SPX Credit Spread Trader

Usually, I try to get in at MID; If I absolutely want to get in, I go MID -0.10c and most of the time I get filled within seconds.

I did sell 770/760 but I don't see the opportunity you get in selling 780/770 today.

Me I am waiting for the setup to open 780/770 for a debit as I want to combine credit and debit spreads to maximize profit.

Quote from yip1997:

piccon,

what is your experience with CTM spread for rut? Can you trade at the mid?

I was trying to sell 770/780 put for a credit of 2.6. Even the mid becomes 2.7, my order is still not executed.

The bid ask spread for CTM options seems a lot wider than FTM.
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for those who like ratio's, diagonals, and credit spreads....
my rut(actually er2) trading for the past 4 months has consisted of buying cheap front month puts 30 days out and selling the following month premium. i outweigh the longs to the shorts. every 30 days i close the shorts and buy more longs; then short again on down days. my net credit after buying and covering the short runs from .9 to 1.2 credit.

this trading needs much more time and good timings, but i am quite covered while making credits. currently a sample of what i have out now is: long er2 695 feb and short march 675 in a 2 to 1 ratio. credits of 1.2 before i buy back the shorts. i plan on buying back the 675 @ .3 or less.
comments are welcome.
 
Quote from domestic:

for those who like ratio's, diagonals, and credit spreads....
my rut(actually er2) trading for the past 4 months has consisted of buying cheap front month puts 30 days out and selling the following month premium. i outweigh the longs to the shorts. every 30 days i close the shorts and buy more longs..
comments are welcome.
More...

Sound efficient.

But for the typical retail investor who does not get haircut treatment, the margin requirement would be huge (shorts considered to be naked).

Mark
 
Quote from dagnyt:

Sound efficient.

But for the typical retail investor who does not get haircut treatment, the margin requirement would be huge (shorts considered to be naked).

Mark
More...

Mark,

He trades er2, and so uses span margin.
 
yes, the margin is practically non existent using ib span. you also have to be aware of how much value an adverse move has on the greeks of the longs and shorts (ie:distance from long expiration,etc).

sailing and dagnyt have good points on the use of diagonals; i am driven by initial credits, protection, and now the potential for a windfall if market moves massively before i pull the plug. i also like being very far out and still being able to get dollar credits overall. again, choices of longs, shorts and management will determine a really bad decision from overall success. this is not ,"set it and forget it".
 
Quote from domestic:

yes, the margin is practically non existent using ib span...
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When I am unfamiliar with something, I usually shrug and ignore it. But, this time I am willing to do some work.

What is ER2? All I know is that it's a 'future'

Are the options cash-settled, or do you get a position in the futures if assigned?

Is there added risk to be short an option on the Mar future and long an option on the Jun future? IOW, for safety, do ER2 traders make sure diagonals have the same future as the underlying?

Thanks
 
er2 is e-mini Russell 2000 futures and there are options on the futures. The options settle into the current futures (MAR) unless they expire after MAR and then they settle into JUN futures.

Since the JUN future has a higher carry cost than MAR, the JUN er2 will have a slightly higher value than the MAR future and thus options settling into JUN futures will have slightly higher premiums than MAR-settled options (when time value difference is taken out of course).

Quote from dagnyt:

When I am unfamiliar with something, I usually shrug and ignore it. But, this time I am willing to do some work.

What is ER2? All I know is that it's a 'future'

Are the options cash-settled, or do you get a position in the futures if assigned?

Is there added risk to be short an option on the Mar future and long an option on the Jun future? IOW, for safety, do ER2 traders make sure diagonals have the same future as the underlying?

Thanks
More...
 
As coach said, they are settled with futures. But the futures and options are traded on Globex, so they are quite liquid. There is no reason to ever find yourself "stuck" with being assigned. If you are trading an option at the bid or ask, fills are instant.

You have an IB account if I recall. Just bring up the option chain for ER2 and you can see the market right now. Well, maybe not RIGHT now, since its almost 3pm. Have a look tomorrow though.

Domestic's idea is interesting. You could put the whole thing on at once if you choose, but you can really improve the credit and risk/reward with just a little bit of timing. This is what domestic is doing it seems. I'll be interested to see what the greek philosophers from the thread think.

Quote from dagnyt:
What is ER2?
Are the options cash-settled, or do you get a position in the futures if assigned?
More...
 
Mark,

Just want to remind you that span margin changes everyday. If you use span leverage, you have to reserve more than the span requirement to avoid margin call.
 
Quote from domestic:

for those who like ratio's, diagonals, and credit spreads....
my rut(actually er2) trading for the past 4 months has consisted of buying cheap front month puts 30 days out and selling the following month premium. i outweigh the longs to the shorts. every 30 days i close the shorts and buy more longs; then short again on down days. my net credit after buying and covering the short runs from .9 to 1.2 credit.

this trading needs much more time and good timings, but i am quite covered while making credits. currently a sample of what i have out now is: long er2 695 feb and short march 675 in a 2 to 1 ratio. credits of 1.2 before i buy back the shorts. i plan on buying back the 675 @ .3 or less.
comments are welcome.
More...

Domestic,

This type of position is great for bull market. Using span leverage, you can make tons of money.
 
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