SPX Credit Spread Trader
- Thread starter El OchoCinco
- Start date
Here is a continuation of the SPX finding for the down side:
The down side
out of total 37 months the SPX was down 15 times
( sorry in my previous post i might put 17 months
The SPX went down 4 months in a row= 0 times
The SPX went down 3 months in a row= 0 times
The SPX went down 2 months in a row = 2 times:
The 1st time was from 7/16/04, 8/20/04 for the total points of =
14.56 + 24.39 = - 38.95.
The 2nd time was from 3/18/05, 4/15/05 for the total of =
11.09 + 31.85 = - 42.94
The biggest down month out of the 15 down months were:
2/21/03 = - 67.35 points
10/21/05 = - 49 points
5/20/04 = - 39.15 points
If any of you is interested please let me know I will keep posting the statistics. I only post statistical facts for the past 37 months.
What you make out of theses numbers is up to you . It might enhance your decision to what trade you make.
Labib Imtanes
The down side
out of total 37 months the SPX was down 15 times
( sorry in my previous post i might put 17 months
The SPX went down 4 months in a row= 0 times
The SPX went down 3 months in a row= 0 times
The SPX went down 2 months in a row = 2 times:
The 1st time was from 7/16/04, 8/20/04 for the total points of =
14.56 + 24.39 = - 38.95.
The 2nd time was from 3/18/05, 4/15/05 for the total of =
11.09 + 31.85 = - 42.94
The biggest down month out of the 15 down months were:
2/21/03 = - 67.35 points
10/21/05 = - 49 points
5/20/04 = - 39.15 points
If any of you is interested please let me know I will keep posting the statistics. I only post statistical facts for the past 37 months.
What you make out of theses numbers is up to you . It might enhance your decision to what trade you make.
Labib Imtanes
Hi Phil, I read the study by the CME regarding exercised options, recapping:
1997-1999
S&P Options Contracts
Exercised Call Options: 41.1% of total
Exercised Put Options: 6.1% of total
Questions:
1. Have you ever been early exercised on an OTM put or call?
2. Is the probability nearly the same for the ES e-mini S&P options?
3. Are there any good reasons why anyone would exercise a deep OTM S&P option 10 days before expiration?
Many thx, exc thread
1997-1999
S&P Options Contracts
Exercised Call Options: 41.1% of total
Exercised Put Options: 6.1% of total
Questions:
1. Have you ever been early exercised on an OTM put or call?
2. Is the probability nearly the same for the ES e-mini S&P options?
3. Are there any good reasons why anyone would exercise a deep OTM S&P option 10 days before expiration?
Many thx, exc thread
Well the CME study might have been on options on S&P futures which off the top of my head I cannot remember if they are American or European. But I would guess that most puts bougt were for hedging purposes or speculation. If they were for either they are most likely sold before expiration to caputure the profit and perhaps the few left at expiration which were in the money were allowed to be assigned to cover a short future perhaps. Long calls seem mostly for directional bets and perhas in 1997 - 1999 with such a bullish market, people were more willing to exercise and take the future position and then hold it past the option expiration period. This would seem to explain the differences.
As for the questions:
1) I deal with SPX or XEO options whcih are European so early exercise is never a factor.
2) Not sure which probability you are referring to. If you mean the stats are for the SP and if that is the same as the ES, perhaps they are similar since they track the same underlying index.
3) I cannot imagine why anyone would exercise a deep OTM option before expiration since you put yourself in a greater losing position taking a position in the futures at a loss to start out with as opposed to holding an option and perhaps letting it expire worthless. I am sure there is one unimaginable reason why someone would do it but I doubt it is a good one.
As for the questions:
1) I deal with SPX or XEO options whcih are European so early exercise is never a factor.
2) Not sure which probability you are referring to. If you mean the stats are for the SP and if that is the same as the ES, perhaps they are similar since they track the same underlying index.
3) I cannot imagine why anyone would exercise a deep OTM option before expiration since you put yourself in a greater losing position taking a position in the futures at a loss to start out with as opposed to holding an option and perhaps letting it expire worthless. I am sure there is one unimaginable reason why someone would do it but I doubt it is a good one.
ok...guess I need to do this...I'm giving up my age...no clue who Jessica Alba is however ...on behalf of your wife......."SLAP"...WHAP" ..."POW"...now "SNAP OUT OF IT"!!!!
and all you other boys..."wipe that smirk off your face"
Bull Case: We still have basically gone no where this year. Sure Dow & S&P near highs blah blah blah...short term overbought...but people are quietly taking profits off the table and hedging their bets. The semi's are still below where they were last year yet balance sheets and profits are better. I think once the Nas has its run then there will be more downside...not sure tho % of Tech in the S&P...I know financials and oils are a large % and financials are starting to break but oils are stabilizing..so I think may be just more churning.
JOBS..people are working...making and spending money economy is still good. GDP good...profits good...earnings good..
I will be surprised if Dec Set is below Nov set or even close. Probably not much higher but if it is then...I'll be concerned. Both last month and this the adjustments I've made have added to the net take...I still think a great environment for the IC.
and all you other boys..."wipe that smirk off your face"
Bull Case: We still have basically gone no where this year. Sure Dow & S&P near highs blah blah blah...short term overbought...but people are quietly taking profits off the table and hedging their bets. The semi's are still below where they were last year yet balance sheets and profits are better. I think once the Nas has its run then there will be more downside...not sure tho % of Tech in the S&P...I know financials and oils are a large % and financials are starting to break but oils are stabilizing..so I think may be just more churning.
JOBS..people are working...making and spending money economy is still good. GDP good...profits good...earnings good..
I will be surprised if Dec Set is below Nov set or even close. Probably not much higher but if it is then...I'll be concerned. Both last month and this the adjustments I've made have added to the net take...I still think a great environment for the IC.
Bless you Agyar.....
Not sure if I understand the question. Futures require delivery of an underlying on a certain date, for indexes it is cash, and you are nto forced to take delivery if you are short until a specified date near expiration of the futures contract. So there is no early forced delivery or ability to early request delivery. If you are talking about options on futures, check out www.cme.com.
I would go look myself but then I would have to tear myself away from the Jessica Alba picture and that just ain't happenin'
I would go look myself but then I would have to tear myself away from the Jessica Alba picture and that just ain't happenin'