SPX Credit Spread Trader

[El OchoCinco]

If you go to www.ivolatility.com you can see the current IV of any stock and a chart and range of the IV over the past year.

But to be more accurate, I wrote that this is a tool to see if the options are relatively cheap or relatively expensive compared to where they have been priced in the past year.

The other information posted here is only for the SPX index and not relevant for a sepcific stock. You need to look at that specific stock's IV since stocks can have high or low IV no matter what the S&P IV is.

Phil

Quote from daytrader85:

Hi Coach Phil,
I finally got a hold of your book. To my surprise, I actually found it in my college (UIC) library.
I was reading the first part of the book and you said how to find which options were cheap and expensive by looking at current IV's and comparing them that particular stock or strike's IV range. Is there anyway I could get old IV's, to see what the range was, or do I just have to note it down on my own and work from that??

I hope my question makes sense. Let me know if it doesn't.

Thanks.

Daytrader85

 

[El OchoCinco]

Why do you say that?

Quote from rdemyan:

Maybe you'll find this of use as apparantly know one else does.

 

[rdemyan]

Well, I had hoped that the significant amount of time I put into creating that spreadsheet, which includes the average, median and SD for the SPX VIX on an expiration to expiration basis on the same line with the expiration to expiration percentage change in the SPX, would stimulate some discussion and analysis on how volatility affects movement in the SPX. I was hoping that we might be able to generate some general rules of thumb, even perhaps how far to go OTM as a function of the VIX. Of course, nothing is absolute and there is considerable scatter, but still I had some hopes that it might assist us with selecting credit positions depending upon the current volatility environment.

But maybe there are no conclusions to draw. Even that conclusion, in and of itself, is worthwhile.

Quote from optioncoach:

Why do you say that?

 

[El OchoCinco]

SET = 1183.79

Yaaaaaaaaaaaaa

 

[El OchoCinco]

I do not know about you but I have not had free time in the last 2 weeks lol. When things quiet down I would love to go through it in greater detail so it was not a wasted effort. I appreciate the info very much.

Quote from rdemyan:

Well, I had hoped that the significant amount of time I put into creating that spreadsheet, which includes the average, median and SD for the SPX VIX on an expiration to expiration basis on the same line with the expiration to expiration percentage change in the SPX, would stimulate some discussion and analysis on how volatility affects movement in the SPX. I was hoping that we might be able to generate some general rules of thumb, even perhaps how far to go OTM as a function of the VIX. Of course, nothing is absolute and there is considerable scatter, but still I had some hopes that it might assist us with selecting credit positions depending upon the current volatility environment.

But maybe there are no conclusions to draw. Even that conclusion, in and of itself, is worthwhile.

 

[andysmith]

rdemyan,
You can get the 2SD numbers from the TOS platform. Or you can use this calculation (remember, time and volatility are really two ways of looking at a similar phenomenon)

1SD, 1 week out, with a 20% increase in IV due to something not-so-great happening = 1180 * 0.16 * 1.2 * SQRT(1/52) = ~31

So 2SD would be ~63.

Quote from rdemyan:

Andy:

How are you calculating the SD. Can you give a concrete example based on the current SPX price of about 1180.

Thanks.

 

[rdemyan]

Got filled today on the following:

SPX Nov 1100/1110 bull put spread at $0.70

 

[reengleman]

For my 1st post, I've a question for those experienced with the S & P 500.

Although I began trading options in ' 84, it wasn't until this May I began dabbling in the SPX. Yesterday, with the 1140/1125 showing 1.1 by 2.1, I entered my order @ 1.5. As the quote moved, finally to 1.3 by 2.8, and still without a fill, I called OX, and learned the pit was being "tight with fills today". At 1.7 by ?, I called again, and this time the broker contacted the floor, and I was rewarded with 1.614. I understand that with CBOE having an exclusive, spreads can be quite wide, and I've been told this index's not electronically filled. Is this situation normal where one need call for fills? Last month, I was .1 away, didn't call, and didn't receive a fill. Please share. Thank you.

Bob Engleman

 

[andysmith]

rdemyan, this was a tough expiration week. Give me another week or so. I have put this task on my to-do list. It requires a couple of hours of uninterrupted time to peruse...

Quote from rdemyan:

Well, I had hoped that the significant amount of time I put into creating that spreadsheet, which includes the average, median and SD for the SPX VIX on an expiration to expiration basis on the same line with the expiration to expiration percentage change in the SPX, would stimulate some discussion and analysis on how volatility affects movement in the SPX. I was hoping that we might be able to generate some general rules of thumb, even perhaps how far to go OTM as a function of the VIX. Of course, nothing is absolute and there is considerable scatter, but still I had some hopes that it might assist us with selecting credit positions depending upon the current volatility environment.

But maybe there are no conclusions to draw. Even that conclusion, in and of itself, is worthwhile.

 

[El OchoCinco]

THis is one of the drawbacks of the SPX, the wide b/a spread. But I have been told that many market makers trade it and if ytou leave your order up long enough it has a good chance of getting it as long as you are not too aggressive on splitting the b/a. After talking with different people I have found that starting at the mid point and shaving off some nickles and dimes is a good starting point.

I have also been told as you learned that if you can get your broker to call down the order you will certainly get a better chance of being filled. OX has done this for clients and I believe ToS does too.

But I do not think you always need call for fills. If you are patient and let the order sit, the b/a sometimes comes to you.

Phil

Quote from reengleman:

For my 1st post, I've a question for those experienced with the S & P 500.

Although I began trading options in ' 84, it wasn't until this May I began dabbling in the SPX. Yesterday, with the 1140/1125 showing 1.1 by 2.1, I entered my order @ 1.5. As the quote moved, finally to 1.3 by 2.8, and still without a fill, I called OX, and learned the pit was being "tight with fills today". At 1.7 by ?, I called again, and this time the broker contacted the floor, and I was rewarded with 1.614. I understand that with CBOE having an exclusive, spreads can be quite wide, and I've been told this index's not electronically filled. Is this situation normal where one need call for fills? Last month, I was .1 away, didn't call, and didn't receive a fill. Please share. Thank you.

Bob Engleman