SPX Credit Spread Trader

Quote from optioncoach:

You guys both forgot to multiply by $50 which is the value per point in ES... look at it again but add $50 as a multiplier...
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:confused:


Step 1. Bought back 270 SEP EW 1340 Calls @ 4.70

Step 2. Sold 135 OCT ES 1355 Calls @ 5.25
Sold 135 OCT ES 1365 Calls @ 2.55
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You can use a multiplier of $68,000,000 per point if you like; me thinks it doesn't change the net debit of 0.80 for the adjustment.

Relax, you still obtained the short fly for less than fair value (difference to market is equal to PnL on your long 1360 CALLs). The question is, do you still want to own this fly now that you know it has a potential loss?

MoMoney.
 
Quote from optioncoach:

You guys both forgot to multiply by $50 which is the value per point in ES... look at it again but add $50 as a multiplier...

Don't tell me that I made a math error lol... that would really suck wouldn't it :(
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Phil, i would agree with Jeff. Something seemed fishy about the huge positive expectancy, especially given the fact your EW calls were offset close to your adjusted cost basis. That why i questioned you offseting them here. A hell of an edge on the long calls to yield that kind of expectancy from a fly adjustment. I was too lazy to calculate it for myself but it sounds reasonable to pay something to adjust into a fly and not actually receive a credit to adjust LOL

not the end of the world, if you are willing to take the risk of the fly here vs a more simpler offset, which probably wouldnt make much sense now that you paid all that edge on the legs.
 
I think there is an error as stated. I was working on several adjustments into the rally and may have combined two different spreadsheets lol......

pretty stupid lol..... I am opening the formulas in my spreadsheets to see where the error lies and which adjustment was really covered....

I had the reverse calendar, credit spread and butterfly adjustments all layered on the same spreadsheets and used that to do the math on possible ajdustments.

Tsk tsk tsk....i could just blame it on Excel :)

:D
 
Quote from momoneythansens:

FWIW, if I'm anywhere near the sweet spot of a calendar in the last week, I take it. Bird in the hand mentality I suppose and/or past experiences. The PnL can drop off quite quickly waiting for the last few days of theta. Similar with flies.
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Mo, sure, as its all short gamma in the last few days, but my point was risk was taken, alot of it, yet short EW calls were offset at almost breakeven. PnL wasnt looking that nice as you may be thinking. You may be forgetting phil added twice to those calls and his average cost basis was changed. The market has been cooperating, nothing has deviated from the original forecast, so it was difficult for me to follow the logic behind it given phil's moves are usually very logical. But i now see it was motivated by the FLY adjustment. I am sure Phil will print this out and post it on the wall as a reminder next time he rushes into an adjustment for windfall profits :)

Maybe its just me but if i sit tight for 2 weeks taking all the risk, i am sure as hell going to wait it out a few more days before i offset and give up like 70% of the gains, given market is within my initial forecast. It's this whole get paid for the risk you take mentality that i like to obsess about. Seems quite intuitive to me.
 
It is moot really. The foundation for why the adjustment was made was based on an error. So I will just wait to get out of it when I can and chalk it up to experience....
 
Quote from optioncoach:

It is moot really. The foundation for why the adjustment was made was based on an error. So I will just wait to get out of it when I can and chalk it up to experience....
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I made my own stupid error last week on a trade. Glad to see that it happens to everybody every now and then :D. I just hope it works out for the best for you :).
 
Quote from optioncoach:

Well i was due for a msitake, at least this one was not a real costly one. I have to clean up my spreadsheets obviously lol..
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Phil,

it comes with the territory.

I thought i'd use this opportunity to commend you for the continued efforts you put forth in this journal. Not many would be willing to so openly expose themselves to all the drama on ET. Despite the criticism and skepticism you get sometimes, i am sure many would agree with me when i say that this thread provides alot of useful info for the new trader as well as a place for many of us to challenge our ideas and have lengthy discussions on the subject at hand.

Just thought i'd point that out. Probably one of my most positive posts in a while. LOL
Keep up the great work!
 
No, that's not right. I think you made a positive post last May :)

But, it's a good point. It takes a lot of guts to expose one's trading system, warts and all, in this forum. Posting mistakes is also very helpful because it reminds us to be careful and there's nothing easier to screw up than a complicated spreadsheet.



Quote from rallymode:

Phil,

it comes with the territory.

I thought i'd use this opportunity to commend you for the continued efforts you put forth in this journal. Not many would be willing to so openly expose themselves to all the drama on ET. Despite the criticism and skepticism you get sometimes, i am sure many would agree with me when i say that this thread provides alot of useful info for the new trader as well as a place for many of us to challenge our ideas and have lengthy discussions on the subject at hand.

Just thought i'd point that out. Probably one of my most positive posts in a while. LOL
Keep up the great work!
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