SPX Credit Spread Trader

Here are the actual Greeks for the legs in the diagonal to clarify:


1185 weekly / 1185 SPX

Delta -.4244 / -.4347

Theta -.7067 / -.3392

Vega .5969 / 1.1221


So the net diagonal spread is:

Delta = -.01

Theta = +.37

Vega = +.5252


+ Theta, pretty much delta neutral for now, and positive vega.

Phil
 
Quote from optioncoach:

Here are the actual Greeks for the legs in the diagonal to clarify:


1185 weekly / 1185 SPX

Delta -.4244 / -.4347

Theta -.7067 / -.3392

Vega .5969 / 1.1221


So the net diagonal spread is:

Delta = -.01

Theta = +.37

Vega = +.5252


+ Theta, pretty much delta neutral for now, and positive vega.

Phil
More...

Thanks,

THat's what I would have thought intuitively. But looking at the prices it looked like the spread was widening -- even on a % basis. However, it's a busy morning so I probably missed something...
 
Wide bid/ask spreads in both products so it is possible it looked funny at quick glance..

Phil

Quote from ssternlight:

Thanks,

THat's what I would have thought intuitively. But looking at the prices it looked like the spread was widening -- even on a % basis. However, it's a busy morning so I probably missed something...
More...
 
The calendar spread is long skew and vega, but is getting hurt on delta position and the drop in strip-vols into this rally. The PnL resembles a short straddle, but +ve
 
Coach, what do you think about this one ?

Buy 1180 put $10.2
Sell 1175 put $2.3

My rational is to used this as a hedge and still has good +theta.

Detal -13.02
gamma -0.32
theta 19.14
vega 56.38
 
Here's a mistake that I'm sad to say I've made more than once.

Yesterday, I placed the following:

10 SPX Nov 1085/1100 at $0.60

10 SPX Nov 1100/1115 at $0.50


So today I'm thinking I'll close the 1085/1100 for about $0.10 and make $500 in one day (before commissions).

Wrong! The trades cancelled the 1100 position out, so I now have a 1085/1115 bull put spread.

I thought that this would affect what I can do on the bear call side with respect to not having to supply additional margin. However, ToS tells me that it won't, in the sense that I could trade 10 - 30 point bear call spreads or 20 - 15 point bear call spreads.

Now I should say that I'm calling this a mistake more in my viewpoint or thinking of the trades, because of what my original plan was. ToS correctly points out that I actually made $400 (on paper) when the 1100 trades cancelled each other out. Yeah, maybe, but I think in terms of credits I received and what it's gonna cost me to get out.
 
If those prices are correct then something is wrong lol. $8.00 for a $5.00 spread?


Quote from skanan:

Coach, what do you think about this one ?

Buy 1180 put $10.2
Sell 1175 put $2.3

My rational is to used this as a hedge and still has good +theta.

Detal -13.02
gamma -0.32
theta 19.14
vega 56.38
More...
 
You must log in or register to reply here.
Back
Top