Heather think T O S
SPX Credit Spread Trader
- Thread starter El OchoCinco
- Start date
Heather think T O S
I downloaded it through my prop to try out but been so busy with futures and option futures I have not tried it. Heard good things but no personal opinion yet. ToS is very good too..
Hi Option Coach & others!
I know all you guys trade mostly SPX spreads & dont usually open new position in the naked calls/puts in the expiring front month options. Being a oxy moron I did & now iam calling the doctor!!!! I want to repair the situation before it could become a total loss come Friday sep15th.So Iam soliciting some ideas /views.
Around 5th/6thSep I bought SPY131 calls (dont ask why & how!!)
5 each @ 0.95 ,0.90,0.80,0.75. so average 20 contracts @ 0.85
add another long 5 contracts on 8thsep @0.35
Net position now 25 contracts.
On 7th & 8th I shorted first & covered few times SPY130 calls for 0.05/0.10 profit between 1.00-0.75
Also bought first &then sold for profit 3/4 times (0.05/0.10)SPY 129 call between 1.40-1.65.
Thus I have traded some what proifitably around (130call short/129call long )the original loosing 131 call position last few days.
For the next option expiry week
scene 1.Monday 9/11 anniversery :if the markets make a closing high to make the news paper headlines(ES +12/YM +150)
then I can sell all spy131 calls possibly at 0.75-.80 best & quit.
or
scene 2: option expiry may trade down to 1291/1285 or lower -
Against my 25 131long calls On Monday iam considering shorting 10 130 calls (right now 0.75-.80) & 5 129 calls (right now at 1.60 or so)
If option expiry is at 131 -my 25 131 calls will be worthless & I have pay the loss in 5 short 129call & 10 short 130 call (less what I took in) (I might loose slightly more than cutting loss now)
any close above 131 my 25 131 calls will ring in more than my shorts.
If it closes at 130 ,I loose all my 131 premium,keep the 130 short premium & pay for 5 short 129 difference.
If it closes below 130/129 then all my short options will loose value faster than my long premium (anyway my longs already lost more than 50%)
Last few days in the expiring options all greeks may not count.This is more like a lottery.
Still this hedge trade (even if I loose is not going to break the bank) will be interesting . any ideas guys!
thanks
I know all you guys trade mostly SPX spreads & dont usually open new position in the naked calls/puts in the expiring front month options. Being a oxy moron I did & now iam calling the doctor!!!! I want to repair the situation before it could become a total loss come Friday sep15th.So Iam soliciting some ideas /views.
Around 5th/6thSep I bought SPY131 calls (dont ask why & how!!)
5 each @ 0.95 ,0.90,0.80,0.75. so average 20 contracts @ 0.85
add another long 5 contracts on 8thsep @0.35
Net position now 25 contracts.
On 7th & 8th I shorted first & covered few times SPY130 calls for 0.05/0.10 profit between 1.00-0.75
Also bought first &then sold for profit 3/4 times (0.05/0.10)SPY 129 call between 1.40-1.65.
Thus I have traded some what proifitably around (130call short/129call long )the original loosing 131 call position last few days.
For the next option expiry week
scene 1.Monday 9/11 anniversery :if the markets make a closing high to make the news paper headlines(ES +12/YM +150)
then I can sell all spy131 calls possibly at 0.75-.80 best & quit.
or
scene 2: option expiry may trade down to 1291/1285 or lower -
Against my 25 131long calls On Monday iam considering shorting 10 130 calls (right now 0.75-.80) & 5 129 calls (right now at 1.60 or so)
If option expiry is at 131 -my 25 131 calls will be worthless & I have pay the loss in 5 short 129call & 10 short 130 call (less what I took in) (I might loose slightly more than cutting loss now)
any close above 131 my 25 131 calls will ring in more than my shorts.
If it closes at 130 ,I loose all my 131 premium,keep the 130 short premium & pay for 5 short 129 difference.
If it closes below 130/129 then all my short options will loose value faster than my long premium (anyway my longs already lost more than 50%)
Last few days in the expiring options all greeks may not count.This is more like a lottery.
Still this hedge trade (even if I loose is not going to break the bank) will be interesting . any ideas guys!
thanks
I too have modelled the effect a 10% drop and a huge vix spike on a double (or single) diagonal. The question I have is how wide will the option b/a spreads be in the event of a black swan, and how far from the mid will you be able to get filled.
Thanks
Pete
Interesting, and something I had not really considered.
The spread will probably be huge because of the high vol and deep ITM status. What's more, although the losses will be limited or even end up making a profit because of the vol spike, that condition may not last for very long. So acting fast to capture the vol spike will be very important.
The diagonal can be seen as a vertical on one of the moths plus a calendar on a corresponding strike.
The vertical will probably be at max loss and could be ignored for a while or locked by selling the corresponding OTM bear call spread.
All of the gains will be on the calendar spread and they will be due to volatility. So how about the idea of going vega neutral by selling ATM calendars - which will be more liquid and have better b/a spreads? The whole thing can then be unwind when conditions stabilize.
I'll try to backtest this in the next few days. Better to have a plan before you need it.
Of course Phil will be there. He will be handing out complementary copies of his book! Just make sure you have the cookies and juice for him Murray.
Murray, I'm going to need a copy of the guest list before I come. My security team wants to know in advance all the rogue ET'ers that might sneak in to attack me. This is simply a pre-cautionary measure.
any idea where in that 10-15 pt spread you could get filled?
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
---> Current credit to close spread = 12.75 (35%)
Spread is working nicely as ES keeps moving lower. One could close the spread for a quick profit, but my plan is to hold on until the ES expiration this Friday and then evaluate the current premiums to determine best course of action and profit.\
I think I can use these calendars on the put side and the diagonals on the calls side and have a nice neutral position with consistent profits and mix in the put vertical credit spreads when the opportunity presents itself.
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
---> Current credit to close spread = 12.75 (35%)
Spread is working nicely as ES keeps moving lower. One could close the spread for a quick profit, but my plan is to hold on until the ES expiration this Friday and then evaluate the current premiums to determine best course of action and profit.\
I think I can use these calendars on the put side and the diagonals on the calls side and have a nice neutral position with consistent profits and mix in the put vertical credit spreads when the opportunity presents itself.