SPX Credit Spread Trader

Quote from yip1997:

segv,

As I did similar portfolio with rut, I have found the risk profile (estimated by TOS) might not be accurate because of the volatility skew. For example, suppose rut goes down 10 points, the rvx increases by 1%, but my vol of long calls might go down because of the skew. The use of vega to estimate the profit is far from accurate. How to do you handle this issue? Do you model each individual vol?
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I think that this is the most loaded question I have ever received on ET. :)

I suggest you start with the following article, which brings more clarity to the subject than I could ever hope to provide you in a short forum post:

http://www.wilmott.com/pdfs/021118_smile.pdf

Feel free to PM me.

--segv
 
Quote from segv:

I think that this is the most loaded question I have ever received on ET. :)

I suggest you start with the following article, which brings more clarity to the subject than I could ever hope to provide you in a short forum post:

http://www.wilmott.com/pdfs/021118_smile.pdf

Feel free to PM me.

--segv
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Why not just either answer the question in your own words, or just tell the other guy to bugger off?

Probably better than hiding behind a complex technical paper that the majority of eyes would glaze over trying to understand.:mad:
 
I think piccon used to do spreads on the NDX. You might search for his name on this thread. I seem to recall a post where he was considering or decided to stop doing spreads on the NDX because it is so volatile (but I could be wrong).



Quote from andysmith:

Does anyone here do spreads on the NDX?
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Quote from andysmith:

Does anyone here do spreads on the NDX?
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I do diagonals, or double diagonals. But very small size. And I don't trade them every month.

I currently have the Feb 2025/Jan 1950 call spread. Credit 1.70.

Also a put spread that is currently pretty far OTM - Feb 1585/Jan 1650. Credit 0.70

Mark
 
Quote from andysmith:

Does anyone here do spreads on the NDX?
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Andy, I did a couple earlier this year...lost big..won small..problem is there is 25 pts between strikes. Makes it very margin intensive.
 
Thanks all for answering the NDX question. I was asking because I'd like to put on some debit put spreads when the SOX starts to roll over and the NDX starts to form a top.

I think SPX is better for credit spreads and NDX is better for directional (debit) spreads.
 
I agree...what actually worked for me was to initially make a directional debit spread then when it started looking good convert to a fly or credit spread....but had to be accurate on direction.
 
these two put diagonals really ballooned.

This is interesting to me because when i watched the diagonals before... i never noticed the prices changing much.

But this time they really ballooned even when the VIX was decreasing.... and when the market had not dropped either.
With today's drop and VIX jump up, they increased even more.... especially the spx diagonal.


--------------------------------------------

spx 1370 dec/1350 jan puts
1.80 debit after run up
1.80
2.50 !!
2.65
3.10 tues
3.30 wed
3.90 friday debit
--

rut diag 770 dec/750 jan puts
1.55 debit after run up
1.75
2.30 !!
2.35
2.65 tues
2.65 wed
2.85 friday debit


Quote from elovemer:

dont mind the newbies ;0)

after the last big run up i noticed that the diagonals were cheap.
i thought so anyway.

spx diag 1370 dec/1350 jan puts 1.80 debit
rut diag 770 dec/750 jan puts 1.55 debit

i am quoting "mid" prices from my ThinkoS trade screen
-----

a couple of days later .....today is tuesday
they have really gone higher

spx 3.10 debit and rut 2.65 debit

i wanted in..... but i dont have enough margin
anyway.... i am impressed with the increase in price in just a few days.

if i am looking at this wrong..... let me know. :0)

might have to just switch to IB to get SPAN


PS. big up to OC for everything..... especially the early days of this journal which are CLASSIC for learning in my opinion
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