since a little more movement will turn your profit into a loss.

I have to say, the ToS risk graphs are a HUGE educational tool in this regard. Anyone who doesn't have one should setup an account and try it out. You can use the software for free for 10 days before funding the account. Its a no-brainer.
More...
 
With the VIX so low, I'd like to place my first put diagonal. I'm having trouble deciding between the two following trades

Sep 1225/Oct 1200 mid at $2.00

Sep 1200/Oct 1175 mid at $1.65

Any suggestions, advice, etc.
 
Quote from rdemyan:

With the VIX so low, I'd like to place my first put diagonal. I'm having trouble deciding between the two following trades

Sep 1225/Oct 1200 mid at $2.00

Sep 1200/Oct 1175 mid at $1.65

Any suggestions, advice, etc.
More...

As whipshaw as the market has been, why tempt matters, go with the lowest. 'Tis better to give up $0.35 than to get in a pinch.

My $0.02.
 
The trades were ES options, which ToS doesn't offer. I trade them through IB. I would move to ToS in a heartbeat if they had globex futures options and SPAN margin. Instead, I am going to either rollover a small retirement account to ToS, or just stick $3500 in a cash account with them so I can have access to their software.

The span margin for a 40 point diagonal isn't prohibitive. The max loss potential on a 40 wide diagonal may be prohibitive. I leave that decision to the individual trader. :)

Quote from ffa99:

So the puts are 40-wide and the calls are 20-wide. Did ToS hold just 40-wide in margin even though the strike distance is different?
More...
 
Quote from rdemyan:

With the VIX so low, I'd like to place my first put diagonal. I'm having trouble deciding between the two following trades

Sep 1225/Oct 1200 mid at $2.00

Sep 1200/Oct 1175 mid at $1.65

Any suggestions, advice, etc.
More...

How about the 1225/1175 for a much smaller debit?

Mark
 
My vertical credit spread side agrees with you. I should have mentioned that the mid prices are debits not credits.

Quote from Crucis:

As whipshaw as the market has been, why tempt matters, go with the lowest. 'Tis better to give up $0.35 than to get in a pinch.

My $0.02.
More...
 
That's a huge margin, isn't it? If I get 10 contracts that would be $50,000 in margin. My vertical credit spread side doesn't like that esp. since I don't know how much profit, if any, I'll end up with.

Mid on the 1225/1175 is $1.00 debit.


Quote from dagnyt:

How about the 1225/1175 for a much smaller debit?

Mark
More...
 
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