Alright XEO and SPX you proved your point, now chill the F@#$ out already....jeez
SPX Credit Spread Trader
- Thread starter El OchoCinco
- Start date
lol. Could be the arbs jumping on the rally to balance their books for the month. Classic signs of large buy programs. It just ain't stoppin'. Right up to the bell.
Momoney.
That is what happens when I get cute and roll my XEO calls down for more profit lol. Looks like tomorrow I need to fix my XEO 555 calls unless we get some profit taking in the morning. I went just an inch to far lol. Well what ya gonna do. Adjust and move on 
Phil
Phil
Okay. I took the historical VIX and put it across every line that shows the percent change in the SPX from expiration to expiration from 1995 through 2004. Took several hours but I'm hoping we'll be able to draw some conclusions or rules of thumb to help with our risk management. The spreadsheet is attached. The average and median VIX for the period between the expiration dates is shown on every line (along with the standard deviation).
Let's see what interesting analyses and conclusions we can draw from this.
Let's see what interesting analyses and conclusions we can draw from this.
I hope now everybody has done necessary adjustments and waiting for the expiry.
So much constructive discussion has taken place whether this is a good or bad strategy and also this is a good or bad product.
What is the coclusion? Can somebody write in simple English what is best to do. Much appreciated. Thanks
So much constructive discussion has taken place whether this is a good or bad strategy and also this is a good or bad product.
What is the coclusion? Can somebody write in simple English what is best to do. Much appreciated. Thanks
Smilingsynic
Optioncoach
I am going back to page 180 for your replies.Thanks for giving me the proper name about reverse calendar spread.
Smiling- You said it would be better to buy Dec and sell Nov. Will this bring me a credit?
Optioncoach- You have not explored use of calendars in great detail. I will much appreciate if you can give some time to explore this strategy.
Thanks to both of you.
Optioncoach
I am going back to page 180 for your replies.Thanks for giving me the proper name about reverse calendar spread.
Smiling- You said it would be better to buy Dec and sell Nov. Will this bring me a credit?
Optioncoach- You have not explored use of calendars in great detail. I will much appreciate if you can give some time to explore this strategy.
Thanks to both of you.
OK, just shoot me now. After holding through all the month, yesterdays revisit to 1170 spooked me. On a bounce back up to resistance, I closed out my put spread. I had to leave for the day, and couldn't watch. Frankly, I wouldn't have watched anyway, too much volatility.
I closed out for a minor loss. Then, come back at end of day to a HUGE move up. I'm frustrated. But I managed my risk. Followed my plan.
For those who suggested swing trading at tops and bottoms: That's great, but I OBVIOUSLY can't pick a top or a bottom. And frankly, have trouble telling a trend. So if you can help me, I'd love to hear! Are we going up, down or sideways. (I think the answer is YES!) LOL!
I closed out for a minor loss. Then, come back at end of day to a HUGE move up. I'm frustrated. But I managed my risk. Followed my plan.
For those who suggested swing trading at tops and bottoms: That's great, but I OBVIOUSLY can't pick a top or a bottom. And frankly, have trouble telling a trend. So if you can help me, I'd love to hear! Are we going up, down or sideways. (I think the answer is YES!) LOL!
Here is the data back to '86 with the lowest and highest % moves from the previous month:
Code:
PART ONE
Expiration to expiration changes (at Close) for SP-500
Start 19860117 Price: 208.43
Date: 19860221 Price: 224.62 %Change: [b][color=red]7.77[/color][/b] %Change LOWEST: -2.37 %Change HIGHEST: 7.77
Date: 19860321 Price: 233.34 %Change: 3.88 %Change LOWEST: -0.37 %Change HIGHEST: 5.31
Date: 19860418 Price: 242.38 %Change: 3.87 %Change LOWEST: -2.02 %Change HIGHEST: 4.15
