I've been doing these diagonals for 6 months (Murray says he's been at it for 9). So far no drawdowns. Worst month +0.99%, best +5.93%. Not enough data to draw solid conclusions, but I am very satisfied. The worst months involved being forced to close potisions that had run into the money. But, I try to have a bunch (maybe 20) of small positions, each with different strikes or underlying to minimize risk of taking a big hit. Mark
They are the same, as I try to remain 100% invested with this account. It is entirely devoted to diagonal spreads. Mark
I have been reading on these diagonals. It would benefit all the newbies like me(and a refresher to experts) if the experts can summarize this strategy. Bascially, when to open, when to close, repair strategies etc with examples.I know its a tall order and will understand if anyone wants to bash me but no harm in asking.
Mark, I am still trying to get a handle on position sizing for my own portfolio. For every 100k of assets, roughly how many e-mini diagonals would you open? Hope you don't mind all of the newbie questions! Kapil
I am unfamiliar with e-minis and how they trade. The reply refers to SPX, RUT or NDX, for example. In a 100k account, I would open about 33 spreads, when the strikes are 30 points apart. That requires 99k margin. I would also use the cash generated from the 33 spreads to open a few more. I trade a lot of 1-3 lots so I can diversify. In a 100k account, I'd probably have 12-16 different positions, 2 or 3 lots each. My broker does not give me a break when opening DD. Some brokers do. With such a broker, one could do 33 such spreads on each side of the market, if one wanted to do so. If I find good spreads with strikes that are only 20-points apart, then I'd be able to hold 50 such spreads. But - the big question is whether you want to devote ALL your assets to this (or any other) single strategy. The answer should be 'no.' I don't mind the questions at all.
We're at the bottom of the channel again, as well as horizontal support, but the Christmas rally is almost over. Who here is betting on another jump?
Were you peeking over my shoulder while I was looking at my chart? I was just thinking the same thing. A Feb 1385/1390 mid is at $1.10 as I type this. Might be cutting it a little close there.
I am not not so much betting as I am hoping for some more up down chop to get VIX pumped up in excess of 12. But I do anticipate a new rotation of market leadership from large cap value toward mid & large cap growth stocks going forward through April. So I am anticipating that a lot more herd cash will come rushing in along with new rounds of pension fund, IRAs and mutual fund re-calibrations providing a good base to advance SPX upward quite a bit. The SPX has been riding its 20 day moving average like it was on precision fitted rails for 4-5 months. My opinion is we will be subject to a few 10-20 point intraday runs down and up as money rotates among new leaders. Personally I have 10 point credit spread orders locked and loaded 50-60 points out waiting for those transient vol premium opportunities which I'll pin around what I project to be period lows and highs. I think Santa still may come in with a late round of rum-pa-pa-pum to get the bears drunk and mostly hibernating through Spring. This time of year people just hate to feel left behind and I think the bull market has a way to go yet. Nonetheless, I am hedging with a large long position in Diageo (DEO) so no matter what I can't lose. TS
Mark, In a haircut account.... your 100% invested portfolio would only require about 40% of the capital to control the same, possibly less as some of your diagonals... and other indexes could benefit from cross-margin relief. This would allow you to take the other 60% and use for hedges, closed-end-funds, money market, treasuries, ,.... or maybe a few non-correlated diagonals for increased risk adversion. Just a thought for ya! M~