I think that this is the most loaded question I have ever received on ET. I suggest you start with the following article, which brings more clarity to the subject than I could ever hope to provide you in a short forum post: http://www.wilmott.com/pdfs/021118_smile.pdf Feel free to PM me. --segv
Why not just either answer the question in your own words, or just tell the other guy to bugger off? Probably better than hiding behind a complex technical paper that the majority of eyes would glaze over trying to understand.
I think piccon used to do spreads on the NDX. You might search for his name on this thread. I seem to recall a post where he was considering or decided to stop doing spreads on the NDX because it is so volatile (but I could be wrong).
I do diagonals, or double diagonals. But very small size. And I don't trade them every month. I currently have the Feb 2025/Jan 1950 call spread. Credit 1.70. Also a put spread that is currently pretty far OTM - Feb 1585/Jan 1650. Credit 0.70 Mark
Andy, I did a couple earlier this year...lost big..won small..problem is there is 25 pts between strikes. Makes it very margin intensive.
Thanks all for answering the NDX question. I was asking because I'd like to put on some debit put spreads when the SOX starts to roll over and the NDX starts to form a top. I think SPX is better for credit spreads and NDX is better for directional (debit) spreads.
I agree...what actually worked for me was to initially make a directional debit spread then when it started looking good convert to a fly or credit spread....but had to be accurate on direction.
these two put diagonals really ballooned. This is interesting to me because when i watched the diagonals before... i never noticed the prices changing much. But this time they really ballooned even when the VIX was decreasing.... and when the market had not dropped either. With today's drop and VIX jump up, they increased even more.... especially the spx diagonal. -------------------------------------------- spx 1370 dec/1350 jan puts 1.80 debit after run up 1.80 2.50 !! 2.65 3.10 tues 3.30 wed 3.90 friday debit -- rut diag 770 dec/750 jan puts 1.55 debit after run up 1.75 2.30 !! 2.35 2.65 tues 2.65 wed 2.85 friday debit