SPX Credit Spread Trader

Quote from jeffm:

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.
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I received the following from TOS:

"Interestingly enough we have been discussing this of late and
we expect to bring out futures options next year. As to margins, SPAN is the only permitted margining system for the Globex options, so we will be employing it."
 
Quote from cdowis:

I received the following from TOS:

"Interestingly enough we have been discussing this of late and
we expect to bring out futures options next year. As to margins, SPAN is the only permitted margining system for the Globex options, so we will be employing it."
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I wonder what the commission price point is, that they are eyeing up?

Coach, would u mind telling us what u pay per turn for futures options?
 
Quote from rdemyan:

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.
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Yes, of course. The margin is doubled.

It's my stlye, but I prefer having fewer spreads with a greater distance between the strikes than more spreads with nearer strikes. Same margin requirements.

Mark
 
Quote from rallymode:

And here i am thinking 10-15 pointers are risky. Must be nice living on the edge. :)
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Is it really so far on the edge?

When my strike is broached, I roll. I don't hold and allow myself to get crushed.

I have not been doing these index diagonals for long, and I'm sure there is much to be learned and methods to be changed.

For example, this month I held out until Thursday afternoon before closing the vast majority of my diagonals (Thanks, Murray!). Earlier I was eager to take the profits and reduce risk by opeing spreads in further months - with strikes further OTM. This time, I held and reaped the rewards of expiration week decay. Expiration week negative gamma did not hurt (this time).

Mark
 
Quote from dagnyt:

When you pay a DEBIT for the double diagonal, it's important that you have a good chance to sell out your longs for enough cash to compenstae for that debit.

Suggestions:

a) If trading FOTM, find strikes that allow you to obtain a cash credit when opening the position.

or

b) Move your short strikes closer. Yes, that increases the possibility of being forced to adjust, but it also gives you a better chance to earn a profit from the trade.

Mark
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Mark, I think your reply from the quote was from me and not cdowis. Wonder how that happened :)

a) Not sure how the diagonal behaves when I get a cash credit. I think the properties of the diagonal will be very different to Murray's. It might closer resemble a credit spread and the hedging ability of the Long back month might diminish somewhat when SPX heads towards your short. But Im planning to analyse and try many combinations so will probably try your Credit diagonals.

b) plan to move short strikes closer when I do my next one

cheers
 
DIAGONAL POSITION UPDATE



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

INITIAL NET CREDIT = $1,527.50

With the run up the past few days I decided to sell the extra 15 AUG EW Calls @ 4.00 for additional credit of $3,000.

NEW NET CREDIT = $4,527.50


----> With ES hitting 1307.25 at the close today I will be looking at the possibility of rolling the AUG EW 1315 call to a SEP EW 1345 Call to make a reverse diagonal spread. Right now I can do so for a credit of about 1.50 or just over $11,000. I might hold out longer since we are approaching overbought and I may want to see what happens next week.
 
Coach:
What stochastic parameters do you use to determine your oversold and overbought conditions? OX uses stochastic, Full (10,3,10) as default for their Java charts but am not sure it that is the most accurate for trading credit spreads. Thanks again in advance for your response.

Quote from optioncoach:


----> With ES hitting 1307.25 at the close today I will be looking at the possibility of rolling the AUG EW 1315 call to a SEP EW 1345 Call to make a reverse diagonal spread. Right now I can do so for a credit of about 1.50 or just over $11,000. I might hold out longer since we are approaching overbought and I may want to see what happens next week. [/B]
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