SPX Credit Spread Trader

[riskarb]

Quote from optioncoach:

The point was that the delta bet made the slight +vega a non issue. There was no skew between the NOV and DEC months to hurt the position. OCT's vol today are irrelevant as well.

This GOOG play was not a typical cross FLY I am detailing here. it was a way to play the OTM strikes at a lower cost.

Usually I am selling cheap deltas with fat potential gammas so this is a nice switch no..

I'm done. It worked out, congrats. I'd love to see your 100 handle delta bet in SPX. Please advise when you're ready to let it loose.

 

[El OchoCinco]

But my first post said this was a delta bet so I was not under any false assumptions. I understand your points about vega but this position was a bet on a move. If vols dropped and the market went no where, the modelled loss was still pretty limited.

Now if do these on SPX the vol skews between months are much less of an issue....

Quote from riskarb:

I'm done. It worked out, congrats. I'd love to see your 100 handle delta bet in SPX. Please advise when you're ready to let it loose.

 

[El OchoCinco]

Bullish Bias Cross Fly


STO 25 NOV ES 1405 Calls @ 3.05

BTO 50 NOV EW 1405 Calls @ 5.50

STO 25 DEC EW 1420 Calls @ 10.00

Net Credit = $2,562.50

I have a bullish bias in the Futures going into NOV expiration with ES currently at 1372 or so. The DEC EW are 15 points higher to compensate for the fact that by then the DEC futures contract will have expired and MAR will be in play at a 10 point premium.

 

[yip1997]

Mark,

I feel the real cost of not closing my diagonal.

rut gapped up and reversed. I wanted to close my long call but rejected because of the margin. I wanted to open another short call to hedge against it, and it was rejected too. I called the option desk, but I had been on hold for 30 min.

I tried to sell a naked call using TOS but failed because not enough margin.

Theta is working against me too! What should I do?

 

[riskarb]

Quote from optioncoach:

But my first post said this was a delta bet so I was not under any false assumptions. I understand your points about vega but this position was a bet on a move. If vols dropped and the market went no where, the modelled loss was still pretty limited.

Now if do these on SPX the vol skews between months are much less of an issue....

Skew is not the issue. Gamma > Delta > Vega. What was the Oct prem in $-terms? There is no vega nor is there any spoon.

 

[kapil]

Riskarb,

Assuming you wanted to play a large move in GOOG as Coach did, how would you have made that trade?

k

 

[dagnyt]

Quote from optioncoach:

Now Mark.... I am sure you had a put or two breached in your day

Many thousands. Especially true in 1987.

But, I have not been doing the diagonal strategy for that long, and right now it seems that this market never goes down!

Mark

 

[dagnyt]

Quote from ryank:

I must have missed this somewhere, you only do call diagonals?

No. I do half puts and half calls.

Mark

 

[riskarb]

Quote from kapil:

Riskarb,

Assuming you wanted to play a large move in GOOG as Coach did, how would you have made that trade?

k

I wouldn't have doubled up on Nov vega in going 2:1 on contracts and 3:2 on notional vega. I would be short calendars, 1:1, and short a small number of bull-delta straddles. I sold the 08 LEAPS 430 straddle for 136.

Sorry for my histrionics. I will let it go now.

 

[El OchoCinco]

I find it hard to believe that you find no merit in these positions whatsoever

Quote from riskarb:

Skew is not the issue. Gamma > Delta > Vega. What was the Oct prem in $-terms? There is no vega nor is there any spoon. I can picture Heather absolutely busting to get these done. Ugh.