Andy Good to have you back from the beach ! 2 quick questions ... 1. Any particular reason that you traded SPX flies that were 95 points wide (4210-4305-4400) -v- say 100 points wide (4200-4300-4400) ? 2. Do you ever look at / consider Fly price arc as part of process ... this is for FTSE ... but am sure available for all other indexes
Sorry James, I missed this reply. 1. Rounding to nearest strike is the answer. I might have a target price for DAX for example, which is rounded to the nearest 50 strike. For SPX, strikes are at 5 point intervals. If intervals were wider, I would have rounded to 4200/4300/4400. 2. Is that P&L at expiry for varying spot at expiry? If so, what do the minor grey lines represent? PS I might have been a bit pessimistic with the SPX trade btw - expiry this Friday would be looking good today!
Andy The Fly Price Arc is just a table of current Fly prices, bold colour is front month, grey colours are back months ... just provides some colour on how Fly Price may move with Spot / Time ... Going to be an interesting run into Fri expiry for your SPX Fly ... and whether any selling post Quarter End / JPM Put-Spread Collar unwinding Cheers James
A quick update. Half of the short SPX position filled at twice the price paid for it so the other half is now a free bet and will hopefully prove to be a useful hedge against a long portfolio next week. I'm trying to initiate a short position on oil for expiry next Friday and will post the trade here if it fills today.
Opec+JMMC is having confabs on Monday. Maybe consider holding off on entering that trade until Tuesday, after market has digested what they said that day.
Thanks for that heads-up! I had an order for 231 71/73/77 looking to fill at .90 but it didn't fill. Will keep a watchful eye over oil today and tomorrow.
Opened a short position on FTSE for Friday expiry. Trade date: 04 October 2021 Security: FTSE Price at opening: 7034 Direction: Put Expiry date: 08 October 2021 Strikes: 6900 / 7000 / 7100 Structure: 1 / 2 / 1 Opening Spread: 23.00
Andy I presume these are the FTSE Flex options quoted on ICE that expire at 4.30 PM on nearest two Friday's ( rather than standard Monthly/Quarterly FTSE options that expire at 10.15am on third Friday ) Cheers James
The remaining half of the SPX trade (#60) closed in profit yesterday, providing a useful hedge against long stock positions. Trade date: 22 September 2021 Security: SPX Price at opening: 4404 Direction: Put Expiry date: 08 October 2021 Strikes: 4210 / 4305 / 4400 Structure: 1 / 2 / 1 Opening Spread: 10.35 Close date: 04 October 2021 Trade duration: 12 Closing spread: 26.00 Profit / (Loss): 15.65 Profit / (Loss): 151.2%