SPX Credit Spread Trader

Quote from falconview:

TRADING JOURNAL

While messing around on here, I noticed that the bull run took a boost?
In checking the Implied Volatility, the CALLS shrank and the PUTS increased. What am I supposed to read in this? Is there any useful knowledge here? For a SHORT STRADDLE maybe? How do I judge when the premium is swollen?
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Are you should about puts volty increased? At the same strike, calls volty and puts volty are the SAME. They should be the same, or otherwise there is arbitrage.

I suggest you give the numbers: like at strike X I notice call volty , and at strike X, I notice put volty is. I mentioning this, because sometimes I get a sense that you maybe using a terminology that is understood by you, but it may not be the same as the terminology used by others.
 
Quote from falconview:

Trading Journal

You mentioned you were watching the IV the other week, on the STRADDLE.

I'm looking and writing them down. As the trend advances, the SELLING Bid price totals, stay lower priced than the ASK price totals you would have to pay to buy the straddle back.
I'm wondering if this reverses when you reach a peak in the trend?
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The bid is always lower than the ask? Maybe I do not understand what you mean. Also bid/ask is not the IV.
 
Quote from falconview:

I was following the OEX 495 Strike, but as the index reaches 499 and nearly to OeX 500 strike, the Implied Volatility numbers reversed. The CALLS now have more IV than the PUTS slightly. I was wondering if this is just because it moved UP about a STRIKE, or 5 points, or if something more significant is happening here?

On the other hand, the OEX 500 strike hasn't quite been reached yet, but the CALLS are still trailing the PUTS in the IV numbers at 18 to 19 IV.

How do you interpret this?
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The IVs at a given strike should be equal (read above).

The IVS at different strikes should decrease if you move your eyes higher in strike prices. Or put the other way, the IV should increase when strike decreases, this is called the SKEW. Is it a new concept to add to your knowledge? :)
 
falconview and tradingjournals, I sent each of you a private message with my email so I can forward you both someting I would like your opinion on. Thanks Michael
 
Stanford

Whoops! I saw that private email but in another format I was not familiar with and in advertantly deleted it. Try again please!

Trading Journal

My heads spinning at 5:45 a.m. Wednesday, after a couple of hours scrolling through straddle lore on the internet.

I've lost total track on the SHORT STRADDLE now and am confused.
Last week I was sure I had a trading methodology involved with it.

I seem to have been thinking last week, that the SHORT STRADDLE sold HIGH VOLATILITY and also gained by reducing TIME DECAY. Now I'm puzzled on this point. I know I had in my mind I was going to do a SHORT STRADDLE today, but with just thinking I'm selling high volatility, or premium ballooning, I'm not sure I even have that right now? I went early yesterday before market close, which is 2 p.m. here, to eat and didn't come back. This morning I see that the market reversed about 3 points in the OEX before ending yesterday. If there was a volatility change I didn't catch it. Sheesh! You wait all day for something to happen and just when you take a break, it comes and goes! ( grin )

*** My daily bar analysis says the market is undecided, just floating around, could go up or down.

At any rate as a volatility play, it wouldn't work today without an index reversal of some kind.
a) On the other hand I can't for the life of me remember what I was thinking about a straddle working on THETA? Can you remind me?

b) I was also reading about DELTA trading straddles, but can't find anything else to explain it in a practical sense? You got anything on this point?
 
Trading Journal

Okay to your question I did not clarify enough. I have a work sheet, not much of a one on scrap paper.

I have columns:

OEX STRIKE (ACTUAL OEX) CALLS PUTS
bid and ask bid and ask
IV 17 IV 18

The purpose being to identify what happens as the totals of the BID on the CALL and PUT are compared to the Totals of the ASK on the CALLS and PUTS. To imagine making a trade. You SELL the BID total and you BUY back the ASK totals of the two in the SHORT STRADDLE SPREAD.

I was looking for something an idea, I had the other day when you gave me some short missive about the IV you were watching, when the market was at a turning point and I am looking for collapsing volatility, or deflating premium ballooning. Another day I had noticed the CALLS and the PUTS reacted different in these prices when the trend changes. Currently I'm trying by TIME SCALES ( 1 min. 5 min. & 15 min. charts and indicators ) to identify before hand, when the IV will collapse, or by the trend change in the sales of the market action.

The intention is to put the SHORT STRADDLE at HIGH VOLATILITY, or premium ballooning and buy it back when the IV collapses or deflates. It worked last week, but now I can't remember what I did? ( grin Sheesh! ) I'm trying to try it this week again. I think I had included Time Decay in there also? Now I can't remember how? Today is my day to do this!

What was clear to me last week, I can no longer remember this week. Trouble is you talk in GREEK? ( grin! ) I have to translate into my style of English.
 
Sorry my columns didn't come out on the forum. They lost their identity ,or column cohesion when posted.

Let me try it in another way?

Work Sheet:

STRIKE OEX for SHORT STRADDLE
ACTUAL OEX value at moment now.
Under CALLS I have a column for bid and ask
Under Puts I have a column for bid and ask
Under the BID and ASK I have the current IV value of each, PUTS or CALLS.

( copied from TOS option chain )


I'm trying to see if there are any warning signals in the changing of the numbers compared to each other at a trend change, as premium ballooning collapses. Premium ballooning would only collapse on one side, giving you your BUY BACK profit for the short straddle. Very fine moment in time of 5 minutes maybe? The direction of the trend indicates which side has the swollen premiums. Since you sell on totals of BIDS and you buy back on the totals of the ASK prices, there should be a differential. I caught it last week. I'm trying to catch it this week.
 
Trading Journal

I have been looking for premium ballooning and so far I cannot find it in the IV or the GREEKS. I'm guessing it would only show in the premiums? Maybe I will concentrate on that.

Do you have a method to tell when the premiums are overvalued, or when they collapse?
 
SHORT STRADDLE profits.

Maybe I'm going about this wrong? Seems like?

Looking at my work sheet, instead of looking at the IV's you had mentioned. I should be looking at premiums?
 
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