Thanks, I must have missed it. So what's your thinking on completing the IC for this. I'm currently trying to get filled on a 1250/1260. Do you think it's too early and I should wait for more market direction. My concern is that, I've noticed a drop in bear call premiums for the subsequent month once you are in opex week of the current month and it is Friday.
I am gonna wait and see what happens next week. If we get continued surges then I will look into 1265 for now at the lowest. Do not want a new fall rally to slam me lol. We shall see.. Phil
BTO put side 9/20 1170/1155 credit 1.55 10/4 call side 1255/1270 credit 1.30 10/10 STC call side -.10 10/10 BTO call side 1225/1240 +.70 tidy credit 3.45 watching the tape very anxiously ...wed looked to possibly close premium too high...Thurs tried not to look at tape...however I did check to see when the last time a slide this big took place (over the last year) it was March/April exp month and s&P went down 48 pts (if you add another week to make it 5 weeks it went down about 64 pts) if we end up thurs at 1170 (my short strike) it will have gone down 68pts over the last exp cycle. That fact and that on the tos platform we were still 62/38 that it will expire above 1170 keeps me hanging on for now. Phil do you remember if you adjusted back in April?
During periods of rising vol, calendars are superior to bear call/bull put credit spreads. Calendars are positive theta AND positive vega. If the breakout in vol holds after this week, then the trading range of 10-12 VIX may be over.
Andy: After I responded in my previous post, I decided to look at the actual numbers for that month in my diary [enough time has passed ]. Unfortunately, my diary is a little muddled over that time period, so I'm not sure where the SPX actually was, but I know it was at least ATM and possibly somewhat ITM. So here's what happened: I adjusted a bull put spread as a result of the London bombing. Following the adjustment strategy I rolled down my call spread with a little over a week to expiration. This is what got me into trouble because the SPX slingshotted back up after the bombing. 7/7/05: BTO 1210/1225 bear call for $0.90 7/11/05 STC 1210/1225 bear call for $6.80 7/11/05 BTO 1215/1230 bear call for $2.75 Several hours later I closed the 1215/1230 as the SPX had jumped again. 7/11/05 STC 1215/1230 bear call for $4.50 In this case, rolling out 5 points did nothing for me except compound my losses. Of course, in hindsight, I should have gotten out, but besides the extreme stress, I had never lost money on a credit spread and my mindset was I didn't want to. So, if you've been wondering why I question 5 point rolldowns and hanging on when your short strike is less than 5 points away from the SPX price, I think you can see why. Frankly, IMHO, it wouldn't have taken much yesterday to breach 1165. Still you and Coach were right. One big difference is that you two can probably afford to lose money (as you said you were prepared for a 15% loss). I can't because I'm negative now as a result of this fiasco. My goal is "nickels and dimes a thousand times" and to just continue to stay in the game. One other thing, I'm not a particularly touchy/feely person (hell, I don't even know the words to Kumbaya), but being a member of this forum has certainly helped in recovering and getting back on track [plus, even if we all lose money, misery loves company]
"The one thing I really remember is that once you get at around ATM, it seems like the cost to get out has gone up exponentially and any amount you can get from rolling even 5 points is miniscule compared to what it costs to get out with an ATM short strike on the spread. " -- rdemyan, I ran the numbers and I'm getting a different situation than you describe. The SPX is at 1180.39 right now. A 1165/1175/1170/1180 put condor adjustment (i.e. buy-to-close the 1170/1180 put spread, sell-to-open the 1165/1175 put spread) is $0.80. So, I'm seeing a 5-point roll-down, ATM, to be $0.80 cents. If you had 100 SPX on, this would be a loss of $8k to $10k (after execution). This is less than a 10% loss (assuming you won't have to roll down again). VIX today is 15.26.
Hey Donna! I actually did not have a position that expired in April but did have positions opened in April that expired in May. I cannot remember right now why in Mar/April but I remember in the beginning of the year I was doing other things for my business and traded light not really diving back in until middle/end of April. Sorry Phil
"...an old gray warrior that pulls money from the market for the rest of your life" -- Dr. Z, makes a lot of sense. Can you share with us your portfolio breakdown and position sizing strategy?
Hmmm. Your response was probably prior to my recent post giving the numbers. As I said in that post, my diary was muddled and I don't remember the SPX price when I made the adjustments. Based on what your saying, it would appear that my 1210/1225 was ITM and not ATM. This might also mean then that I am overreacting about getting within 5 points or so of ATM. There must be a way to model this theoretically.
rdemyan, Just read your numbers, thanks for sharing. Yes, I think you must have been ITM and maybe vix/vol was higher than it is today... Did you execute 7/11/05 STC 1210/1225 bear call for $6.80 7/11/05 BTO 1215/1230 bear call for $2.75 as one condor or did you do this as two orders? Also, who is your broker? I use IB and TOS and have found that the user-friendliness of the TOS platform is worth its weight in gold when making adjustments under stress.