Maybe they turned that option on for you, but if I put up a option chain on the SPX, select put spreads, and click on the bid of a spread I want to trade, there is no All or None listed for me. If I also start with a blank Xspreads order with two option lines, there is no All or None listed. Please let us know where you see it. Thanks, skd
I know that on Tradestation you can follow the quotes of the current ES contract or look at the continuous ES quote which is one constant quote going back over time. With this you can download that data and perform the analysis on ES overall and not on specific contracts. The sigma estimate would depend entirely on what time frame you use to detemine it. If you take the VIX or VXN as your volatility estimate then you can plug that in as your sigma. That usually uses a 30 - 40 day time frame since it is front month IV. You could us longer time frames but the index has so mnay different cycles (like slow summer, wild Fall) that short-term estimates might be better since it would match closer your expiration for the options sold. Using the VIX/VXN and determining a 2 sigma range, compare it to double the ATM straddle and see how close they are. If they are pretty close then the ATM straddle can be used as a proxy for distance of 1 sigma away from current index value. Multiply it by 2 and you have a good starting point for strike selection.
My bad, was thinking of the wrong place. I could have sworn on stock orders they had a "No Partial Fills" box you could check but I guess that option does not exist for spreads.... As long as they would promise to no double charge you commissions for partial fills I could live with it. I have not had a partial fill in quite some time so do not remember what happened then.
Oh well if you got the staff then abuse the shit out of them. I would think that ED would also have a continuous quote of which you can use that data to model.
OX does not have All or none orders - I called several months ago to request that they put it on the order page. I was filled for only 2 contracts instead of 15 - the commissions almost wiped out the profit I made. I didn't think to complain to OX about this. Hootie
I was told that there will be multiple charges if the fill covers multiple days. If completed within one day there will be one charge. Jack
I did the L&T in Denver last sept...don't be afraid to put on the trades. The position and Port management just is about allocation and risk management less abt options..I think
Are you saying that cash volatility is a good proxy for the volatility of the contract 6 months out? I will test using cash prices and will see where I get. On another note, what is your worst percentage drawdown using this strategy and what results do you get, both in terms of annual sharp ratio and max DD. Could you be so kind to post some data on your tests for the period 2000 to 2002? P.S. One major issue I have with limit orders is estimating the execution risk vs slippage and max exposure when operating within the 15pts danger zone! In my experience limit orders are just scary thought. Your confidence in what you are doing here is simply unattainable using just discretionary trading with that type of risk! Would you mind sharing how you test? Regards, WinDiff
Actually I think the futures have more volatility than the cash values. The traders on the floor can cause wilder swings than the actual cash index would move so the cash vol might underestimate slightly. For example the S&P high low has a spread of just over 5 as of now and the current ES has a range of 6 points. Will it matter, I have never tested this so cannot say for sure if and how much cash vol will underestimate the futures vol. Also I cannot say it would be a good proxy for 6 months out. In the S&P example, the VIX/VXN is only one month out and I would not extrapolate out 6 months on it. Also I would not sell premium 6 months out. Remember I am only going out at most about 45 days, with a rare case adding a few days more. So I only want to "forecast out the next 30 - 45 days. If you want the market makers short-term forecast as of today, I say take the ATM straddle on the options and double it. That gives you quick and dirty 2 sigma range as priced by the MMs. So one short answer is to take backtest the historical cash vols and actual statistical vols on the futures and see how close or far off they seem to be. Another test is to take statistical vol on the futures in 30 day increments over the past year and average them out for a good proxy of month to month volatility. Then double that number and run simulations and choose strikes on the edges of the distribution. As for drawdowns it is tricky. When I have to adjust a position I take an initial hit on closing the to be rolled up spread which is mostly offset by the adjusted spread if it expires worthless. So sometimes the account takes a hit until the adjusted positions close and I make most or all of it back, plus profits from partial hedges. I also roll up or add spreads to the other side to bring in additional income and either wipe out the loss or result in a limited loss. The market action this past year or two has not been overly volatile so I have made adjustments but never took outright losses. I think the largest hit I took was about 5% of margin. Since this is my own money and not managed money, I do not track it as accurately as a fund would . Same for Sharpe ratios and the like. As for Data, two people have posted detailed statistics about monthly changes in the price of the S&P and it is sort of buried in the pages here. But look for a posting with a long list of data going back quite a few years. I do not have anything right now as organzied to reproduce here. Most of my studies are spread out over time and mostly studying the technical indicators and seasonal price swings. SPX has a majordrawback on the b/a spreads and when the ca ca hits the fan it can be frustrating making adjustments and waiting for positions to fill. There is no easy answer in SPX land but I hope you have better spreads in the ED options. As for my approach and system it is very hands on and as many have learned when asking me questions I have plenty of general guidleines I give for strike selection and adjustments but I cannot really adopt rigid rules since I need to stay in tune with what the market is doing and react accordingly. I talk about the 15 point wall for follow up actions/adjustments but I have also left positions in place where that wall was breached based on my analysis of market conditions and expectations on the SET. The risk is too great in this strategy to simply go by a rigid set of rules. I do have my parameters I follow and risk management guidelines but I also need to use my experience and instincts to adapt to the market and that is why this strategy takes so much risk management. OK long winded here.. sorry..