Oh yeah, Karen sure is alive and ticking - and she just got nailed by the SEC. Turns out, unsurprisingly, that no you can't just mindlessly sell deep OTM premium and survive long-term: http://www.elitetrader.com/et/index.php?threads/schadenfreude-warning-karen-the-supertrader.300275/ Now do you folks believe what we've been saying?
Yes. Appreciate and enjoyed reading write ups from you, Maverick, newwurldmn, Martinhoul, blueplayer, just to name a few. Very educational.
Hey all. First time post..Question concerning selling SPY credit spreads in an high IV/high VIX environment... I came through Aug '15 and Feb '16 ok by taking my loses at my short strikes on my open spread positions on the put side ( I use TA and some st fundamental and set my strikes accordingly outside the S/R levels on either/both put and call side based on my directional opinion of where the market is not going) and I understand that you don't want vol increasing if you have positions short prem./spreads open. But what about establishing new credit spread positions in a high but stabilized vol situation ? ie: one would be making the assumption that vol will not rise significantly more. Assuming I stick to my strategy of taking my loss at the short strike if I don't get the directional call correct somewhat right, is it still a feasible trade ? or is the debit spread counterpart the only way to go ? Thanks for the input.
Nothing good about picking up SPY pennies in front of the steam roller. Can you give more info on your SPY spreads? How far OTM? The spread between the strikes? How long before expiry? Credit received?
No steam roller, they're spreads exited at short strike if original directional opinion not working out. More interested in people's thoughts on spreads in a high(er) IV/vix environment...thanks
Exiting at the short strike sounds good in theory ..... but in reality it's too impractical. Once again could you give more details on your SPY credit spreads? How far OTM? The spread between the strikes? How long before expiry? Credit received?
Actually, the short strike exit is very practical and has worked well limiting my loss when vix has spike as in August and Feb or when I have just been flat out wrong on my directional trade. Again, my short strike is outside of the S/R line. If that level is broken I usually do not want to stay in the position for long. In this low vol environment (maybe ending ? Hence the question..) I've usually opened spreads with delta of short strike 25-30 %, again it depends on the TA and my confidence in the potential outcome. My question remains...any comments on OPENING credit spreads with this strategy in a high but stablizing vol environment ? Thanks
Everything boils down to: do you expect vol to increase or decrease and how is the market currently pricing that. Go from there.