SPX Credit Spread Trader
- Thread starter El OchoCinco
- Start date
NOT FAIR 
Quote from optioncoach:
Mav:
When you get a chance look at the e-mail I sent you... (answer in private)
I now return you back to your regularly scheduled tangent..
I have a contact at the SEC too. FWIW, the SEC itself has no clue how this is going to unfold. But my contact made this very clear. The SEC is only interested in offering this as a tool to hedge EXISTING risk not as tool to leverage accounts.
So you can put two and two together and see where this is going.
I WISH I had overslept or at least taken a shower
I legged out of a 1355/1370 call spread because it was under water and in the cash account its in I didn't have enough cash to roll it and the other spread I have:eek: This is where a "hair cut" could have been useful. oh well....and if this was the high you are all very welcome
Guys, let me offer a little word of caution here and I sporadically read this thread and I'm sure this has been discussed before. If anyone on this thread is trading this so called cross month fly that has been discussed, please make sure you are using some advanced option software to model your prices. If you do not model the different months correctly you are going to get a very very different p&l profile. Please, take my advice and you can thank me later.
The durations carry pretty much the same vol-smile. I think it's best practice to model the ramp in vol due to stickly delta [-skew] on the otm calls on a convergence on spot to strike traded. Vols aren't a concern on the downside due to net-vegas. I assume that sticky delta exceeds mag and predictability of the vol-strip.
Well, I was given something to model in GOOG and the months do not carry the same smiles due to earnings. On the SPX, yes, the smiles would be identical.