SPX Credit Spread Trader

Quote from riskarb:

It's approximately one-dev up and down, but based upon the implied vol, not statistical volatility. Run a 20/2 bollinger band on SPX and compare the stat-distro to that implied by the SPX atm straddle. The 20d[trading days] BB corresponds to a 30d straddle[calendar days]. You can manipulate the BB ma to fit the time to exp on the option combo. You'll see they are usually very tight.

Some charting/ananlysis packages will alow you to shadow-chart the atm combo superimposed on the spot chart.

Be mindful of the BB and/or the BB bandwidth when selling premium. It's a good visual indicator of option vols since stat and implied are [usually] very tightly correlated in index markets.
More...

Riskarb, let me see if I get the purpose and the steps of this exercise straight.

If XYZ has an Imp Vol of x% which translates to a $1 Stand Dev, and he sees XYZ going over the 2 Stand Dev Boll bands at a rate greater than 1 in 20 bars, then he ought to buy juice or at the least ask more premo when he sells ATM straddle. Thanks
 
Quote from GATrader:

Riskarb, let me see if I get the purpose and the steps of this exercise straight.

If XYZ has an Imp Vol of x% which translates to a $1 Stand Dev, and he sees XYZ going over the 2 Stand Dev Boll bands at a rate greater than 1 in 20 bars, then he ought to buy juice or at the least ask more premo when he sells ATM straddle. Thanks
More...

Yeah, GA, that would be the reversion-trade. It's obviously not a lock to sell rich vols into a tight stat-vol, but you got the jist of it.
 
Anyone have any opinon on scraping up some change by selling the DEC 1285/1295 for 30 cents? The ATM straddle is around 15.00 for DEC so I'm thinking this would be a safe strike even considering last month's crazy settlement. :confused:
 
Weeklies:

The 1265P contract could have been bought/sold for $9 last night. Looks like it paid at $2.29. Holding to SET is for the birds unless you are a seller and way OTM -- or DonnaV of course. :)
 
For .30 cents... nope... na-ta...

1. An adjustment would incur a huge loss without much time left
2. To close out the positon around expiration would probably cost .10 plus commissions
3. SET could jump up and bite ya in this X-mas season.

Just my thoughts,

Murray
 
DEC is also triple witching month plus end of year where money managers could be doing all sorts of wierd stuff with last derivatives of the year....


Quote from Sailing:

3. SET could jump up and bite ya in this X-mas season.

Just my thoughts,

Murray
More...
 
Coach,

Should I bail out of my 1280/1285 because of SET? I don't see SPX 1275 by Thursday

Quote from optioncoach:

DEC is also triple witching month plus end of year where money managers could be doing all sorts of wierd stuff with last derivatives of the year....
More...
 
First, what profit if any do you have? You are 22 points OTM so SET is not an issue as of today.

Quote from piccon:

Coach,

Should I bail out of my 1280/1285 because of SET? I don't see SPX 1275 by Thursday
More...
 
I can't put my finger on it but I'm expecting a mini rally next week.... We've been correcting-by-time healthily for a few days now without any huge dips. If the Fed even hints at some good news next week, along with the propensity for the market to rally during exp week, plus the fact that we still are in a bull market,... we rally... my 2 cents.

Quote from Sailing:

For .30 cents... nope... na-ta...

1. An adjustment would incur a huge loss without much time left
2. To close out the positon around expiration would probably cost .10 plus commissions
3. SET could jump up and bite ya in this X-mas season.

Just my thoughts,

Murray
More...
 
Looking at the latest price:

SZPLP/1280=0.75
SZPLQ/1285=0.40 =>0.35

I got an average of 0.70 for it. But I will let the weekend go for additional theta and I will follow it beginning of next week.



Quote from optioncoach:

First, what profit if any do you have? You are 22 points OTM so SET is not an issue as of today.
More...
 
You must log in or register to reply here.
Back
Top