SPX Credit Spread Trader

Anyone know when the SET will be released today?

 

I think around noon EDT.

I'll post an updated spreadsheet that compares the Friday SET with the Thursday SPX close this afternoon.

 

Hi Heather:

I don't create these charts often enough to know how to do it off the top of my head. I always have to play around with it for awhile. You need to enter SPX as the symbol at the top left of the Analyze tab. Then create simulated trades that are the DD you're considering ('Add Simulated Trades'). Then show only the simulated trades and hide any actual trades (under 'Positions and Simulated Trades') you may have. The chart will be shown under the 'Risk Profile' tab.

The part I always get confused on is under 'plot lines' located at the top. I select 'Expiration --> +1 @ Expiration'. I'm not sure if that is correct.

Murray or Ryan: Could you help with this?

Thanks.

 

Since all good SPX'ers know how the SET is calculated, the opening print of all 500 stocks, can we just calc it ourselves? I have access to a ton of market data, bloomberg, activ, and other streams. Would it be that hard to write a spread sheet with all 500 stocks listed, the associated weights, and the opening print.

 

Heather,

Make your ToS screen look like this. The green line is your position at expiration under current conditions (SPX level and VIX level). The white line is your position today at this moment. Make sure you set the dates right in the upper right hand corner and the lower left hand corner.

EDIT: the example in the jpg is a triple diagonal I was playing with, you will get the idea though.

 

Ryan:

Was I right about the plot lines?

 

I believe so. I always just put it on "Date" and it then shows "+1 @ Date" but it looks like the "+1 @ Expiration" give the same result.

EDIT: It looks like the +1 @ Expiration is a short cut for the way I have been doing it, learn something new every day!

 

Have you place your put diagonal yet?

I'm looking at the Oct 1275/Nov 1250. I just don't have a good feel for when the trade should be placed. I did try to get a fill when the VIX was right around 11 earlier this week, with no luck. It's currently at about 11.6 so it's probably okay to try again. What are your thoughts on this?

 

Try switching from "Single Symbol - NOT WEIGHTED" to "Portfolio - BETA WEIGHTED" on the analysis page of tos. You can model SPX with SPY, and anything else you want, on the same P/L graph.

 

I haven't placed anything for Oct yet. Need to see where things shake out today with SET. There is the Fed meeting next week to think about too, although it doesn't appear that any changes are coming at this meeting.