SPX Credit Spread Trader

[dagnyt]

Quote from rdemyan:

What experience have others had with getting good fills on the RUT?

Months ago, it was easy to get midpoints. Now, I find the MMs often don't budge on their bids and offers. Example: Earlier today, I placed a small order for a Feb/Jan diag call spread to sell at 1.10 when the bid ws 80 cents. The natural bid changed to 1.00 (offer 1.60) and still no fill. That's not the way it used to be.

Mark

 

[ryank]

Quote from dagnyt:

Months ago, it was easy to get midpoints. Now, I find the MMs often don't budge on their bids and offers. Example: Earlier today, I placed a small order for a Feb/Jan diag call spread to sell at 1.10 when the bid ws 80 cents. The natural bid changed to 1.00 (offer 1.60) and still no fill. That's not the way it used to be.

Mark

I was told at a ToS seminar once that MMs are very, very stingy during expiration week. Could something like that be at play with the fills today? I'm just speculating, I know Mark was a MM at one time so I'm sure he knows more than I about this.

 

[Sailing]

My miss quote... I was up 5K on $56,600, not $28,300 in margin.... closed out Tuesday for a 7.6% return... half of which came from the 'Tent Pole' position between the diagonal strikes.

This VEGA drain... or strain, as you may have it, sure challenges the Double Diagonal.... just waiting for some FEAR.

M~

Quote from ryank:

I've had the same thing happen to me the past few months. We get to expiration and the profit get zapped. I ended up about 2% this month, was up about 7% just a few days ago, still on the plus side though. I keep telling myself that is the silver lining (I would prefer my lining to be money green though )

Murray, you said you were up 17% the other day, where are you at now?

 

[dagnyt]

Quote from ryank:

I was told at a ToS seminar once that MMs are very, very stingy during expiration week. Could something like that be at play with the fills today? I'm just speculating, I know Mark was a MM at one time so I'm sure he knows more than I about this.

Sorry. I cannot help. I seldom traded in the OEX pit and thus, have no useful experience with index options and the market makers who trade there.

Another factor: the trading floor is so different today that it was a few years ago, that comparisons are useless. It's much more difficult to make a living as a MM today.

Mark

 

[Crucis]

Quote from ryank:

I was told at a ToS seminar once that MMs are very, very stingy during expiration week. Could something like that be at play with the fills today? I'm just speculating, I know Mark was a MM at one time so I'm sure he knows more than I about this.

I attended a ToS seminar last month. I was told that MMs start cleaning their positions about 10 days prior to expiration. That last 10 days were when they made their money. So, about the only mid-point fills you'd get would be in your order was in the way of a larger, more profitable trade for the MM.

Cru

 

[Sailing]

Quote from dagnyt:

Sorry. I cannot help. I seldom traded in the OEX pit and thus, have no useful experience with index options and the market makers who trade there.
Mark

Mark,

If you shorted vols into earnings.. you must have had some interest in straddles/strangle..... or swaps. Can you elaborate on your experience.

M~

 

[TrendSailor]

Quote from rdemyan:

The strangest thing just happened. I decided to take this small downturn in the RUT to get out of my last bear call for this year. The position was the 830/840 DEC RUT. The mid was $1.00 with an ask of $1.20. I offerred to buy back at $1.05.

I was filled in less than 5 seconds at $0.90???!.

Good for me, but I've never had this kind of good fill before. What's even stranger is that the RUT was ticking higher.

My previous experience with the RUT has been poor with regards to getting good fills.

What experience have others had with getting good fills on the RUT?

No doubt you had locked your trading platform from live update (or your ISP network was constipated) and your quote was 30 minutes behind reality and you got lucky. Technology can be dangerous in the wrong hands but sometimes a market order will generate the best possible price and nothing beats dumb luck.

I have gotten some of the best possible possible fills on multi-leg complex orders by issuing my IC spreads all at once at a composite price that was above current net bid/ask averages. I think it forces the Market Makers to get squeezed on the fill rules and forces a call on the spread bluffs...

TS

 

[dagnyt]

Quote from Sailing:

Mark,

If you shorted vols into earnings.. you must have had some interest in straddles/strangle..... or swaps. Can you elaborate on your experience.

M~

I preferred tradung puts in these situations.

When I found a suitable strike price: a) below, but near support; b) not too far OTM - I sold puts at that strike. Years ago, they were naked sales. More recently they were put spreads (I'd buy the next lowest strike, same month).

If reasonable, I'd complete the iron condor by doing the same thing on the call side - but the proper situation (strike above, but near resistance) was seldom available.

My minimum requirments: a) pumped (a relative term) IV; b) a decent credit. How much is decent? Depends how far OTM and IV. This was an art for me, rather than a science.

A few months ago, I tried this method on a small number of diagonals. It worked ok, but the big problem is the possibility of a big move on the news. Plus preparation is too time consuming.

Bottom line, I used to sell straddles/strangles, but no longer. I prefer the reduced risk and reduced margin requirments of selling the IC, or diagonal IC.

I would probably join in a new ET thread on straddles, time permitting.

Mark

 

[TrendSailor]

I think I am going to see if I can profit by a fairly up trend on SPX into the close and catch a favorable SET.

Picked up the CALL S & P 500 INDEX NOV 1405 for 1.40 with SPX around 1403. I am anticipating a proven tendency for the SPX to settle toward the nearest strike as well as a market run up at the bell wth the bulls. What I am hoping for also is a gap up at SET toward 1410. I think its worth the bet. Should be fun being on the long side of things at SET rather than the short side for a change.

TS

 

[dojiboy007]

Quote from TrendSailor:

I think I am going to see if I can profit by a fairly up trend on SPX into the close and catch a favorable SET.

Picked up the CALL S & P 500 INDEX NOV 1405 for 1.40 with SPX around 1403. I am anticipating a proven tendency for the SPX to settle toward the nearest strike as well as a market run up at the bell wth the bulls. What I am hoping for also is a gap up at SET toward 1410. I think its worth the bet. Should be fun being on the long side of things at SET rather than the short side for a change.

TS

Did coach just buy some call hedges?