SPX Credit Spread Trader
- Thread starter El OchoCinco
- Start date
Anyway....
so now that I transferred my diagonal spread to more bullish type of spreads, how many of you feel strongly that we will pretty much crash and reverse from here?
I am not embarassed to admit that OCT has been a challenging month. The key is to let it go and accept the limited losses. Despite the long conversations on the risk I had in my diagonal I did have an uncle point and I got out with a limited loss. Since daily sheets do not keep a running total on positions, I estimate the loss to be about $35K on a $270K risk position. Not to gloat but first real loss since I started this thread
. And I must repeat again for those newer to the thread, that amount does not wipe out past gains as those who have been following along for some time know my returns.
Going forward: I have one SPX spread opened as indicated somewhere above.
I have a 1:2 OCT EW 1365/1380 call Ratio Spread and a 1:2 NOV ES 1390/1400 call RatioBackspread ( I adjusted each leg of the diagonal to create two separate bullish positions for a small debit).
Call diagonals have pros and cons and I noticed some of the cons on an upward move. Wide strikes are needed for a nice credit but wide strikes do not allow the long deltas to help too much. It is better to ratio the spread with narrower strikes so that you can roll up easier for a net credit and reduce the risk and stay in the position better. I will use that as my new criteria. Big issue was using SEP EW short calls originally. When SEP futures contract expired, the ES premium jumped back to 10 points making my position closer to the money then it was when the SEP contract was still open. Be careful opening diagonals near a futures expiration as the ES value can jump overnight on the rollover. With ES at 1346 at expiration with my 1340 short call I was just under by a bit and that difference was the extra premium of the longer dated future. Minor point but look how 6 points made a huge difference.
ok, so we move forward and positively! A quick hug from JA and I am back in the game baby!
so now that I transferred my diagonal spread to more bullish type of spreads, how many of you feel strongly that we will pretty much crash and reverse from here?
I am not embarassed to admit that OCT has been a challenging month. The key is to let it go and accept the limited losses. Despite the long conversations on the risk I had in my diagonal I did have an uncle point and I got out with a limited loss. Since daily sheets do not keep a running total on positions, I estimate the loss to be about $35K on a $270K risk position. Not to gloat but first real loss since I started this thread
. And I must repeat again for those newer to the thread, that amount does not wipe out past gains as those who have been following along for some time know my returns.Going forward: I have one SPX spread opened as indicated somewhere above.
I have a 1:2 OCT EW 1365/1380 call Ratio Spread and a 1:2 NOV ES 1390/1400 call RatioBackspread ( I adjusted each leg of the diagonal to create two separate bullish positions for a small debit).
Call diagonals have pros and cons and I noticed some of the cons on an upward move. Wide strikes are needed for a nice credit but wide strikes do not allow the long deltas to help too much. It is better to ratio the spread with narrower strikes so that you can roll up easier for a net credit and reduce the risk and stay in the position better. I will use that as my new criteria. Big issue was using SEP EW short calls originally. When SEP futures contract expired, the ES premium jumped back to 10 points making my position closer to the money then it was when the SEP contract was still open. Be careful opening diagonals near a futures expiration as the ES value can jump overnight on the rollover. With ES at 1346 at expiration with my 1340 short call I was just under by a bit and that difference was the extra premium of the longer dated future. Minor point but look how 6 points made a huge difference.
ok, so we move forward and positively! A quick hug from JA and I am back in the game baby!
Quote from riskarb:
I thought that was Mav's primary strat? Did Mo license it to Mav? I am still attempting to wrap my head around how one can be long gamma whilst selling aapl 60 puts.
Thats easy, you need another account. LOL I am hitting the series 7 books this weekend and will let you know further details.
VIX has a tendency to drop thu and fri as traders lay off the bids in anticipation of the weekend and pop back up on mon, all else being held equal. I wouldnt read into it as more than that. But i admit it was down way too much today even when you factor in the weekend effect. Maybe no one wants to buy puts anymore.
Quote from optioncoach:
I estimate the loss to be about $35K on a $270K risk position. Not to gloat but first real loss since I started this thread
phil,
i remember last month you said that YTD you were up something like 20% on average capital at risk per position. So assuming this 35K hit was at your average position size then your annual PnL is back in the single digits. Theoretically, if September happened again the year will be a scratch. Is my math correct?
Quadruple post. This has got to turn the market around.
Well, it looks like this month isn't a total loss for me. The group of day traders that I follow had a reader's challenge. Closest guess on today's closing SPX price wins the book, "Futures, A Personal Seminar" from the New York Institute of Finance.
My guess was 1352.37 and apparantly I was the closest (except for one of the traders who was closer but not eligible to win). Great, just what I need, another way to lose money.
They mentioned something about adding me as a commentator because my technical analysis must have lead me to the right conclusion. Too bad I didn't really believe that number when I submitted it. Would have saved me a bundle in adjustment losses. But, hey, maybe I'll start charging anyway.
My guess was 1352.37 and apparantly I was the closest (except for one of the traders who was closer but not eligible to win). Great, just what I need, another way to lose money.
They mentioned something about adding me as a commentator because my technical analysis must have lead me to the right conclusion. Too bad I didn't really believe that number when I submitted it. Would have saved me a bundle in adjustment losses. But, hey, maybe I'll start charging anyway.
Well the YTD return on risk is in the managed retail account where I do my SPX credit spreads. Actually, current return to date on SPX credit spreads is about 20 - 25% based on average margin per trade of $250K - $300K. (I can post the OX SPX summary for the year)
All my futures trading and options on futures I outline here is in the prop account where I moved some of my cash. So they are separate accounts. The prop is now down slightly from the current diagonal losses of course. I do not like to mix my futures and SPX positions.
September will not happen again this year for me lol. Whenever I take a drawdown I tend to scale down in my next positions and be a little more risk averse (hence the 85*120 diagonal after the 270 diagonals which I then converted into ratio spreads). Just my personal approach to make sure I only take one large hit IF I CAN HELP IT.
All my futures trading and options on futures I outline here is in the prop account where I moved some of my cash. So they are separate accounts. The prop is now down slightly from the current diagonal losses of course
. I do not like to mix my futures and SPX positions. September will not happen again this year for me lol. Whenever I take a drawdown I tend to scale down in my next positions and be a little more risk averse (hence the 85*120 diagonal after the 270 diagonals which I then converted into ratio spreads). Just my personal approach to make sure I only take one large hit IF I CAN HELP IT.