I had no position to hedge thus no neeed to put on a hedge 
. This one was all you...
. This one was all you...
SPX Credit Spread Trader
- Thread starter El OchoCinco
- Start date
Sounds kinky....
Thanks! I am sure if it was sorted by number of times each return happened you would get a nice bell curve with those fat tails....
Interesting data when looked at this way. Given all the recent intraday volatility I am beginning to think it may make more sense to play on the currently uncompensated volatility of SPX with stangles and straddles.
Anyone trying pure long SPX stangles/straddles and making money lately? Any thoughts?
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Still going to try and put together a moderately far OOM IC (+/- 50 points or 1350/1340 - 1450/1440) with a ratio preference to the downside for Dec. I expect at least a 20 point bull run to the upside to close out the 2006 year on positive holiday cheer. But even without too many FED and economic report "steering events" (Economic Calendar) I am expecting the bears to put up a token push back to prevent a total stampede up. But Santa usually lends a hand with his reindeers and I expect the bears to roll over and hibernate till mid next year.
Around noon Friday the Bear-Call Credit premiums were not looking robust enough for my situational analysis so I only submitted the Bull-Put Credit Spread order. Don't ask me how I got in though. I was asking for .65 credit and that was a slight stretch in a rising bull market that was working against my order. So I decided to go out TGIF'ing early and left the order in hoping for a spike down. Apparently we got one later in the day. By the time I woke up Sat morning my trading log shows I got in even better at .75! It seems my best trading happens when I don't sit around and watch the pot boil and instead go pick up social options.
75 SPX 500 DEC PUT 1350/1340 Net Credit $0.75
Credit: $5,625
Margin Risk: $75,000
ROM: 7.5%
Hoping to put on 50 or so contracts on the bear-call spread next week if VIX can reward us with more premium. But I am also watching some very high volume trading further out in strikes which may get me in safer with a better b/a.
TS
I have only traded credit spreads on the SPX but never a Bull Call Debit Spread (or Bear Put Debit Spread) on any ETF before. Can anyone tell me if there are any special or different margin requirement/ramifications that differ from a regular credit spread position?
I guess what gets me thinking there may be a difference is when I empathize with the broker's business cash flow requirements for cases where we have a large, potentially open ended, underlying excursion into the money by the underlying through short positions. It just seems that the broker has to potentially wait to collect a large cash settlement from the long position simultaneous with him having to pay a large cash settlement and giving me the difference upfront. It just seems that the costs of money and business is higher for this kind of trade and that it would be reasonable to have a different margin requirement or money rate.
Also related to this question is the observation that with the SPX there is no danger of the market creating a non-symmetrical/unbalanced debit spread through an early assignment on an in-the-money short position up until expiration (e.g. since they are European Style settlement). But what about the OIX (which trades American style)? If I were trading Bull Call Debit spreads on the OIX and got an assignment on an in-the-money short does the broker automatically offset a paired long to cover so he is not left short cash?
Would appreciate any insight since I think the Dec. market and current VIX situation may favor a Bull Call Debit Spread strategy and I don't want to be held hostage to further implied volatility contraction with a simple long call.
TS
I guess what gets me thinking there may be a difference is when I empathize with the broker's business cash flow requirements for cases where we have a large, potentially open ended, underlying excursion into the money by the underlying through short positions. It just seems that the broker has to potentially wait to collect a large cash settlement from the long position simultaneous with him having to pay a large cash settlement and giving me the difference upfront. It just seems that the costs of money and business is higher for this kind of trade and that it would be reasonable to have a different margin requirement or money rate.
Also related to this question is the observation that with the SPX there is no danger of the market creating a non-symmetrical/unbalanced debit spread through an early assignment on an in-the-money short position up until expiration (e.g. since they are European Style settlement). But what about the OIX (which trades American style)? If I were trading Bull Call Debit spreads on the OIX and got an assignment on an in-the-money short does the broker automatically offset a paired long to cover so he is not left short cash?
Would appreciate any insight since I think the Dec. market and current VIX situation may favor a Bull Call Debit Spread strategy and I don't want to be held hostage to further implied volatility contraction with a simple long call.
TS
You're selling premium with VIX at 10? Wow
:eek:Quote from TrendSailor:
Interesting data when looked at this way. Given all the recent intraday volatility I am beginning to think it may make more sense to play on the currently uncompensated volatility of SPX with stangles and straddles.
Anyone trying pure long SPX stangles/straddles and making money lately? Any thoughts?
---
Still going to try and put together a moderately far OOM IC (+/- 50 points or 1350/1340 - 1450/1440) with a ratio preference to the downside for Dec. I expect at least a 20 point bull run to the upside to close out the 2006 year on positive holiday cheer. But even without too many FED and economic report "steering events" (Economic Calendar) I am expecting the bears to put up a token push back to prevent a total stampede up. But Santa usually lends a hand with his reindeers and I expect the bears to roll over and hibernate till mid next year.
Around noon Friday the Bear-Call Credit premiums were not looking robust enough for my situational analysis so I only submitted the Bull-Put Credit Spread order. Don't ask me how I got in though. I was asking for .65 credit and that was a slight stretch in a rising bull market that was working against my order. So I decided to go out TGIF'ing early and left the order in hoping for a spike down. Apparently we got one later in the day. By the time I woke up Sat morning my trading log shows I got in even better at .75! It seems my best trading happens when I don't sit around and watch the pot boil and instead go pick up social options.
75 SPX 500 DEC PUT 1350/1340 Net Credit $0.75
Credit: $5,625
Margin Risk: $75,000
ROM: 7.5%
Hoping to put on 50 or so contracts on the bear-call spread next week if VIX can reward us with more premium. But I am also watching some very high volume trading further out in strikes which may get me in safer with a better b/a.
TS
You betcha - because VIX is going even lower and these "low" levels are going to be looked at as the "good ol days" for a while. So I am getting it while there is still premium to be had. Besides, "someone" has to make a market for all the buyers right? With the market not giving much motive to write for premium it kind of implies a sure-thing directional bet right?
In all seriousness I am not much worried on the down side this period. I am interpreting a low and further declining VIX as either 1) VIX itself self reflecting that "it" thinks volatility is about to have a wild increase higher or 2) the market is getting accustomed to sustained upward buying pressure and its bullish directional orientation.
If case #1 manifests itself with a sharp rise in volatility in the next 5-10 days I'll put on some bear call credit spreads far OOM for good premium and pick up even more bull put spreads for higher premium on a market down run.
If however volatility stays about where it is or further declines as in case #2 I am going to assume a continuation of a bullish trending market and put on a bull call debit spread on the first short run down and attempt to pick up some modest profit on a small directional play.
Its not as sophisticated nor as avant-guarde as all the exotic "curvature" trading being pontificated of late but its simple and I think a reasonable Dec play given that my expectational analysis for the period plays out. If it goes against me I'll just close it out early and go take holiday sooner.
What are you intending to do for Dec trades give this VIX environment?
TS