SPX Credit Spread Trader
- Thread starter El OchoCinco
- Start date
Me too, very pretty down day today 
ES futures are forming a bottom pattern at 1327 right now 
Here is an idea I am looking into:
An OTM Short Butterfly placing the wings and body across different expiration months:
Sell 1 OCT ES 1360 @ 3.30
Buy 2 NOV ES 1360 @ 9.00
Sell 1 DEC ES 1360 @ 14.75
Based on how well you shave the net debit/credit would be about zero.
The goal is for ES to not move above 1360 by the first expiration month.
Then I would have 2 long NOV ES 1360s and 1 short DEC ES 1360. I think I would then be able to close them out for a net credit and a nice profit.
If the market is above 1360 at expiration in OCT, then the Across strike Fly would be worth about the same based on my quick research. In other words, OCT strike would have only intrinsic value and that and the ITM DEC strike would be offset pretty much by the NOV long strikes. Also there is room for more adjustments...
I think I will put one on and see.
If VEGA increases on a rise, it should balance out. If VEGA increases on a market drop, delta loss and theta in the OCT should offset mostly as well.
The goal would be to have the OCT expire worthless and then have many profit opportunities with the remaining NOV and DEC positions but be hedged against sharp drops or rises.... I think I might be able to massage it to make money in either up or down movements since a short FLY is meant for that. I would like to get in for a credit but it does not look that way based on testing some strikes now...
HMmmmm
An OTM Short Butterfly placing the wings and body across different expiration months:
Sell 1 OCT ES 1360 @ 3.30
Buy 2 NOV ES 1360 @ 9.00
Sell 1 DEC ES 1360 @ 14.75
Based on how well you shave the net debit/credit would be about zero.
The goal is for ES to not move above 1360 by the first expiration month.
Then I would have 2 long NOV ES 1360s and 1 short DEC ES 1360. I think I would then be able to close them out for a net credit and a nice profit.
If the market is above 1360 at expiration in OCT, then the Across strike Fly would be worth about the same based on my quick research. In other words, OCT strike would have only intrinsic value and that and the ITM DEC strike would be offset pretty much by the NOV long strikes. Also there is room for more adjustments...
I think I will put one on and see.
If VEGA increases on a rise, it should balance out. If VEGA increases on a market drop, delta loss and theta in the OCT should offset mostly as well.
The goal would be to have the OCT expire worthless and then have many profit opportunities with the remaining NOV and DEC positions but be hedged against sharp drops or rises.... I think I might be able to massage it to make money in either up or down movements since a short FLY is meant for that. I would like to get in for a credit but it does not look that way based on testing some strikes now...
HMmmmm
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