SPX Credit Spread Trader

And we are done....... #$%@ you very much October lol. I will post final returns on the SPX positions tomorrow after SET. I am pretty far on both sides so I am not worry about SET tomorrow (even a 10 point swing will not hit my short strikes). XEO will take one more day. Hope you all did well for OCT SPX.

After I post my results I would be interested in yours for those willing to share, both good and bad. As I said earlier I may have a small loss in OCT (there goes 6 month streak) but I do not mind at all since I worked to preserve my capital and I already have a large cushion. Will update tomorrow.

Phil
 
Quote from optioncoach:

I already spoke with ToS on this issue and some of the guys there would love to have options on futures since many trade them. But they said for now they are not going to offer it. It goes by client demand and regulatory issues so they might do it down the road but not now.

TradeStation is good and I am moving my futures trading there but options and futures have to be in two different accounts and the options on futures is a mroe complicated account (pit trading account) according to TS. I do not think it is a big deal but not as easy as IB where everything is just in one account and you trade it all. I just do not like IB. Will wait on ToS.

Phil
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Thanks, that's good to know about the separate accounts. Hadn't got that far into the investigation though they do say on their website that they support electronically traded futures options for E-mini S&P 500 and Eurodollar but it has in brackets: (traded through RJO's MCD platform) which is probably where the separate accounts come in.

TradeStation is very appealing for the potential to automate futures trading strategies. I'm drooling at the thought...

Also, more favourable futures day trading margin requirements than the full $4000 per contract overnight requirements that TOS/Penson require.

What do you think of their platform for futures trading vs. TOS?

Don't want to go too far off topic though!

Momoney.
 
Phil,

I was just amazed today at the volatility spikes in the Nov 1130/1140 SPX spread prices.

Yesterday, on the open, I was hoping to fill the Nov SPX 1130/1140 Bull Put for $0.80 It didn't fill all day as the market just climbed away. Needless to say, at the end of the day I was disappointed.

Today, at noon, the same spread was midpointed around .80. I got busy at work.. and didn't make an offer. At 3:30pm the same spread was B/A .2 / 3.40 I could not believe it...

I did place and received a fill for $1.30

Overall, the market today is where is was yesterday at the open... but the spread price was well over twice what it was yesterday.

Volatility is an amazing thing.

Murray
 
I like the software that comes with the TS package. I was using live charting software and TICK with TCNet for $99 a month and with TradeStation I will get it for free because I trade enough contracts a month. Also the commission is $2.50 per compared to ToS $3.50 per contract.

The platform hopefully should work as smoothly as ToS for click and trade. I am just going to trade the futures there and do the options at OX and ToS since they are both $1.25 a contract and among the cheapest.

Phil

Quote from momoneythansens:

Thanks, that's good to know about the separate accounts. Hadn't got that far into the investigation though they do say on their website that they support electronically traded futures options for E-mini S&P 500 and Eurodollar but it has in brackets: (traded through RJO's MCD platform) which is probably where the separate accounts come in.

TradeStation is very appealing for the potential to automate futures trading strategies. I'm drooling at the thought...

Also, more favourable futures day trading margin requirements than the full $4000 per contract overnight requirements that TOS/Penson require.

What do you think of their platform for futures trading vs. TOS?

Don't want to go too far off topic though!

Momoney.
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Quote from momoneythansens:

That would explain the larger than normal open interest in the 310, 320 and 330 call series options.
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Yes, I forgot to check who had cheapie options to go with earnings. But the 300 closed at $8 and change. That's a fair amount of risk -- even if the reward is 3x.
 
It is not just volatility. It is the delta/gamma of the spread. The SPX had a 17 point swing which lower which explains the spike in prices with 28 days to expiration. Theta is not strong enough yet so delta rules. I think the market will cool off next week before establishing a new direction since it has whipsawed so much. As earnings die down the swings should diminish.

Phil

Quote from Sailing:

Phil,

I was just amazed today at the volatility spikes in the Nov 1130/1140 SPX spread prices.

Yesterday, on the open, I was hoping to fill the Nov SPX 1130/1140 Bull Put for $0.80 It didn't fill all day as the market just climbed away. Needless to say, at the end of the day I was disappointed.

Today, at noon, the same spread was midpointed around .80. I got busy at work.. and didn't make an offer. At 3:30pm the same spread was B/A .2 / 3.40 I could not believe it...

I did place and received a fill for $1.30

Overall, the market today is where is was yesterday at the open... but the spread price was well over twice what it was yesterday.

Volatility is an amazing thing.

Murray
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All current SPX positions will expire worthless even with a large SET. I will wait until tomorrow after the SET to get my final numbers. I still have one XEO spread open which will not close until tomorrow so I am still on the clock lol.

Phil

Quote from riskarb:

How did you guy's make out today? I haven't kept track of the rolls/strikes...
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