Another topic. Do you have any ideas on how I can get out of a bunch of June SPX bear calls that are now worth only $.05 (midpoint) as a spread. I'd like to free up the margin and squeeze some more, albeit lower credits, on FOTM SPX bear calls for June. Normally I can get out with 1 to 2 weeks left by simply buying back the short for a nickel or dime and then leaving a GTC order to sell the long at a nickel or dime. Many times this legging out method has effectively gotten me out at a spread cost of $0.00. But with this much time left the short call (SPX 1375) still has enough value in it and I'm afraid I won't get a good price on the longs (1385 and 1390) when I sell them (very large b/a). I've been looking into a box but selling the ITM for $0.05 to $.10 below the vertical spread width (i.e. $9.95 on a 10 point spread) doesn't sound like it's going to happen with the SPX. Anything else I could try? Some other type of conversion that would give me new credits for June. Bear in mind that I work for a living so can't always be watching my positions. Look forward to the day when I can trade for a living and stop answering to my obnoxious clients.
Risk, I am looking for a derivatives pricing program that works with OpenOffice. Do you recommend the following: http://www.mbrm.com/ any others???
The credit is not bounded -- much more than the credit rec'd was at risk. The risk is the marked,ntional premiums x static deltas. The risk when entering the position was = 45 ES futures. The gamma position adds gearing[dgamma sensitivity] in both directions. As we rallied the effective notional exposure increased. When closed, the position was long approx. 65 ES futures. I had a 4 handle stop on SPX cash, but it was not mentioned in the journal.
There is no synthetic offset which will avail here. Nobody will be willing to take the risk due to the time to expiration. When trading penny spread it's assumed that you're gong t be brutalized on offsets [in % terms].
Offset the 50 puts at 127, 16 futures at 16225 average. $22,200 gain on ops [$12,000] loss on futures $10,200 net gain. Nikkei vols have lost one handle on the vol-line. Hoping to get some vol in the afternoon session to reallocate.
Limit sell-stops for another 75 at an average of 126000 [on the add'l 75] Edit: another 75 will be sold at 125700 avg.