SPX Credit Spread Trader

Quote from kapil:

Mark,

I think 4% per month is phenominal. How close do you come to acheiving this? How bad have the drawdowns been?

Kapil
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I've been doing these diagonals for 6 months (Murray says he's been at it for 9). So far no drawdowns. Worst month +0.99%, best +5.93%. Not enough data to draw solid conclusions, but I am very satisfied.

The worst months involved being forced to close potisions that had run into the money. But, I try to have a bunch (maybe 20) of small positions, each with different strikes or underlying to minimize risk of taking a big hit.

Mark
 
Quote from kapil:

I think ROI and ROP are the same for Mark, which is why it is such a good target return. Mark, please correct me if I am wrong.
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They are the same, as I try to remain 100% invested with this account. It is entirely devoted to diagonal spreads.

Mark
 
I have been reading on these diagonals. It would benefit all the newbies like me(and a refresher to experts) if the experts can summarize this strategy.
Bascially, when to open, when to close, repair strategies etc with examples.I know its a tall order and will understand if anyone wants to bash me but no harm in asking.:D
 
Quote from dagnyt:

I've been doing these diagonals for 6 months (Murray says he's been at it for 9). So far no drawdowns. Worst month +0.99%, best +5.93%. Not enough data to draw solid conclusions, but I am very satisfied.

The worst months involved being forced to close potisions that had run into the money. But, I try to have a bunch (maybe 20) of small positions, each with different strikes or underlying to minimize risk of taking a big hit.

Mark
More...

Mark,

I am still trying to get a handle on position sizing for my own portfolio. For every 100k of assets, roughly how many e-mini diagonals would you open? Hope you don't mind all of the newbie questions! :)

Kapil
 
Quote from kapil:

Mark,

I am still trying to get a handle on position sizing for my own portfolio. For every 100k of assets, roughly how many e-mini diagonals would you open? Hope you don't mind all of the newbie questions! :)

Kapil
More...

I am unfamiliar with e-minis and how they trade. The reply refers to SPX, RUT or NDX, for example.

In a 100k account, I would open about 33 spreads, when the strikes are 30 points apart. That requires 99k margin. I would also use the cash generated from the 33 spreads to open a few more. I trade a lot of 1-3 lots so I can diversify. In a 100k account, I'd probably have 12-16 different positions, 2 or 3 lots each.

My broker does not give me a break when opening DD. Some brokers do. With such a broker, one could do 33 such spreads on each side of the market, if one wanted to do so.

If I find good spreads with strikes that are only 20-points apart, then I'd be able to hold 50 such spreads.

But - the big question is whether you want to devote ALL your assets to this (or any other) single strategy. The answer should be 'no.'

I don't mind the questions at all.
 
Quote from Cache Landing:

We're at the bottom of the channel again, as well as horizontal support, but the Christmas rally is almost over. Who here is betting on another jump?
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Were you peeking over my shoulder while I was looking at my chart? :D I was just thinking the same thing. A Feb 1385/1390 mid is at $1.10 as I type this. Might be cutting it a little close there.
 
Quote from Cache Landing:

We're at the bottom of the channel again, as well as horizontal support, but the Christmas rally is almost over. Who here is betting on another jump?
More...

I am not not so much betting as I am hoping for some more up down chop to get VIX pumped up in excess of 12. But I do anticipate a new rotation of market leadership from large cap value toward mid & large cap growth stocks going forward through April. So I am anticipating that a lot more herd cash will come rushing in along with new rounds of pension fund, IRAs and mutual fund re-calibrations providing a good base to advance SPX upward quite a bit.

The SPX has been riding its 20 day moving average like it was on precision fitted rails for 4-5 months. My opinion is we will be subject to a few 10-20 point intraday runs down and up as money rotates among new leaders. Personally I have 10 point credit spread orders locked and loaded 50-60 points out waiting for those transient vol premium opportunities which I'll pin around what I project to be period lows and highs.

I think Santa still may come in with a late round of rum-pa-pa-pum to get the bears drunk and mostly hibernating through Spring. This time of year people just hate to feel left behind and I think the bull market has a way to go yet. Nonetheless, I am hedging with a large long position in Diageo (DEO) so no matter what I can't lose. :p

TS
 
Mark,

In a haircut account.... your 100% invested portfolio would only require about 40% of the capital to control the same, possibly less as some of your diagonals... and other indexes could benefit from cross-margin relief.

This would allow you to take the other 60% and use for hedges, closed-end-funds, money market, treasuries, ,.... or maybe a few non-correlated diagonals for increased risk adversion.

Just a thought for ya!

M~



Quote from dagnyt:

I am unfamiliar with e-minis and how they trade. The reply refers to SPX, RUT or NDX, for example.

In a 100k account, I would open about 33 spreads, when the strikes are 30 points apart. That requires 99k margin. I would also use the cash generated from the 33 spreads to open a few more. I trade a lot of 1-3 lots so I can diversify. In a 100k account, I'd probably have 12-16 different positions, 2 or 3 lots each.

My broker does not give me a break when opening DD. Some brokers do. With such a broker, one could do 33 such spreads on each side of the market, if one wanted to do so.

If I find good spreads with strikes that are only 20-points apart, then I'd be able to hold 50 such spreads.

But - the big question is whether you want to devote ALL your assets to this (or any other) single strategy. The answer should be 'no.'

I don't mind the questions at all.
More...
 
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