SPX Credit Spread Trader

I may or may not have solved the mystery, you tell me.

When I did my intial calculation I used the IV for the SPX itself. I redid the calculation using the IV of the 1170 put. I came up with 15.9 going this route. This makes the delta a rough approximation for the probability. So, am I correct in using the IV of the option as opposed to the underlying in my calculation?

ryan


Quote from ryank:

I have a 1160/1170 Oct SPX credit spread right now. We always talk about using delta as an approximation for the probability of the option expiring in the money. Right now the delta for 1170 is .14. I ran the numbers through a probability calculator and got .048, obviously a big difference. I noticed that the IV has spiked recently with the drops we have seen from about 1226 down to 1207 over the last few days. Is IV the only contributor to the difference between the rough delta estimate and the calculated probability?

ryan
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I have a few accounts at OptionsXpress. Well when I want to trade a spread in multiple accounts I had to enter the order manually each time. Now you can click on the bid link in the option chain, input your credit price and then click "group trade". This brings up a list of your accounts, and you can submit the trade to any or all of them without re-entering the trade over and over. They have been working on it for a while and they finally released the feature.

PS: I'm trying to get into the :
SPX NOV 1130 PUT / NOV 1140 PUT 0.6x1.7 15 / 15 Credit 0.80
not filled yet....mid is 1.15...

I got filled yesterday on the:
SPX NOV 1290 CALL / NOV 1280 Credit 0.95

Which would make a nice condor of 140 points for a 1.75 credit total.

sd

Quote from optioncoach:

What is that?

Phil
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In my other account I got filled on the NOV 1140/1150 at $1.00 which was a helped by the huge drop today. I know that is not relevant for this thread lol but you guys always beat me on my fills so I wanted to win one :(.

Nice fill on the 1280/1290. Have not put on my calls yet.

Phil

Quote from skdoyle1:

I have a few accounts at OptionsXpress. Well when I want to trade a spread in multiple accounts I had to enter the order manually each time. Now you can click on the bid link in the option chain, input your credit price and then click "group trade". This brings up a list of your accounts, and you can submit the trade to any or all of them without re-entering the trade over and over. They have been working on it for a while and they finally released the feature.

PS: I'm trying to get into the :
SPX NOV 1130 PUT / NOV 1140 PUT 0.6x1.7 15 / 15 Credit 0.80
not filled yet....mid is 1.15...

I got filled yesterday on the:
SPX NOV 1290 CALL / NOV 1280 Credit 0.95

Which would make a nice condor of 140 points for a 1.75 credit total.

sd
More...
 
I gave up on the 1130x1140 and just got filled for 1.00 on the 1140x1150. It's a tie this time Phil! The volume was about 4200 on this spread vs 550 on the 1130x1140. Figured I had a better chance...
The condor is 1140/1150/1280/1290 for 1.95 cred. 130 pt spread.

sd

Quote from optioncoach:

In my other account I got filled on the NOV 1140/1150 at $1.00 which was a helped by the huge drop today. I know that is not relevant for this thread lol but you guys always beat me on my fills so I wanted to win one :(.

Nice fill on the 1280/1290. Have not put on my calls yet.

Phil
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Wow ugly day today. Hindsight being 20/20, I should have given up a nickel yesterday and gotten out of my OCT 1125/1140 at .15 instead of holding on for .10. Now it is at .20/1.05. Ah well. Wish I would have had my margin free to go back in for Novembers today.

I am doing a bit of an experiment with legging in. I know you haven't had much luck with this one Phil, but I had to give it a try. I bought 1290 NOV calls for .45 in anticipation of the next upleg in this trading range. If/when the market pops back up, I'll open the other part and sell the 1275 or 1280 call. That should double or triple the credit I get for the call spread, with the big assumption that we get back up to the 1220-1225 area. As I said, this is an experiment, so if we end up not getting back up there it isn't that big of a deal. Should be interesting to see how it plays out.
 
Hi Coach,

Are you considering any adjustments to Oct. 1175/1165 put spreads. I beleive that we are close to the 15 point "danger zone".

Cody
 
I see one potential technical projection to the 1190 level and tht is my next support level for now. We will see what happens in the next day or so and I will have to evaluate both my put spreads (on the XEO and on the SPX).

Lot of negative sentiment and a huge professional short day. Could have the smart money come back in for bargains or continued panic lol. The antennae are now tuned heavily and will be watching closely.

Phil

Quote from codyhopkins:

Hi Coach,

Are you considering any adjustments to Oct. 1175/1165 put spreads. I beleive that we are close to the 15 point "danger zone".

Cody
More...
 
sd:

Nice fill on the 1290/1280. Just out of curiousity did you get that filled before the market starting going down yesterday (Tues. 10/4/05)?

It looks like you might be able to take a hefty percentage profit already by closing it out.


Quote from skdoyle1:

I have a few accounts at OptionsXpress. Well when I want to trade a spread in multiple accounts I had to enter the order manually each time. Now you can click on the bid link in the option chain, input your credit price and then click "group trade". This brings up a list of your accounts, and you can submit the trade to any or all of them without re-entering the trade over and over. They have been working on it for a while and they finally released the feature.

PS: I'm trying to get into the :
SPX NOV 1130 PUT / NOV 1140 PUT 0.6x1.7 15 / 15 Credit 0.80
not filled yet....mid is 1.15...

I got filled yesterday on the:
SPX NOV 1290 CALL / NOV 1280 Credit 0.95

Which would make a nice condor of 140 points for a 1.75 credit total.

sd
More...
 
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