SPX Credit Spread Trader

Hi, Group;

Finally got the down day I've been looking for. I am contemplating my first Put diagonal. I'm trading the Russell 2K and have a nice $.60 call credit spread that looks pretty safe to expiry.

I want to round out the month with something on the Put side. 670 has been a solid support level for the last 2 and 1/2 months. Mid-point at close today is $1.1; the Oct. 660P is $6.4.

I need help planning my defensive strategy should the Russell decide to go back up by 9/15. In that event, should I roll to the Oct. 670 if its current price falls by $1.1, thereby creating an Oct. Bull Put Spread for a credit of approx. $.5?

In the same vain, I need help with projecting option prices based on changes in the underlying. I use OX and it has an option pricer, but I don't know the drill. What I want to project is how much would the R2K have to rise for the Oct. 670 Put to drop from today's close of $8 to say $7?

Thank you,

Bob (the one who suffers from lack of oxygen)
 
Quote from rallymode:

his other trades can be hedged somewhat. This one cannot.
More...

So you are worried about the slope of the gamma into the last week?

-segv
 
I am trying to see what is the tick in IB for future option, managed to figure it out.

Use Coach recent diagonal put as an example of selling the SEP EW 1340 and bought the OCT ES 1360..

The tick in IB is ES. last night with ES Sep Future ESU6 at $1305.25
ES Sep 1340 Call Future Option EWU6 $4.80b $5.50a (select EW class)
ES Oct 1360 Call Future Option ESV6 $4.15b $4.50a (select ES class)

The commission should be $1.65/contract in IB for option future.

Anyone could advise me what much is the margin required in IB ?
 
I told you ..... it may take a while to break yiou from some of those old habits..... (put credit spreads, but you'll soon be converted to a...

"D.D" devil yourself

:) M~



Quote from optioncoach:

New Experimental Put Calendar Spread:- Update

Original Position

BOUGHT 1 OCT EW 1290 Put @ 12.00 ($600 EOM Options)

SOLD 1 SEP ES 1290 Put @ 2.50 ($125)

NET DEBIT = $475.00 9.50



With the nice pull back today in the market the spread is currently priced at 11.30 (15.50/4.20) to close. I am not looking to close it now but just wanted to track price changes with moves in the market.
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Put Diagonal Commentary:

Been busier than a bee... setting up a 40 page operating agreement, brochure, meetings, lawyers, etc... whew!!!!

Just wanted to highlight some 'moments' ....

While trading the Put Diagonal postions for the past seven months.... the 'panic' attack or 'ulcer' level... just doesn't occur as compared to the Credit Spread. I understand the FOTM management princples.... but it is a matter of WHEN, not if, we experience our next catastrophic event... and I feel much more comfortable in the Put Diagonal Strategy.

Up until yesterday, the market had moved completly against most Put Diagonal positions.... but they were still around break even.... and without panic. Today... with a little help from Mr. VIX, the positions just took off. This 1.5% rise in VIX, sent our Put Diagonal positions up 6.25%. Just one day! So I thought I'd share a little analysis.

Last night at our investment club meeting we showed what would happen to a say... 1225/1250 Sept/Oct Put Diagonal if the SPX went down 150pts. For those of you folloing the SPX.... that's a steep one day.. .over night drop. Based on previous volatiltiy levels... during other such panic events.... we established a scenario using ToS's analyze features.... and showed the class... how 'protective' the position is of itself.

In summary.... depending on your b/a exit... you could get out without a loss. Now that's comforting..... but what they really liked... was when we showed them how sellilng a back month March option against the current Oct long positions could profit in the $30 range... give or take a few $$. And we then showed them how the position was covered.... without any further risk to the downside.

Just can't wait for the next big event to occur. It's right around the corner!

Hopefully, in the next few weeks, I'll put together and powerpoint and pass it along, which will show the analysis more visually....

Until Next Time.... "pray for wind"

~ ~ _/) ~

M~
 
And we then showed them how the position was covered.... without any further risk to the downside.
-----------------------------------------------------------------------------------

M
could you please elaborate the above.Powerpoint is a terrific idea,but until then... to satisfy our curiosity.

thanks
 
Sailing,

gotta admit, I thought you guys were screwed on the put diagonal...of course, I was also thinking my 1230/1245 call CS was screwed too...I was going to bed last night thinking today we would see 1320 or more as the "big money returned to add even more money and volume to the rally"...apparently that was a load of crap being fed to us by the know-nuthin tv analysts


Congrats guys, hope the SPX continues to the downside
 
Quote from Sailing:

Put Diagonal Commentary:

Been busier than a bee... setting up a 40 page operating agreement, brochure, meetings, lawyers, etc... whew!!!!
More...

Wow!! Sounds like you decided to take the difficult route. So I'm guessing you either have some really paranoid people in your club..... or..... you are really going to be trying to grow the investment pool?
 
yes M, what is the rational behind selling the march back month?

Quote from Heatheranderson:

And we then showed them how the position was covered.... without any further risk to the downside.
-----------------------------------------------------------------------------------

M
could you please elaborate the above.Powerpoint is a terrific idea,but until then... to satisfy our curiosity.

thanks
More...
 
Quote from kalikahuna:

Sailing,

gotta admit, I thought you guys were screwed on the put diagonal...of course, I was also thinking my 1230/1245 call CS was screwed too...I was going to bed last night thinking today we would see 1320 or more as the "big money returned to add even more money and volume to the rally"...apparently that was a load of crap being fed to us by the know-nuthin tv analysts


Congrats guys, hope the SPX continues to the downside
More...

Haha.... In my experience, the "big money" generally comes in to reverse the trend. It wouldn't make any sense for the big institutional money to come in and start a big buying frenzy for no reason. But it makes perfect sense for them to take profit after an unwarranted rally.
 
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