Vertical Spreads for Aggressive Growth

Rally,

I found your old posts on Coach's thread. Interesting. If it's alright, I'll throw some thoughts at you...

You use TA to trade counter to S/R. You appear to play on one side only. Have you tested placing condors instead of one-sided positions? I'm very biased against picking direction so I would look to balance the exposure.

I see you scale up on short term losses. Have you considered placing condors then scaling only on the 'losing side'. The winning side would help pay for adjustments. Taking this idea to its logical conclusion would lead you to place ATM butterflies and Martingale in the direction of the market. I'm not sure I want to take it this far though (although my broker would like it!)

I'm trying to make iron condors work closer to the money but the put skew keeps makes it tough. Can the put credit coupled with martingale (above) compensate for put skew?

You say in an early post that you exit early once you scale on a losing trade. Later you say you place expiration bets. Sounds like you've done both and settled on the latter. I'm playing with expectancies and I getting results that favor staying in til pretty close to expiration.

Also working on simply placing CTM condors on pumped up vol stocks, taking losses when shorts are violated. I'm looking at whether the decline in vol can create positive expectancy in CTM verticals.

All thoughts appreciated.
 
Eric,

my early posts on the SPX credit spread thread was my way of contributing and it was mostly an attempt to demonstrate that you can collect premium month after month without exposing yourself to big risks. Overbought resistance and oversold support were used to improve the expectancy over a completely random entry system. While i am not a big fan of martingale, it can serve a purpose when used in moderation. It was an always-in-the-market counter-trend type of approach which was intended to capture as much premium as possible for the least amount of risk.

I dont want to comment on doing verticals on "pumped up" vols but generally you dont play a decrease in vols via a vertical. Cache has plenty of examples in this very thread how to trade equities directionally.
 
Back in March, cnms2 wrote:

"Talking about adjustments: a strategy favored by some savvy options traders is to open an ATM iron condor, then adjust it everytime one wing gets ATM by opening another iron condor right there, and so on. Maybe a similar thing might work for credit spreads."

I've been running some numbers on rolling scenarios and this is one that came up. Cache's response was on the money - might work depending on how many adjustments you need to make. I'm always troubled by the skew on the puts side of this strategy. Your put credit hedges the calls side (and vice versa) but the additional credit from the puts is much smaller than that from the calls.

cnms2, have you seen other discussion about this adjustment strategy?

PS, rally, I had mentioned selling verticals on high vol stocks not specifically from a vega perspective, just as a way to create expectancy from a little extra credit - improve the results from a vertical selling strategy. Although I understand you could look at it as favorable expectancy from a vol bet paying for zero? expectancy vertical play. Natenburg suggests selling verticals w/ATM shorts on high vol, buying verticals w/ATM longs in low vol scenarios.
 
Yesterday for the first time I tried to do a combo (put side) and combo quotes were 60 bid 100 ask. I amended 60 to 80 and transmitted the order. The order was not accepted and was getting wiped out. The order was at limit. Broker IB.

Can the exchange do like this? I do same thing for FTSE and my order remains pending till it is filled or removed at the end of day

Does this mean exchange will only accept order at bid or ask?

Help much appreciated. Thanks

This was for ER2
 
Quote from osho67:

Yesterday for the first time I tried to do a combo (put side) and combo quotes were 60 bid 100 ask. I amended 60 to 80 and transmitted the order. The order was not accepted and was getting wiped out. The order was at limit. Broker IB.

Can the exchange do like this? I do same thing for FTSE and my order remains pending till it is filled or removed at the end of day

Does this mean exchange will only accept order at bid or ask?

Help much appreciated. Thanks

This was for ER2
More...

It means there isn't anyone willing to fill you at the mid. There are no rules saying that they have to fill at the mid. It is likely that had you gone to 0.85 you'd have gotten filled.
 
Remember, ER2 is strictly electronic and traded on globex. Globex has very limited support for combo orders. In general, you will need to leg into any spread positions with ES, ER2, NQ, etc.

Also, ER2 options are not very actively traded compared to ES. You can certainly place your order inside the b/a spread and you will see your order come up on your quote screen. Just be ready to watch your order sit for awhile waiting for someone else to match it. The ER2 option MMs are just automated programs. They rarely come off their b/a more than 0.05 to fill an order.

I'm not trying to discourage you from trading ER2 options. I've done well with them. But if you want to put on the trade right now, you will need to pay the spread.

On the flip side, being able to see the true market lets you put on some trades that you can't do with pit traded options. If you see someone trying to sell just above the bid, you can take those and setup some very cheap spreads.

Quote from osho67:

This was for ER2
More...
 
Quote from Cache Landing:

It means there isn't anyone willing to fill you at the mid. There are no rules saying that they have to fill at the mid. It is likely that had you gone to 0.85 you'd have gotten filled.
More...

No I did not expect any one to fill at the middle immediately but I had expected that my order will remain on the screen but it did not and was erased instantly. The question is should it have remained on the screen?

Thanks for the responses
 
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