SPX Credit Spread Trader
- Thread starter El OchoCinco
- Start date
My RUT settlement symbol .RLS shows it at 812.22 as of 12:09 PM EST. Are you connected "live" to the Internet or have a loose network connection?Quote from yip1997:
RUT settlement is not out yet? Why does it take so long to calculate the settlement price? I thought it is very simple to have a program to compute it.
TS
piccon,
I am glad that you made good money this month again. I broke even this month with CTM ratioed diagonal and vertical. Basically I lost money with CTM ratioed diagonal, and made back most of them from verticals.
I found it difficult to neuralize your delta with CTM, or ATM. The bad gamma grows too quick at the money. I kept trading everyday to neuralize delta, but the gamma grows bigger and bigger. I think if you like delta neural strategy, CTM or ATM is not for you. If you don't do adjustment, and use resource allocation method as your trading strategy, CTM might be good for you. CTM is good for short-term to fade the market.
This little conclusion might not be true, but it reflects what i learned this month. Comments are welcome.
Opened vertical SPX Spread:
-10 MAR07 1415 PUTS @ 3.90
+8 MAR07 1405 PUTS @ 3.10
+1 MAR07 1420 PUTS @ 4.80
+1 MAR07 1425 PUTS @ 5.80
TOTAL CREDIT OF $3.60
This trade was for my own experience.
To test OpVue 5 for simulating a 'Micky Mouse Ear' vertical. Worked OK, but OV5 had difficulty obtaining all of the leg prices thru NetVue. And 20 minute delayed quotes were a concern. Don't know why OV5 folks haven't developed interface to IB's free real-time API feed.
To test complex trade entry using IB TWS... it was a PITA!
To test ToS Trade Simulation and Risk Analysis function for trying to determine limit entry point for a complex trade. I couldn't figure out how to enter this trade in ToS as a Combo which might have shown me the accurate 'Mid' price for the trade real-time... instead, I had to setup 'Single' individual legs which did not show a combo Mid price. Even the Risk Analysis graphs Profit line did not accurately represent the actual credit that would be recieved from the trade.
You guys with ToS or OV5 can see from the trade what the P/L & Risk parameters are.
For anyone interested, I'd appreciate any feedback on the structure of the trade, along with opinions or suggestions related to any of the above.
And Mav... if you have a different approach to limit risk, I'm all 'Ears'.
Anyway, at least this post is On-Topic for a change.
D
-10 MAR07 1415 PUTS @ 3.90
+8 MAR07 1405 PUTS @ 3.10
+1 MAR07 1420 PUTS @ 4.80
+1 MAR07 1425 PUTS @ 5.80
TOTAL CREDIT OF $3.60
This trade was for my own experience.
To test OpVue 5 for simulating a 'Micky Mouse Ear' vertical. Worked OK, but OV5 had difficulty obtaining all of the leg prices thru NetVue. And 20 minute delayed quotes were a concern. Don't know why OV5 folks haven't developed interface to IB's free real-time API feed.
To test complex trade entry using IB TWS... it was a PITA!
To test ToS Trade Simulation and Risk Analysis function for trying to determine limit entry point for a complex trade. I couldn't figure out how to enter this trade in ToS as a Combo which might have shown me the accurate 'Mid' price for the trade real-time... instead, I had to setup 'Single' individual legs which did not show a combo Mid price. Even the Risk Analysis graphs Profit line did not accurately represent the actual credit that would be recieved from the trade.
You guys with ToS or OV5 can see from the trade what the P/L & Risk parameters are.
For anyone interested, I'd appreciate any feedback on the structure of the trade, along with opinions or suggestions related to any of the above.
And Mav... if you have a different approach to limit risk, I'm all 'Ears'.
Anyway, at least this post is On-Topic for a change.
D
Interesting trade...just a question tho is this a "paper" trade or did you actually put this on. From personal experience with SPX putting on a live trade involves much more "slippage" than paper trades.
1415 is pretty close for a normal vertical spread
I actually did the trade. And the $3.60 Credit came from the worst of the B/A sides since I accidently entered a $.55 Lmt Order instead of my intended $5.50 limit. (It used to be that MM's would stick it to you big-time when you screwed up like that).
OV5 (with delayed quotes) seemed to think that I might be able to get about $5.50 Credit.
One of my challanges on a complex trade like this is to determine quick and accurate calcs for mid-prices on combos.
D