SPX Credit Spread Trader

Quote from ffa99:

Regarding buying options at the close prior to expiration... I too have tried this but don't trade them anymore. It doesn’t appear to me to be a profitable strategy long-term. I have analyzed 3 years worth of data looking at Thursday close vs settlement on SPX, NDX, OEX. I looked at variables such as p/c ratio, VIX, max pain, volume, and trend going into expiration. There appears to be no recognizable pattern or predictor that the settlement price is susceptible to being whacked. It was random. Having said that, the 4 best strategies I could come up with were:
#1) On Thursday Buy the ATM SPX call about an hour before close for approximately $3 and hope the settlement is higher by at least $3.
#2) Same as #1 but buy the bull call spread.
#3) Same as #1 but buy the CTM SPX call for less than $1 and hope a big move happens.
#4) Same as #1 using OEX. At least this can be closed Friday morning and not be a total loss. This occasionally resulted in a double, but requires having the STC order pending on the open.
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As an experiment, I bought a 1315 straddle yesterday @ $6.20. I've noticed that SPX usually has a wide swing on the last trading day.

So far the put side looks promising.

Cru
 
I have the Sep 1325c/Oct 1350c diagonal. My breakeven at expiration is approx 1333. With the market currently at 1314 as I write this it looks like I will hold on and let SET fall where it may (I'm rooting for 1325 .:D). If we have a rally later in the day I may change my mind but only time will tell.
 
Not to skew the experiment but remember this is quad witching week so the SPX moves might be bigger than on the other expiration days so do not take this Thu and Fri's activity as the norm.
 
Quote from optioncoach:

Not to skew the experiment but remember this is quad witching week so the SPX moves might be bigger than on the other expiration days so do not take this Thu and Fri's activity as the norm.
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Coach,

What did you mean by "quad witching week"?
 
Well better said Quad witching day, equity options, index options, futures and options on futures all expire at thee nd of this week. Potential for lots of market volatility.
 
Looking to sell about 500 - 600 contracts but I am being aggressive on the limit price so I doubt I will be filled unless we move back lower. I do not want to be above 1230 on the short strike given past support levels.

Quote from riskarb:

How many are you looking to unload? :cool:
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Quote from optioncoach:

Looking to sell about 500 - 600 contracts but I am being aggressive on the limit price so I doubt I will be filled unless we move back lower. I do not want to be above 1230 on the short strike given past support levels.
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Would you sell futs into the exposure? IOW, would you hedge immediately? If so, what vehicle?
 
Quote from optioncoach:

Have an open order to get filled on OCT SPX 1225/1230 at $0.35 limit but no bites as of yet...
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Coach,

normally you are using 15 point interval, why now is 5?
And then I saw the chains the bid ask is n/a 1.00, can we can filled on the n/a 1.00 bid ask?

And then I try to open a 5 contracts order, but it seems so difficult, is it because to small contract?
 
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