SPX Credit Spread Trader

I am sorry that OX and ToS are preventing me from pursuing this. As of now I am not confident enough in IB to use them for options on futures. OX has indicated that they will add options on futures possibly in the near future but their delay in getting futures rolling leaves me doubtful. ToS seems like a good candidate to add options on futures but I have not seen them express any interest.

If I can resolve my computer issues with IB, I may put some funds in there to use futures on options and the SPX options in another account. For now, OX and ToS are not there yet but I like in them in so many other respects I am staying for now.

Phil

Quote from andysmith:

"Most people overlook that what makes this or any other strategy successful is risk managment."

-- completely agree. I still think there is a creative, beneficial way to hedge with options on SPX futures (ES or SP). I'm sorry you have decided not to pursue that.
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How come you do not call in an order to a broker at the Merc in order to trade SP options? I don't see any particular reason to trade through an online, discount broker. There is one main brokerage group that administers a large majority of the orders in the Merc SP options pit. Naturally, the commissions are relative high, but it seems like you are selling enough premium to absorb the commission charge.

It is my observation that you can get better fills for DOTM options in the Merc pit as compared to emini options.

There are a few groups on the floor that try to sell DOTM options at the merc and try to hedge them quickly with lesser delta options in the SPX (or vise versa depending on order flow).
 
With time decay creeping in and me already heavy in puts I decided to put a limit order out there for some deep OTM calls to see if I could get filled. I finally got filled:

Sold 150 SEP SPX 1270/1285 Call Spreads @ $0.30 ($0.05/$0.60)

Credit = $4,500

Now to derive the return we should look at the entire now legged-into Iron Condor which is really the accurate way to look at for now.

I also have:

150 SEP SPX 1140/1155 Put Spreads @ $0.55

So for the Iron Condor=

Total Credit = $0.85 or $12,750
Margin = $225,000

Return = 5.67%

I feel comfortable with 1270 (50 pts OTM) & 1155 (65 pts OTM) as my short strikes with about 23 days to expiration and another possibly range-bound week coming up before Labor Day weekend. I feel that although the market was down, I wanted to grab credit before time decay really began eating at it and that would not allow me to go as far OTM as I would like.

As usual, I might close out one side for a significant profit depending on market moves and time decay, and if I need the margin in a few weeks for OCT positions.

If we have another strong up movement, I can still get into calls to match my 1165/1175 put spread and leg into an Iron Condor there.

Phil
 
Phil,

I joined you on the SPY 121/120/119 put butterfly. The market is trending in that direction, and I bought in for 0.10. I'm a little surprised not to have seen more of an increase in the spread price, given today's break of 1210. Have you made any adjustments?
 
Quote from gatorplease:

Phil,

I joined you on the SPY 121/120/119 put butterfly. The market is trending in that direction, and I bought in for 0.10. I'm a little surprised not to have seen more of an increase in the spread price, given today's break of 1210. Have you made any adjustments?
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The increase in IV hurt long flys today.

Quick story: Back in '87 a buddy was trying to move some SPX flys during the crash... he asked a large broker to give him a market in a 10-wide fly. The broker quoted, "they're all a dime by a dollar" meaning it made no difference what strikes you wanted. The vega exposure on the fly exceeds all other greeks unless you're very close to expiration. They're not naked calls or puts.
 
$0.10.... I am jealous, I got it for $0.15 lol. I am not touching it really since it runs to September. My main impetus for doing so is that if the SPX broke through support at 1220-ish, the next settling place would be 1200 so I grabbed the butterfly cheap using 120 (i.e. 1200) as the body.

We might bounce around a bit as a slow week is coming up leading into Labor Day. I hope 1200 holds because I really do not feel like making any adjustments this month lol.

Phil


Quote from gatorplease:

Phil,

I joined you on the SPY 121/120/119 put butterfly. The market is trending in that direction, and I bought in for 0.10. I'm a little surprised not to have seen more of an increase in the spread price, given today's break of 1210. Have you made any adjustments?
More...
 
Quote from riskarb:

The increase in IV hurt long flys today.

Quick story: Back in '87 a buddy was trying to move some SPX flys during the crash... he asked a large broker to give him a market in a 10-wide fly. The broker quoted, "they're all a dime by a dollar" meaning it made no difference what strikes you wanted. The vega exposure on the fly exceeds all other greeks unless you're very close to expiration. They're not naked calls or puts.
More...
I used to do DITM SPX put diags. Got hammered a few times on vol changes. Gave it up...
 
I just did some quick aftermarket digging and found these:

1245 IV .13
1250 IV .10
1255 IV .07
1260 IV .05

These strikes appear to have some juicy premiums (assuming you could get filled near the mid-point) vs. the risk:

1245/1255 = .95
1250/1260 = .70
1255/1265 = .45
1260/1270 = .30

I am using IV as a rough approximation for probability of the option finishing in the money.

ryan
 
Without seeing what the premiums are I cannot really judge what is juicy lol. 1245 is a recent resistance line so my advice is to go about 10 or 15 points outside of it you want to do a high probability Sept Call spread IMHO...

Phil

Quote from ryank:

I just did some quick aftermarket digging and found these:

1245 IV .13
1250 IV .10
1255 IV .07
1260 IV .05

These strikes appear to have some juicy premiums (assuming you could get filled near the mid-point) vs. the risk:

1245/1255 = .95
1250/1260 = .70
1255/1265 = .45
1260/1270 = .30

I am using IV as a rough approximation for probability of the option finishing in the money.

ryan
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