Actually, I don't know if you saw some of my previous posts, but I decided I wouldn't be able to keep up the blotter as it wouldn't be even close to real-time, and I don't think that posting trades after the market closes is legit. I've recently had a dramatic reduction in leizure time, and journal upkeep doesn't fall high on my priority list. Thanks to the efforts of others I think this thread does offer some value when compared to opinions of some other threads. So I will continue to participate, and answer questions as I get time. Anyway, I broke a couple rules in OCT and it cost me. One was trying to outguess a market rally. When the market is in obvious rallymode, it's best to stay out of the way. The second was selling premium at extraordinarily low vols. I'd talked myself into a market top, and was willing to take the vol risk as I was more comfortable directionally. I've been experimenting with a vertical roll scenario on the SPX bear calls, but finally reversed the position (bot back the shorts) on the big rally monday as it became obvious that we would head back up toward previous highs again. Unfortunately I didn't hold overnight on monday even though I was predicting a rally to previous highs. I only caught about 6 points of the rally because I chickened out and took the loss. As I stated in my previous blotter update, I rolled the NEM bull puts out to NOV. They were looking really good until today, and now they are barely OTM. I think there is support at $44.5 though. If that holds out through NOV expiry then I'll make about 6.5% port return on that. Anyway, all said and done it works out to be close to a 5% port loss from the SPX position. So if the NEM position works out that will be about 65% ROA for the year. Admittedly, I stopped keeping close track when I indicated that I didn't have the time anymore. When I started the journal my target was higher, but I soon realized how time consuming it is to locate trades and manage a port completely separate from my real account. Results might have been better if I was soley devoted to this account, but results could've been worse. It's all speculation really. Personally I think there was more money to be made this year than is reflected by this journal blotter. Also in my real account I don't restrict myself to trades that fit a certain type. I change according to market conditions. Like right now I have only one credit spread. Admittedly though OCT was tough for me because of the above mentioned mistakes. NOV has been much more rewarding since I decided to get out of the way and stear clear of credit spreads until vols pick up. DEC will be tricky because that is usually my favorite IC month.
You may want to revisit some of my earlier posts on the SPX Credit Spread Trader thread and save yourself some testing. I think i even posted my entire system a couple of times in there somewhere. If traded systematically those have a very good expectancy when played from the expiration bet angle. The key is in entering those, exit is not as important IMO. Only downside is that most times, you have to wait a whole month to find out if you have a winner or a loser, it's the reason i have moved away from this approach but it did earn very nicely over the past 2 years. Some people think because you are close to the market you have to watch your position 24/7. That is completely untrue. If you get yourself some nice entries, many adjustments before expiration actually reduce your expectancy in my experience.
Rally, Thanks for the input. Do you have an approximate date when you might have posted on the 'spx credit' forum? I'll look for it. Curiously, why have you moved on from this approach? thanks for your thoughts.
Two reasons actually. As i said it was too passive and vols are way too low at the moment. I just cant bring myself to sell premium ticking at 900 bps volatility. I much rather do delta time spreads at the moment.
Rally, Cache: Have you guys ever traded SOX credit spreads. I would think that it might be an index that fits your strategies. It is volatile with what looks like good premium. Example: SOX is currently at about 457 down almost 9 points today DEC SOX 460/465 bear call has a mid of $2.35. This index almost makes me salivate since it seems to tease us into believing that we might be able to sell a CTM bear call and bull put with 5 point spreads for a combined credit that is greater than $5. But, of course, that can't be true.
Yeah, Rally and I discussed SOX a while back. The catch is that it is so thinly traded, you take on enormous liquidity risks. That is what is causing the mispricings you're seeing. I can't trade it in big enough size to make it worth my time. OTOH, SOX works as a great leading indicator for daytrading SPX. Check it out.
I agree with cache. The edge lost on SOX options makes the edge in exotics look like pocket change. If you really want to trade there, i suggest you structure your trade as an expiration bet. You really dont want to pay that edge twice.
Are you guys having any issues with this thread? When I open it, I keep getting a virus message from my anti-virus software.