Date: 19860516 Price: 232.76 %Change: -3.97 %Change LOWEST: -3.97 %Change HIGHEST: 0.97
Date: 19860620 Price: 247.58 %Change: [b][color=red]6.37[/color][/b] %Change LOWEST: 0.19 %Change HIGHEST: 6.38
Date: 19860718 Price: 236.36 %Change: -4.53 %Change LOWEST: -5.62 %Change HIGHEST: 2.07
Date: 19860815 Price: 247.15 %Change: 4.57 %Change LOWEST: -0.77 %Change HIGHEST: 4.57
Date: 19860919 Price: 232.21 %Change: [b][color=red]-6.04[/color][/b] %Change LOWEST: -6.67 %Change HIGHEST: 2.70
Date: 19861017 Price: 238.84 %Change: 2.86 %Change LOWEST: -0.99 %Change HIGHEST: 3.15
Date: 19861121 Price: 245.86 %Change: 2.94 %Change LOWEST: -1.24 %Change HIGHEST: 3.45
Date: 19861219 Price: 249.73 %Change: 1.57 %Change LOWEST: 0.37 %Change HIGHEST: 3.31
Date: 19870116 Price: 266.28 %Change: [b][color=red]6.63[/color][/b] %Change LOWEST: -3.03 %Change HIGHEST: 6.63
Date: 19870220 Price: 285.48 %Change: [b][color=red]7.21[/color][/b] %Change LOWEST: 0.59 %Change HIGHEST: 7.24
Date: 19870320 Price: 298.17 %Change: 4.45 %Change LOWEST: -1.09 %Change HIGHEST: 4.45
Date: 19870416 Price: 286.91 %Change: -3.78 %Change LOWEST: -6.38 %Change HIGHEST: 1.27
Date: 19870515 Price: 287.43 %Change: 0.18 %Change LOWEST: -1.88 %Change HIGHEST: 2.98
Date: 19870619 Price: 306.97 %Change: [b][color=red]6.80[/color][/b] %Change LOWEST: -3.21 %Change HIGHEST: 6.80
Date: 19870717 Price: 314.59 %Change: 2.48 %Change LOWEST: -0.97 %Change HIGHEST: 2.48
Date: 19870821 Price: 335.90 %Change: [b][color=red]6.77[/color][/b] %Change LOWEST: -2.16 %Change HIGHEST: 6.77
Date: 19870918 Price: 314.86 %Change: [b][color=red]-6.26[/color][/b] %Change LOWEST: -6.65 %Change HIGHEST: 0.26
Date: 19871016 Price: 282.70 %Change: [b][color=red]-10.21[/color][/b] %Change LOWEST: -10.21 %Change HIGHEST: 4.20
Date: 19871120 Price: 242.00 %Change: [b][color=red]-14.40[/color][/b] %Change LOWEST: -20.47 %Change HIGHEST: -8.60
Date: 19871218 Price: 249.16 %Change: 2.96 %Change LOWEST: -7.47 %Change HIGHEST: 2.96
Date: 19880115 Price: 252.05 %Change: 1.16 %Change LOWEST: -2.31 %Change HIGHEST: 4.78
Date: 19880219 Price: 261.61 %Change: 3.79 %Change LOWEST: -3.74 %Change HIGHEST: 3.79
Date: 19880318 Price: 271.12 %Change: 3.64 %Change LOWEST: -0.01 %Change HIGHEST: 3.67
Date: 19880415 Price: 259.77 %Change: -4.19 %Change LOWEST: -5.54 %Change HIGHEST: 0.16
Date: 19880520 Price: 253.02 %Change: -2.60 %Change LOWEST: -3.24 %Change HIGHEST: 1.60
Date: 19880617 Price: 270.68 %Change: [b][color=red]6.98[/color][/b] %Change LOWEST: -0.87 %Change HIGHEST: 8.47
Date: 19880715 Price: 272.05 %Change: 0.51 %Change LOWEST: -1.08 %Change HIGHEST: 1.89
Date: 19880819 Price: 260.24 %Change: -4.34 %Change LOWEST: -4.91 %Change HIGHEST: 0.34
Date: 19880916 Price: 270.65 %Change: 4.00 %Change LOWEST: -1.25 %Change HIGHEST: 4.00
Date: 19881021 Price: 283.66 %Change: 4.81 %Change LOWEST: -0.88 %Change HIGHEST: 4.81
Date: 19881118 Price: 266.47 %Change: [b][color=red]-6.06[/color][/b] %Change LOWEST: -6.99 %Change HIGHEST: -0.45
Date: 19881216 Price: 276.29 %Change: 3.69 %Change LOWEST: -0.09 %Change HIGHEST: 4.38
Date: 19890120 Price: 286.63 %Change: 3.74 %Change LOWEST: -0.35 %Change HIGHEST: 3.84
Date: 19890217 Price: 296.76 %Change: 3.53 %Change LOWEST: -0.74 %Change HIGHEST: 4.54
Date: 19890317 Price: 292.69 %Change: -1.37 %Change LOWEST: -3.25 %Change HIGHEST: 0.90
Date: 19890421 Price: 309.61 %Change: [b][color=red]5.78[/color][/b] %Change LOWEST: -1.27 %Change HIGHEST: 5.78
Date: 19890519 Price: 321.24 %Change: 3.76 %Change LOWEST: -1.43 %Change HIGHEST: 3.76
Date: 19890616 Price: 321.35 %Change: 0.03 %Change LOWEST: -0.91 %Change HIGHEST: 1.78
Date: 19890721 Price: 335.90 %Change: 4.53 %Change LOWEST: -1.05 %Change HIGHEST: 4.53
Date: 19890818 Price: 346.03 %Change: 3.02 %Change LOWEST: -0.66 %Change HIGHEST: 4.02
Date: 19890915 Price: 345.06 %Change: -0.28 %Change LOWEST: -1.55 %Change HIGHEST: 2.23
Date: 19891020 Price: 347.16 %Change: 0.61 %Change LOWEST: -3.31 %Change HIGHEST: 4.27
Date: 19891117 Price: 341.61 %Change: -1.60 %Change LOWEST: -4.19 %Change HIGHEST: -0.67
Date: 19891215 Price: 350.14 %Change: 2.50 %Change LOWEST: -0.66 %Change HIGHEST: 3.26