Quote from rdemyan:
C:
Your certainly correct about the risk on these credit spreads. Coach stresses risk management over profit, but IMHO the biggest threat to continued success is success. With success comes hubris and this can lead to traders of this strategy becoming complacent and taking on even more risk each month in order to make even more premium. That's why at least for me I need constant reminders to not step out of the comfort zone and to practice good risk management at all times regardless.
You mentioned that you posted something way back when. Would you mind reposting or provide the link as I would like to review the data.
Here it is!
For data miners and SPX traders, here are the Expiration-to-Expiration percentage changes for SP500 for the last 10 years. Note that if you were trying to stay out of trouble with your OTM spreads, you would be scrambling like crazy and subject to huge whipsaws during some of those months. Good luck!
The data is calculated from the
Close on the Friday of expiration week, so it is not quite the Friday morning "settlement" number. Should be good enough to checkout a few "what if" scenarios.
Changes greater than 5% are
red
SPX EXPIRATION PCNT CHANGES
Start 19951020 Price: 587.46
Date: 19951117 Price: 600.07 %Change: 2.15
Date: 19951215 Price: 616.34 %Change: 2.71
Date: 19960119 Price: 611.83 %Change: -0.73
Date: 19960216 Price: 647.98 %Change:
5.91
Date: 19960315 Price: 641.43 %Change: -1.01
Date: 19960419 Price: 645.07 %Change: 0.57
Date: 19960517 Price: 668.91 %Change: 3.70
Date: 19960621 Price: 666.84 %Change: -0.31
Date: 19960719 Price: 638.73 %Change: -4.22
Date: 19960816 Price: 665.21 %Change: 4.15
Date: 19960920 Price: 687.02 %Change: 3.28
Date: 19961018 Price: 710.82 %Change: 3.46
Date: 19961115 Price: 737.62 %Change: 3.77
Date: 19961220 Price: 748.87 %Change: 1.53
Date: 19970117 Price: 776.17 %Change: 3.65
Date: 19970221 Price: 801.77 %Change: 3.30
Date: 19970321 Price: 784.10 %Change: -2.20
Date: 19970418 Price: 766.34 %Change: -2.27
Date: 19970516 Price: 829.75 %Change:
8.27
Date: 19970620 Price: 898.70 %Change:
8.31
Date: 19970718 Price: 915.30 %Change: 1.85
Date: 19970815 Price: 900.81 %Change: -1.58
Date: 19970919 Price: 950.51 %Change:
5.52
Date: 19971017 Price: 944.16 %Change: -0.67
Date: 19971121 Price: 963.09 %Change: 2.00
Date: 19971219 Price: 946.78 %Change: -1.69
Date: 19980116 Price: 961.51 %Change: 1.56
Date: 19980220 Price: 1,034.21 %Change:
7.56
Date: 19980320 Price: 1,099.16 %Change:
6.28
Date: 19980417 Price: 1,122.72 %Change: 2.14
Date: 19980515 Price: 1,108.73 %Change: -1.25
Date: 19980619 Price: 1,100.65 %Change: -0.73
Date: 19980717 Price: 1,186.75 %Change:
7.82
Date: 19980821 Price: 1,081.24 %Change:
-8.89
Date: 19980918 Price: 1,020.09 %Change:
-5.66
Date: 19981016 Price: 1,056.42 %Change: 3.56
Date: 19981120 Price: 1,163.55 %Change:
10.14
Date: 19981218 Price: 1,188.03 %Change: 2.10
Date: 19990115 Price: 1,243.26 %Change: 4.65
Date: 19990219 Price: 1,239.22 %Change: -0.32
Date: 19990319 Price: 1,299.29 %Change: 4.85
Date: 19990416 Price: 1,319.00 %Change: 1.52
Date: 19990521 Price: 1,330.29 %Change: 0.86
Date: 19990618 Price: 1,342.97 %Change: 0.95
Date: 19990716 Price: 1,418.78 %Change:
