SPX Credit Spread Trader

For the 5 March 1275 short straddles the margin a la OX is $75,000 at the current SPX value today. So the max gain of $9,700 would be a return of 13.8% in a week.

However I doubt I will get the full value even if I hold to expiration so I will be happy to get out with half the premium...

 

You would need to see all the time and sale history trades for each individual strike today to calculate possible spread prices since the spreads do not show up as a spread but the strikes. Not sure if OX will have that for you though.

 

You can go here and het inter-day and intra-day option quotes on current contracts.

http://host.businessweek.com/businessweek/Historical_Quotes.html?Button=NEW+REQUEST&Symbol=WIB+AR

Enjoy,

Murray

 

I am not looking for Historical price. I need the cost of the Spreads

Example: SPX 1335/1325 Put Spreads during the day.

Thanks

 

Oh..... come on!!! I don't seem like a likeable enough guy to stay married?

Actually, I've only been married once and still am. I married one much younger than me so she hasn't figured out that she could've done a lot better yet. SCORE!!!!

 

Spreads are not recorded, the individual legs are recorded and you need to see time and sales data from the day on both strikes.

But this will not help you at all since you will not know the bid/ask spreads and what you might have been filled on a spread with a limit order. So I am not sure it is going to help you really.

 

All you can do is theorize what the spread might have been at a given time. That's tough luck.

 

Coach,

I paper traded the idea of selling an ATM straddle, later converting to an iron butterfly.........

1) 2/15/06 : Sold the Mar. 580 C/P XEO straddle for 13.10

(Because of high margin reqs., I added a far OTM strangle to reduce margin)

2) 2/15/06: Bought Mar. 605C/555P strangle for 2.0

Converted to iron butterfly:
3) 3/8/06: Bought Mar. 585C/575P strangle for 4.10

So, 13.10 - 2.0 = 11.10
11.10 - 4.10 = 7.0

Max loss on a 5 wide butterfly is 5.
So, 7.0 - 5.0 = 2.
I locked in a 2 profit, eliminating further risk and leaving the iron butterfly open to make an additional 5.............

Am I correct .....? Or, have I missed something.......?

 

Looks right to me unless my eyes are failing me


Question I have is whether there was more profit in simply buying back the straddle since so much time had passed rather than the locked in profit plus potential for $5.00 more?

 

The straddle could be bought back for 8.30.

So, 11.10 - 8.30 = 2.8 profit (would be more without the original strangle purchase to reduce margin)

The conversion to iron butterfly locked in 2 with a potential for 5