SPX Credit Spread Trader

[yip1997]

With all the warnings stating this is a better environment for diagonal and not so good for ICs, I actually lost money with DDs and made money with ICs. Too bad that I put more %age of my capital on DDs, my return for this month is only 2% for my whole option portfolio. (My return for RUT ICs is around 12.5% on the margin).

It is not the strategy DD that failed me. It was myself who didn't pick the right strikes, didn't have the good entry or didn't have the right adjustment at the right time.

Sailing, I need to learn from you regarding the proper DD adjustment.

 

[dagnyt]

Quote from yip1997:

It is not the strategy DD that failed me. It was myself who didn't pick the right strikes, didn't have the good entry or didn't have the right adjustment at the right time.

Sailing, I need to learn from you regarding the proper DD adjustment.

If you were able to consistently pick the right srikes, you would make millions in short order. No fault there, IMHO.

Being in a similar boat, I feel the blame is in the adjustment -not the process - but the adjuster. I usually have no trouble covering when the strike is breached, but when it occurs during expiration week, I get stubborn.

We both got out in time to salvage a profit the month, but not quickly enough to make it a good month.

Trying to get ahead of the game, I've added some curvature to my Feb/Jan portfolio.

Mark

 

[yip1997]

Quote from dagnyt:

Being in a similar boat, I feel the blame is in the adjustment -not the process - but the adjuster. I usually have no trouble covering when the strike is breached, but when it occurs during expiration week, I get stubborn.


Me too! haha.


We both got out in time to salvage a profit the month, but not quickly enough to make it a good month.

Trying to get ahead of the game, I've added some curvature to my Feb/Jan portfolio.


The spread for long wing is wide. I tried this week but hard to get filled when the market was moving. It is easier to get better fills when the market is quiet.

 

[rdemyan]

Mark:

Can you be specific about how you added the curvature. What options did you buy/sell, etc.

Thanks

Quote from dagnyt:

If you were able to consistently pick the right srikes, you would make millions in short order. No fault there, IMHO.

Being in a similar boat, I feel the blame is in the adjustment -not the process - but the adjuster. I usually have no trouble covering when the strike is breached, but when it occurs during expiration week, I get stubborn.

We both got out in time to salvage a profit the month, but not quickly enough to make it a good month.

Trying to get ahead of the game, I've added some curvature to my Feb/Jan portfolio.

Mark

 

[dagnyt]

Quote from rdemyan:

Mark:

Can you be specific about how you added the curvature. What options did you buy/sell, etc.

Thanks

I am trying to emulate what MAV suggested. Inasmuch as he did not elaborate with details, I don't feel I should either.

I bought positive gamma without paying negatve theta.

Mark

 

[xtrhvydty]

Has anyone tried expiration week credit spreads? I.e. the short strike just slightly above spot to scalp premium. Suited for bullish drift, declining volatility. Example with closing prices on ES:

ES Futures @ 1404.25

+ 1400 ES NOV PUT 1.45/1.7
- 1405 ES NOV PUT 3.2/3.65

This is ~$150 credit min per spread

The idea being a very short duration with the expiration week tendency to rise / close at a nearby strike.

 

[El OchoCinco]

Man this board has really deteriorated. We all use to share thoughts and strategies and exchange ideas and now Mav has people quoting vague greeks and resorting to everyone enjoying teasing.

I do not understand the rationale of making the effort to typoe out what you are trading and what you did and when asked for clarification, putting up the wool curtain and al of sudden it not being alright to say what you did?



Nobody is obligated to reveal anything they do of course, but why tease us at all?

This is a thread of retailer traders. Even though I trade full-time I am still a retail -trained boy. Simply stating one bought wing curvature or added positive vega is lost on most people here. It would be more helpful to explain some things a bit then to do the ol' go look it up yourself lol... Again no one is obligated to do anything they do not want to, but to set up the story and then not show us how the movie ends...

Anyway, rough day for me so forgive the rant....

 

[TrendSailor]

Quote from optioncoach:

... why tease us at all?

This is a thread of retailer traders. Even though I trade full-time I am still a retail -trained boy. Simply stating one bought wing curvature or added positive vega is lost on most people here. It would be more helpful to explain some things a bit then to do the ol' go look it up yourself lol... Again no one is obligated to do anything they do not want to, but to set up the story and then not show us how the movie ends...

Anyway, rough day for me so forgive the rant....

Sorry you had a rough day OptonCoach. But I agree.

This all kind of reminds me of the pimply face teenager who bragged to the school girls about the amazing thing that he had tucked away in his knickers. But after getting the attention of one of the curious girls and given the opportunity to perform he abashedly declined and apologized that he was saving it for someone special. Cut me a break. Put up, shut up or go back to the closet.

TS

 

[dagnyt]

Quote from optioncoach:

Man this board has really deteriorated. We all use to share thoughts and strategies and exchange ideas and now Mav has people quoting vague greeks and resorting to everyone enjoying teasing.

I don't think it's teasing. Too many blindly follow what others suggest, without understanding the methodology.

Just today someone asked you if you had some spreads that retail customers could copy.


I do not understand the rationale of making the effort to type out what you are trading and what you did and when asked for clarification, putting up the wool curtain and al of sudden it not being alright to say what you did?

Nobody is obligated to reveal anything they do of course, but why tease us at all?

Tease? Really? I thought almost anyone would understand what cuvature means in the context of DD spreads.

I bought OTM Feb calls in RUT. I sold OTM Jan calls in RUT. I bought more than I sold. One could buy any Feb calls (and I bought 3 different strikes) from 830 through 900, and sell Jan calls from 810 through 860.

You could own these positions 1:1, or delta neutral, or gamma neutral, and sometimes vega neutral. I made certain I was NOT long theta. It all depends on just what you hope to accomplish with the position. I don't see why my specific position is important.

What I want to accomplish is to be ahead of the game if and when the market continues higher and my short strikes are threateded in my DD positions.

Sadly, I have not done the same with put spreads because the vol skew makes it unpleasant to compile spreads with extra long puts - unless they are VERY far OTM. And owning some of those is not such a bad idea - especially if the purpose is black swan protection.


This is a thread of retailer traders. Even though I trade full-time I am still a retail -trained boy. Simply stating one bought wing curvature or added positive vega is lost on most people here. It would be more helpful to explain some things a bit then to do the ol' go look it up yourself lol... Again no one is obligated to do anything they do not want to, but to set up the story and then not show us how the movie ends...

Ok. I hope the details above are sufficient.

Anyway, rough day for me so forgive the rant....

Sorry about the rough day and nothing to forgive. I hope my explanation is sufficient.

Mark

 

[iprph90]

very classy, mark