5.64
Date: 19990820 Price: 1,336.61 %Change:
-5.79
Date: 19990917 Price: 1,335.42 %Change: -0.09
Date: 19991015 Price: 1,247.41 %Change:
-6.59
Date: 19991119 Price: 1,422.00 %Change:
14.00
Date: 19991217 Price: 1,421.03 %Change: -0.07
Date: 20000121 Price: 1,441.36 %Change: 1.43
Date: 20000218 Price: 1,346.09 %Change:
-6.61
Date: 20000317 Price: 1,464.47 %Change:
8.79
Date: 20000420 Price: 1,434.54 %Change: -2.04
Date: 20000519 Price: 1,406.95 %Change: -1.92
Date: 20000616 Price: 1,464.46 %Change: 4.09
Date: 20000721 Price: 1,480.19 %Change: 1.07
Date: 20000818 Price: 1,491.72 %Change: 0.78
Date: 20000915 Price: 1,465.81 %Change: -1.74
Date: 20001020 Price: 1,396.93 %Change: -4.70
Date: 20001117 Price: 1,367.72 %Change: -2.09
Date: 20001215 Price: 1,312.15 %Change: -4.06
Date: 20010119 Price: 1,342.54 %Change: 2.32
Date: 20010216 Price: 1,301.53 %Change: -3.05
Date: 20010316 Price: 1,150.50 %Change:
-11.60
Date: 20010420 Price: 1,242.98 %Change:
8.04
Date: 20010518 Price: 1,291.96 %Change: 3.94
Date: 20010615 Price: 1,214.36 %Change:
-6.01
Date: 20010720 Price: 1,210.85 %Change: -0.29
Date: 20010817 Price: 1,161.97 %Change: -4.04
Date: 20010921 Price: 965.80 %Change:
-16.88
Date: 20011019 Price: 1,073.48 %Change:
11.15
Date: 20011116 Price: 1,138.65 %Change:
6.07
Date: 20011221 Price: 1,144.89 %Change: 0.55
Date: 20020118 Price: 1,127.58 %Change: -1.51
Date: 20020215 Price: 1,104.18 %Change: -2.08
Date: 20020315 Price: 1,166.16 %Change:
5.61
Date: 20020419 Price: 1,125.17 %Change: -3.51
Date: 20020517 Price: 1,106.59 %Change: -1.65
Date: 20020621 Price: 989.14 %Change:
-10.61
Date: 20020719 Price: 847.75 %Change:
-14.29
Date: 20020816 Price: 928.77 %Change:
9.56
Date: 20020920 Price: 845.39 %Change:
-8.98
Date: 20021018 Price: 884.39 %Change: 4.61
Date: 20021115 Price: 909.83 %Change: 2.88
Date: 20021220 Price: 895.76 %Change: -1.55
Date: 20030117 Price: 901.78 %Change: 0.67
Date: 20030221 Price: 848.17 %Change:
-5.94
Date: 20030321 Price: 895.90 %Change:
5.63
Date: 20030417 Price: 893.58 %Change: -0.26
Date: 20030516 Price: 944.30 %Change:
5.68
Date: 20030620 Price: 995.69 %Change:
5.44
Date: 20030718 Price: 993.32 %Change: -0.24
Date: 20030815 Price: 990.67 %Change: -0.27
Date: 20030919 Price: 1,036.30 %Change: 4.61
Date: 20031017 Price: 1,039.32 %Change: 0.29
Date: 20031121 Price: 1,035.28 %Change: -0.39
Date: 20031219 Price: 1,088.66 %Change:
5.16
Date: 20040116 Price: 1,139.83 %Change: 4.70
Date: 20040220 Price: 1,144.11 %Change: 0.38
Date: 20040319 Price: 1,109.78 %Change: -3.00
Date: 20040416 Price: 1,134.61 %Change: 2.24
Date: 20040521 Price: 1,093.56 %Change: -3.62
Date: 20040618 Price: 1,135.02 %Change: 3.79
Date: 20040716 Price: 1,101.39 %Change: -2.96
Date: 20040820 Price: 1,098.35 %Change: -0.28
Date: 20040917 Price: 1,128.55 %Change: 2.75
Date: 20041015 Price: 1,108.20 %Change: -1.80
Date: 20041119 Price: 1,170.34 %Change:
5.61
Date: 20041217 Price: 1,194.20 %Change: 2.04
Date: 20050121 Price: 1,167.87 %Change: -2.20
Date: 20050218 Price: 1,201.59 %Change: 2.89
Date: 20050318 Price: 1,189.65 %Change: -0.99
Date: 20050415 Price: 1,142.62 %Change: -3.95
Date: 20050520 Price: 1,189.28 %Change: 4.08
Date: 20050617 Price: 1,216.96 %Change: 2.33
