SPX Credit Spread Trader
- Thread starter El OchoCinco
- Start date
Oct/Nov Double Diagonal Update
Sorry for the lack of participation of late... busy at the home front.
SPX Double Diagonal 1250/1275, 1350/1375 with Tent Pole Put Calendar 1325/1325 lost 4%
RUT Double Diagonal with five tent poles (too many to list) netted 8% gain
SPX Credit Spread 1375/1385 lost 18%. FYI, if I would have held the positions for two more hours.... woulda, coulda, shoulda.... it would have netted a profit, but that's part of playing the game. I planed the trade and followed my trading plan. It was just one heck of a run up on the SPX.
Entered Jan/Dec Diagonals on RUT. Using backspeads for additional upside curvature, and Put Calendars for middle ground tent stakes. Have 22 positions entered on this overall position.
Current position is $13,000 long VEGA, short $1100 in THETA.
Capital investment of about 230K, but in 'haircut' would be around 100K
Murray
Sorry for the lack of participation of late... busy at the home front.
SPX Double Diagonal 1250/1275, 1350/1375 with Tent Pole Put Calendar 1325/1325 lost 4%
RUT Double Diagonal with five tent poles (too many to list) netted 8% gain
SPX Credit Spread 1375/1385 lost 18%. FYI, if I would have held the positions for two more hours.... woulda, coulda, shoulda.... it would have netted a profit, but that's part of playing the game. I planed the trade and followed my trading plan. It was just one heck of a run up on the SPX.
Entered Jan/Dec Diagonals on RUT. Using backspeads for additional upside curvature, and Put Calendars for middle ground tent stakes. Have 22 positions entered on this overall position.
Current position is $13,000 long VEGA, short $1100 in THETA.
Capital investment of about 230K, but in 'haircut' would be around 100K
Murray
Murray,
I see you use 1 month difference on your diagonals. Would you ever do them with 2 months, ie., looking for the roll opportunity? Especially in order to pick up more vega in low IV environments (now?).
The tradeoff is being able to buy fewer longs OR having to buy them further out, thus taking more delta/gamma risk on the upside.
Best,
I see you use 1 month difference on your diagonals. Would you ever do them with 2 months, ie., looking for the roll opportunity? Especially in order to pick up more vega in low IV environments (now?).
The tradeoff is being able to buy fewer longs OR having to buy them further out, thus taking more delta/gamma risk on the upside.
Best,
Anybody else see this announcement:
Interactive Brokers is pleased to announce the immediate availability of Penny Option Pricing. This exciting development will be available to general investors sometime in 2007. However, IB clients can use IB's technology immediately to trade US options in penny price increments and gain maximum control over their options trading and investment strategies.
Interactive Brokers is pleased to announce the immediate availability of Penny Option Pricing. This exciting development will be available to general investors sometime in 2007. However, IB clients can use IB's technology immediately to trade US options in penny price increments and gain maximum control over their options trading and investment strategies.
Yup, great stuff. I don't think the downloadable version of TWS has it yet (although I see quotes, but I don't think I can bid in pennies).
Yes, all IB clients were notified
AFAIK, the NYSE Arca pilot for penny quotes is still scheduled to start in January on certain products e.g. QQQQ
www.nyse.com/press/1160647899310.html
You can expect most brokers e.g. ToS, OptionsXpress to be supporting penny quotes by then.
However, some brokers have been complaining in the interim:
http://www.marketwatch.com/News/Sto...-450E-AA28-C51215692422}&SiteId=mktw&library=
Earlier ET discussion on the possible pros and cons of penny quotes:
http://www.elitetrader.com/vb/showthread.php?s=&threadid=72418
MoMoney.
Murray:
Thanks for providing the details. The percentages that you mention are of what? Margin on the position? So the 18% loss is 18% of $10,000 margin (10 quantity)?
And the 4% loss on the DD. How is that calculated? Is it of the margin on the position and does it include the debit for the Put Calendar.
I'm trying to get a feel for how diagonals fare versus verticals in a 'bad' environment like this one. Your data is the first I've seen that allows for the possibility of making some real-world comparisons.
Thanks for providing the details. The percentages that you mention are of what? Margin on the position? So the 18% loss is 18% of $10,000 margin (10 quantity)?
And the 4% loss on the DD. How is that calculated? Is it of the margin on the position and does it include the debit for the Put Calendar.
I'm trying to get a feel for how diagonals fare versus verticals in a 'bad' environment like this one. Your data is the first I've seen that allows for the possibility of making some real-world comparisons.
This thread is awfully quiet.
researchin' 
Also NOV is too close to really take a god spread postion unless I get some good premium.
Also NOV is too close to really take a god spread postion unless I get some good premium.