SPX Credit Spread Trader

Discussion in 'Journals' started by El OchoCinco, May 17, 2005.

  1. not going to that one but you will really enjoy it..we'll be attending the Las Vegas portfolio management one on the 16th
     
    #3141     Jan 11, 2006
  2. nlslax

    nlslax

    I'm going to one of their $199 all day seminars in Orlando 2/1.
    I was impressed with the Beyond the Basics seminar and felt certain I would get my $ worth from this.

    Sounds like the one Donna is attending is the next level up.
     
    #3142     Jan 11, 2006
  3. Synaptic

    Synaptic

    Be careful when you're looking at your Order Status as it might show .10 / .50 but in fact it's really (negative) .10 / .50 .... you'll only see it if you attempt to modify the trade and see the NBBO on the trade setup screen (OptionsXpress).

     
    #3143     Jan 11, 2006
  4. WinDiff

    WinDiff

    optioncoach, when you simulate viability of any of your option strategies, using computers, do you rely on cash or futures S&P data?

    In case one has to use futures data, what is a good way to approximate volatility on back adjusted contracts? Please note that I intend using this volatility in option pricing models.

    WinDiff
     
    #3144     Jan 11, 2006
  5. ryank

    ryank

    I don't like how OX shows one b/a on one screen and another on the confirmation screen. You are right though, I was only looking at the first screen when I was comparing my order vs other spreads.

    ryan
     
    #3145     Jan 11, 2006
  6. Since I am selling spreads on the SPX, I use SPX data to test or simulate.

     
    #3146     Jan 11, 2006
  7. Drofman

    Drofman

    Just for the record Options Xpress refunded the commissions on the partial fill. I was warned that this can happen in the future as there is no way to avoid partial fills. Also the commission policy is to combine all single day fills into single order. There will be a separate charge for each day there is a partial or full fill. This seems to add an additional complication to closing out early e.g. closing for a nickel to clear up margins.


     
    #3147     Jan 11, 2006
  8. Yeah that negative number in the bid sucks when looking at the order status screen because it does not show up as negative unless you specifically look at the legs or the order screen.

     
    #3148     Jan 11, 2006
  9. OX does have All or none orders which would prevent partial fills on the spread orders.

     
    #3149     Jan 11, 2006
  10. WinDiff

    WinDiff

    Thanks

    Wrt options on futures, eg. ED, how would you go about simulating using back-adjusted contracts and in particular how would you estimate sigma?

    :cool:
     
    #3150     Jan 11, 2006