We are now at the 44 day mark until Oct expiration. Good time for the 45-15 play, volatility is so low I'm not sure I want to jump in right now.
Right now, MIGHT, be a great time to look at PUT Diags since the VIX is SOO low. We're at 11.91 right now, and the 3yr low is 10.23 by my charts. So if you believe that the VIX is mean reverting it would be a great time to open some Diags and bet on Vol increasing. Try to place your short strike where you think the SPX will end up on expiration for max profit. Unless you have haircut margin(to ratio them), or a narrow strike range, you will usually open these for debits. I try for a 25pt wide spread. bababurrr.....
what I'm looking at to put on later this week or next week is a SEP/OCT P diagonal using the end of quarter SPY and the reg OCT exp...getting the feel for a shorter term diagonal
Me, too. I've got a 760/750 Sept. call sread on the RUT. Picked up $.6 on it. I had been looking all month for a slight down turn to pick up a put spread and nothing ever materialized. Now I am hoping that I can construct a Sept./Oct put diagonal sometime in the remaining week and a half. RUT has closed 15 straight days above its moving average and has been flirting with being overbought. Yet, it keeps nudging up. I honestly believe it has to turn soon. Bob
New Experimental Put Calendar Spread: OK here is the position first and then i will explain it after (I did only 1 contract each to test this out). BOUGHT 1 OCT EW 1290 Put @ 12.00 ($600 EOM Options) SOLD 1 SEP ES 1290 Put @ 2.50 ($125) NET DEBIT = $475.00 RATRIONALE: I am long the OCT end of the month 1290 Put and short the SEP regular ES 1290 Put. The idea is that if the S&P moves lower, I can roll the short strike from SEP ES to a lower strike in SEP EW for a net credit and convert to a diagonal spread. If the credit is large enough I have a no-cost position with nice profit potential. If after this adjustment the market moves higher, I lose nothing if I covered the initial debit. If the market keeps moving lower, I can take a profit in the diagonal, or roll the SEP EW to an even lower strike in the OCT ES series for another net credit. At this point I would have either covered the cost of my debit or, better yet, now have a net credit position. I can let it run for a profit if the market keeps moving lower. If the market still keeps moving lower, I can roll the OCT ES put to an even lower strike in the OCT EW series for a net credit. At this point I have rolled 3 times and perhaps produced a nice credit with a wide bear put spread with nice profit potential. I am looking at this as a potential debit position to put on when vols are low and I expect the market to potentially pullback. I coudl let the short expire worthless and let the longs run as well instead of rolling. If the market keeps moving higher, I can wait until the next short expiration and simply sell the long for whatever premium remains to cut the net loss down. For example, if the long shrinks down to 3.00 I can still take in $150 and reduce the net cost/loss to $325. I will monitor this position (I really put it on, that is why only 1 contract each ) and keep you posted on the results. My initial analysis is that I will have a few months with limited losses but when the market swings lower and vols pick up, I can make a nice amount of change if I do some volume....
September Option Trader Magazine has an article on selling naked strangles on the S&P. What is interesting is that it has statistics on monthly moves in the index and discusses strike selection. I am sure the same approach can be used for assisting with strike selection for OTM credit spreads. I only glanced at the article but it looked interesting...