SPX Credit Spread Trader

El OchoCinco · Oct 25, 2006

well I do not do a lot of different strategies but another one I dabble in is calendar spreads when there is a nice IV skew. Other than that, just credit spreads really

. I like to keep it simple lol.

LeonPhelps · Oct 25, 2006

Quote from tplast:

Sure. My position is:

-30 ES NOV 1350 puts
+30 ES DEC 1350 puts
+3 ES DEC futures

Delta is +70
Gamma is -2.36
Theta is +122
Vega is +2,272

Attachment: novpos.png

Gotta love T+0 PnL of 1k+
Should put that position on every day, several times a day

MTE · Oct 26, 2006

Quote from burrben:

Coach,

So I have been kinda blanking when you are talking about these fly's, since I don't think you can do them in a retail margin account. So my question is:

Which strategies, other than credit spreads or double diagonals, have you mentioned that are reasonable to do without haircut margin?

Thanks for the help, since some of us just will not be able to use haircut margin anytime soon!

burr.

What's the problem with flys in a retail account?

blk · Oct 26, 2006

Quote from MTE:

What's the problem with flys in a retail account?

There is no problem with regular flies in a retail account. Coach was exploring cross month flies that can be only performed with haircut margin (retail accounts have to use Reg T margin and the cross month fly is not a suitable position for most of us here).

MTE · Oct 26, 2006

Quote from blk:

There is no problem with regular flies in a retail account. Coach was exploring cross month flies that can be only performed with haircut margin (retail accounts have to use Reg T margin and the cross month fly is not a suitable position for most of us here).

Oh ok, didn't notice that. Thanks!

qamhwr · Oct 26, 2006

I don't see a difference between a cross month butterfly in a retail account and the same strike double diagonal spread done in a retail account. The problem may be the broker.

George

MTE · Oct 26, 2006

Quote from qamhwr:

I don't see a difference between a cross month butterfly in a retail account and the same strike double diagonal spread done in a retail account. The problem may be the broker.

George

Unless, it involves shorting the back month, in which case you are considered "naked".

ryank · Oct 26, 2006

Quote from qamhwr:

I don't see a difference between a cross month butterfly in a retail account and the same strike double diagonal spread done in a retail account. The problem may be the broker.

George

Coach is short Nov, long Dec and short Jan. The Jan shorts would be naked in a Reg T account and the margin would be huge. He is doing the cross month flies in his prop account and gets the haircut margin there to make this position possible.

El OchoCinco · Oct 26, 2006

FLYs are cool! Mine is just a combination of short and long calendars. One of the automatic and unfortunate applications of Reg T is that the back months are treated as naked if short, as in a short calendar.

QUOTE]Quote from MTE:

What's the problem with flys in a retail account? [/QUOTE]

tplast · Oct 26, 2006

Quote from LeonPhelps:

Gotta love T+0 PnL of 1k+
Should put that position on every day, several times a day

You wish ! But unfortunately:

Quote from tplast:

Just a note. The futures are left overs from the synthetic straddles I enetered about 2 weeks ago at 1372. The whole thing would probably shitft down if I entered the trade today.

So no money printing machine