SPX Credit Spread Trader

I think using the VIX, historical SPX prices on each THU before expiration, the historical SETs and an option pricing model to price the SPX options on THU would be the best way to back test this. On Friday just expect the options to be at their intrinsic value based on the SET. The real question is whether you did this 12 times a year, how many true winners would you have, assuming > 3 handle set and would it compensate for the losers.

I would be willing to buy one ATM straddle on THU for your educational and my financial pleasure...


Quote from gatorplease:

Has anyone backtested this? I've been wondering the same thing.
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Quote from optioncoach:

...an option pricing model to price the SPX options on THU...
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Unfortunately, I have found this method to be fairly inaccurate for SPX options on the Thursday before exp. though that was a while ago and can't remember the details.

So as to get a more accurate picture, might be worth purchasing actual historical option price data e.g. from here:

http://www.historicaloptiondata.com/panda.html

Their data contains actual bid/ask info. No, I haven't purchased it myself but is on my list.

Momoney.
 
The 1270 and 1275 straddles are going for around $9-$10 this morning. The mere idea that they might come down to $3 is quite interesting in its own right...
 
Coach,

My 1280/1285 is in danger but I have to wait to see if the SPX is going to break the 1272.89 high before taking action. I hope It won't break it today.


Quote from optioncoach:

I think using the VIX, historical SPX prices on each THU before expiration, the historical SETs and an option pricing model to price the SPX options on THU would be the best way to back test this. On Friday just expect the options to be at their intrinsic value based on the SET. The real question is whether you did this 12 times a year, how many true winners would you have, assuming > 3 handle set and would it compensate for the losers.

I would be willing to buy one ATM straddle on THU for your educational and my financial pleasure...
More...
 
Now is the time to plan ahead. What did you sell it for and what is the current mid-point? If you have any profit, may be best just to get out since even if it is at 1275, a 6 point SET could be a losing position. Provide some info and I and others can give some guidance. Like I said in the analysis attached to my chart, the breakout on the FED announcement took us out of a few weeks of consolidation and a very likely continuation of the uptrend.

Quote from piccon:

Coach,

My 1280/1285 is in danger but I have to wait to see if the SPX is going to break the 1272.89 high before taking action. I hope It won't break it today.
More...
 
I had it at 0.55 and now I see that the B/A from OptionsXpress is 0.25/1.20. I am not even sure the b/a info is correct

The market has given back some of the gains it had. I wanted to wait for tomorrow before getting rid of it.



Quote from optioncoach:

Now is the time to plan ahead. What did you sell it for and what is the current mid-point? If you have any profit, may be best just to get out since even if it is at 1275, a 6 point SET could be a losing position. Provide some info and I and others can give some guidance. Like I said in the analysis attached to my chart, the breakout on the FED announcement took us out of a few weeks of consolidation and a very likely continuation of the uptrend.
More...
 
On any pullbacks you should place a limit order at an amount less than $0.55 to get out because even if the index does not make it above 1280, the SET could. Let theta work because I still see strong headwinds for the next day or so which might give you an exit possibility but any surge in the market could hurt you. You are in a tight situation here in my opinion and I would lean towards getting out if possible at the best price.

Quote from piccon:

I had it at 0.55 and now I see that the B/A from OptionsXpress is 0.25/1.20. I am not even sure the b/a info is correct

The market has given back some of the gains it had. I wanted to wait for tomorrow before getting rid of it.
More...
 
That's why I want to wait for tomorrow to get out. Today seems to be flat to slightly up.

I am not waiting for SET; That's for sure

Quote from optioncoach:

On any pullbacks you should place a limit order at an amount less than $0.55 to get out because even if the index does not make it above 1280, the SET could. Let theta work because I still see strong headwinds for the next day or so which might give you an exit possibility but any surge in the market could hurt you. You are in a tight situation here in my opinion and I would lean towards getting out if possible at the best price.
More...
 
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