SPX Credit Spread Trader

Quote from riskarb:

I don't think so Chris. IB will guarantee fills on complex spreads, provided you are hitting the bid or offer.
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Risk,

it happened to me many times in the past, and I`ve heard from others about similar experience.

Maybe new spread features mean new spread order system -haven`t tried yet, but as for now, I just leg in.
 
I have a question about diversification. I trade about 1/3 of my account as index CS/ICs and I'm in the fortunate position of having had enough growth to significantly increase the funds available to this strategy. I've been thinking for a while about diversifying by using CS/ICs in another product.

Ideally, it would be something with minimal correlation to the SPX/RUT. Has anyone looked at this? I'm interested in some of the futures (particularly rates, not chocolate eggs/kosher ham/illegal hardwoods, and the other weird stuff there) or in bond ETFs. Does anyone have correlation data, or experience with spreads/condors on these?

Cheers,

Ugly
 
this late in the game one sigma is less than 40 points out. right now you can sell out below the last swing low (1260 ish) and above recent highs (1330ish) with less than a 20 percent chance of touch.


Quote from burrben:

Hey all,
I've been out of touch for the last 14 days, and I'm looking to put on some Sept positions. I'm currently reading all the talking heads but I figured I'd ask this group as well. Anyone have SPX levels in mind that they are looking at?
A service I get has the Sept range at 1180 to 1310, but wondering if the members here might have any insight. I sense we're in a neutral to uptrending market for Sept Ex, opinions?
Rally any nice charts or channel entry points?

I currently have a 10xSPX SEPT/OCT PUT DIAG 1225/1200 with the VIX at 14.5ish. VIX is now at 12.42 so my diag is hurting a but, but no worries yet.

brrrrrrr...
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I've looked into bonds, notes, eurofx, eurodollar, yen as well as crude. the sp has the best characteristics imo.

I'm keeping this short as some may view it off topic, but I feel eurofx and crude have potential.


Quote from uglyboy:

I have a question about diversification. I trade about 1/3 of my account as index CS/ICs and I'm in the fortunate position of having had enough growth to significantly increase the funds available to this strategy. I've been thinking for a while about diversifying by using CS/ICs in another product.

Ideally, it would be something with minimal correlation to the SPX/RUT. Has anyone looked at this? I'm interested in some of the futures (particularly rates, not chocolate eggs/kosher ham/illegal hardwoods, and the other weird stuff there) or in bond ETFs. Does anyone have correlation data, or experience with spreads/condors on these?

Cheers,

Ugly
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Quote from Prevail:

I've looked into bonds, notes, eurofx, eurodollar, yen as well as crude. the sp has the best characteristics imo.

I'm keeping this short as some may view it off topic, but I feel eurofx and crude have potential.
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Thanks. I can see eurofx having minimal correlation to SPX. Crude though - I worry that that would be inversely correlated (which is still correlated). Do you have experience with the premia in these markets?

Still Ugly.
 
Quote from burrben:


Rally any nice charts or channel entry points?
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I got nothing. While i think we dont have much upside left, its too late for SEP and too early for OCT in my opinion.
 
you are right, eurofx is nicely uncorrelated. the main currencies at the cme are highly correlated so pick one. efx's premium to commissions ratio is double the sp.

I thought crude would be neatively correlatd as well. it is more difficult to ascertain as a cash, non backadjusted, underlying is difficult to obtain. as far as I can tell the correlation is not that strong but it is positively correlated. over the extreme long term both instruments tend to go up. crude can have a skew on the calls. premium is still less than the sp. I'm holding off on dealing with new york until they go electonic, it is very difficult dealing with nymex.

Quote from uglyboy:

Thanks. I can see eurofx having minimal correlation to SPX. Crude though - I worry that that would be inversely correlated (which is still correlated). Do you have experience with the premia in these markets?

Still Ugly.
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Quote from Prevail:

this late in the game one sigma is less than 40 points out. right now you can sell out below the last swing low (1260 ish) and above recent highs (1330ish) with less than a 20 percent chance of touch.
More...

Those are exactly my shortest strikes:)
One other possibliity is to go out to OCT as a short term directional play (if you think the market will retreat any time soon) and sell the OCT 1350/1375CS for a nice premium.
 
Quote from Prevail:

you are right, eurofx is nicely uncorrelated. the main currencies at the cme are highly correlated so pick one. efx's premium to commissions ratio is double the sp.

I thought crude would be neatively correlatd as well. it is more difficult to ascertain as a cash, non backadjusted, underlying is difficult to obtain. as far as I can tell the correlation is not that strong but it is positively correlated. over the extreme long term both instruments tend to go up. crude can have a skew on the calls. premium is still less than the sp. I'm holding off on dealing with new york until they go electonic, it is very difficult dealing with nymex.
More...

Excellent info. Thanks.
 
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