SPX Credit Spread Trader

IB does have options on futures on the ES. It is not only an advantage for overnight trading, I believe ES future options have better margin requirements (SPAN) from what I have heard. The b/a spreads also seem tighter than normal SPX spreads but the ES options are 1 point = $50. So if the premium is 1.00 it is really $0.50. From what I have seen, you may get a better partial hedge from the ES options than SPY (still waiting on mini-SPX) but I personally had problems with IB and it lost my trust so it is hard to go back...

If you trade in large volume, TradeStation is cheap for options ($1.00 per contract) and if you trade enough the platform is free. I think 50 spreads would qualify. I am using them for futures trading.

But at $1.25 a contract at ToS v. $1.00 at IB and all the same tools but better customer service, I have been happy with ToS and OX. Only downside is no access to futures options BUT ToS has said they are considering it and actually want to bring those products in.

Phil

Quote from rdemyan:

Refresh my memory. IB does have trading on options on futures whereas ToS does not? But this is only an advantage during non Wall Street trading hours (i.e. I could play an overnight move with options on futures, but once the exchange is open that advantage is gone??)
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When you call Scott, like I said, mention my name and this thread. Others here may also get the lower commission rate. I have chatted with Scott (founder), Joel Blom (President) and Tom Sosman (founder) and they are all option traders and very active in customer service. I think you will like ToS and the fact that you can do stress testing on your SPX portfolios and see the effects of SPY hedges on your portfolio, even with changes in the underlying index and volatility.

Phil

Quote from rdemyan:

I believe the deal I mentioned earlier does not require that one be a frequent trader. As far as I know there is no minimum number of trades required to get the $1.25 rate. However, once my account is open, I have to e-mail Scott Sheridan in order to get the discounted commission schedule setup (I had to do the same thing with OX earlier this year).
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Quote from riskarb:

IB's the only place to go for retail options. The ability to trade flies/condors/calendars/arbitrage electronically with a single b/a through ISE is great. You can route electronically through the remaining exchanges with guaranteed fills if hitting the posted b/a.

TOS does not have that ability and their commish is significantly higher.
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I didn't even realize they went sub-$1 on those cheapie ops.

For only $0.50 or $0.25 it could pay to close some of those OTMs you may drag around till expiry, just because you want to aviod the commish hit. Might miss some nasty surprises occasionally.

Or even go the other way and load up on some OTM longs if you want to roll the dice. Why not, at 50 cents or a quarter commish...
 
I just received confirmation that the deal is as expected (i.e. no minimum number of trades required and access to trading desk).

I also asked about options on futures.

Scott replied that they are "still some time off" for options on futures because they can't be cleared under Penson (their clearinghouse or whatever it's called). He said they are working to change this.


Quote from optioncoach:

When you call Scott, like I said, mention my name and this thread. Others here may also get the lower commission rate. I have chatted with Scott (founder), Joel Blom (President) and Tom Sosman (founder) and they are all option traders and very active in customer service. I think you will like ToS and the fact that you can do stress testing on your SPX portfolios and see the effects of SPY hedges on your portfolio, even with changes in the underlying index and volatility.

Phil
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Yeah I have learned that what brokers can offer and how they offer it depends solely on their clearning firm. Even though the ToS crew wants to do options on futures and worked hard to get futures added, Penson will not let them do futures options yet. At OX, they allowed E-mini trading but only for individual accounts, not accounts in the form of an entity, and the reason was not their requirement but Goldman Sachs, their clearing firm.

I truly hope that ToS adds options on futures next year.

Phil

Quote from rdemyan:

I just received confirmation that the deal is as expected (i.e. no minimum number of trades required and access to trading desk).

I also asked about options on futures.

Scott replied that they are "still some time off" for options on futures because they can't be cleared under Penson (their clearinghouse or whatever it's called). He said they are working to change this.
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TOS's "Liquid" platform for institutional traders is as good as anything I've ever seen. Unless of course you happen to be a DPM and need something like Microhedge.

It has bit more advanced functionality than does their retail platform. Also it's not bound to their clearing firm which is Penson. One can use ones own FCM and B/D and do the give up. They've built this for intuitional traders that have their own relationships on the street.

This way you can keep your own existing comms, soft dollar, trading structure, whatever and then just pay TOS an execution fee. Your FCM, B/D, JBO, still gets their part of the fee.....everyone’s happy.

Pretty sweet.


http://www.tosliquid.com/
 
Riskarb

I find your suggestion extremely interesting. Please expand:

Would you adjust? when and how?

If you feel like the SPX is rangebound would you open the Call side?

Would you wait for a "bottom" to open the put side? "top" for call side?
Any "hints" would be appreciated.

Ckor


Quote from riskarb:

I'm not trying to get hung-up on the greeks, but they're symbolic of the risk-curve. Gamma is not expressed in dollars, so it's tough to grasp for everyone.

The time to hedge should be when you can sell-deltas and buy volatility cheaply, namely, in a deep otm long time spread. For example:

Sell the 1120//1130 put spread at $.80 * 100 ... $8,000 credit, $92,000 req/risk.

Buy 20 Nov/Dec 1135 put spreads at $5.20 ... $10,400 debit.


As you can see you've paid a debit for the entire position, but the convergence gains favor the credit spread unless we trade substantially higher. You can certainly trade the time spread as 10 quantity and still retain a decent credit. This is only mitigating a small portion of the risk -- therein lies the problems with otm credit spreads; it's virtually impossible to get out cleanly when you need to.

Another recommendation would entail replicating an otm, weak synthetic straddle with short futures. Sell the put spread and sell futures. Solve for the futures-gain at your short strike = your initial credit. Again, it's only going to earn you $8,000 on the futures hedge, but it makes the position PnL more symmetrical.
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hey doc -- please speak retail --
what is

DPM
FCM
B/D
JBO

thanks

newbie

Quote from Dr. Zhivodka:

TOS's "Liquid" platform for institutional traders is as good as anything I've ever seen. Unless of course you happen to be a DPM and need something like Microhedge.

It has bit more advanced functionality than does their retail platform. Also it's not bound to their clearing firm which is Penson. One can use ones own FCM and B/D and do the give up. They've built this for intuitional traders that have their own relationships on the street.

This way you can keep your own existing comms, soft dollar, trading structure, whatever and then just pay TOS an execution fee. Your FCM, B/D, JBO, still gets their part of the fee.....everyone’s happy.

Pretty sweet.


http://www.tosliquid.com/
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Designated Primary Market maker
Futures commision merchant
Broker/Dealer
Joint Back Office


Quote from newbie463:

hey doc -- please speak retail --
what is

DPM
FCM
B/D
JBO

thanks

newbie
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The one neg on IB I heard, but may have changed, is they charge for xled or to change your order. as a woman I'm prone to change my mind so I like the fact with TOS I can xl or chg my order frequently...probably drive them crazy

:)
 
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