SPX Credit Spread Trader

[Heatheranderson]

Quote from andysmith:

Rally -- please explain what you mean by cheap gamma?

Isn't it self-explanatory?. Yeeeesh!

 

[RCMLLC]

What rally meant was that with the drop on Wednesday, OTM Calls got more OTM and therefore gamma decreases due to the underlying moving further away from the strike. If you sell a call spread right after a drop like that, it is not condusive to your ultimate P/L as you are picking up pennies (selling severely deflated premium) and taking on the risk of a mad truck in the form of a reversal with over two weeks left till expiration.

Quote from andysmith:

Rally -- please explain what you mean by cheap gamma?

 

[cdowis]

Buying an OTM call diag is safer, but possible decrease in volty as market moves up. I have a SPY Nov/Dec 137 put calendar on for the past couple of weeks.

 

[Crucis]

Quote from cdowis:

Buying an OTM call diag is safer, but possible decrease in volty as market moves up. I have a SPY Nov/Dec 137 put calendar on for the past couple of weeks.

Hmmm, whadda ya know! So do I!



I was looking to reduce some -delta. Still learning how to use Greeks.

Cru

 

[Cache Landing]

Quote from cdowis:

Buying an OTM call diag is safer, but possible decrease in volty as market moves up. I have a SPY Nov/Dec 137 put calendar on for the past couple of weeks.

Looks like you prob should've taken your gains from the dip. If we continue up and you consider the weekend vol shrink, VIX is going to drop back down around 11 today.

{edit} That is of course assuming you're long the back month.

 

[cdowis]

>I was looking to reduce some -delta.

I was heavy +deltas going into the employment report, so I liquidated my 140 calendar.

Can anyone give me some ideas on a double calendar vs double diag? Margin and premium are obvious, but any other ideas?

I've been looking at the euro, and I feel uncomfortable with a single calendar.

 

[yip1997]

Quote from cdowis:

>Can anyone give me some ideas on a double calendar vs double diag? Margin and premium are obvious, but any other ideas?

As pointed out by Mo in the past when I started looking at diagonal,

diag = calendar + vertical.

Mo probably can give you more ideas how to long or short put calendar or call calendar based on vol skew.

 

[yip1997]

Quote from TrendSailor:

it is possible to get some sweet deals and then do a pure gamble on a favorable SET.

TS

It is not a pure gamble. It is an intelligent bet based on statistical info. I will never do a pure gamble.

 

[yip1997]

Quote from snoobler:

I have something to offer here!

I have compiled a spreadsheet using SET data from 1998. The first sheet summarizes the results calculated on the second sheet.

First set of data indicates what the % chance is the SET will be a given distance from the prior day close reported for all data, UP SETs and DOWN SETs.

The second set of data computes the probability of the SET distance from prior month SET for all data, Bull markets and Bear markets (subjectively chosen by me).

The last bit just calculates the probability of an UP SET vs. the previous SET.

And if none of these ramblings make sense, I have comments embedded in the three headings...

Thanks for the info. Based on the data provided, it is not random. I believe it is some sort of temporary market manipulation by giant option players.

The down set has a larger (around 2x) deviation when compared to the up set. The set - close is not a normal distribution and is heavily skewed.

We can look at the statistical data from the open - close for each day (not expiration day). If the statistical data from these two sets of data are significantly different, we probably can infer some useful info from it.

 

[cdowis]

>Looks like you prob should've taken your gains from the dip.

Right now I am in learning mode. I am focusing on what to do when things go wrong, using small positions, rather than taking profits. And the market has been very accomodating in teaching me that lesson.