What is the best way to lock/exit all positions for option traders?

JSOP · Nov 24, 2017

tommcginnis said:
You might want to research that.

SPX weekly(s) at deltas around 0.15 trade in the 10s of thousands per day, with open interest heading towards 100ks. The bid-ask spread is very consistently around 40¢ for the first month (maybe 5 expiries??) -- about 1xMID for the calls, about 1.5xMID for the puts. For the third-week 'majors', the volume and open interest are about 10x the 'minor' weeklys, while the bid/ask spread is two to four times as wide.

"Well! That's unexpected!"

Yes it is.
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What's the option on SPX? The only option on S&P 500 is the SPY and its B/A spread is usually 0.01.

reformedtraderes · Nov 24, 2017

tommcginnis said:
I trade through IB, and so do all my analytics (market, position, portfolio) on a spreadsheet.
With regard to position and portfolio questions, I have various alarms that might suggest attention {for my trading day}, and among them is a ratio question, which I THINK is....

=@CELL+IF(positiondelta/positiongamma ≥ 10; "";"Γ")

Which will give you whatever the cell reference is, and then append either a blank space, or a capital Gamma. This little tool came from hours of staring at print-outs of delta/gamma ratios by strike, position, and expiry. I invite you to do the same, and see what rule you might prefer.
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Many thanks, Tom

tommcginnis · Nov 24, 2017

JSOP said:
What's the option on SPX? The only option on S&P 500 is the SPY and its B/A spread is usually 0.01.
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Google is your friend.

sle · Nov 24, 2017

JSOP said:
What's the option on SPX?
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Lulz

tommcginnis · Nov 24, 2017

reformedtraderes said:
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Many thanks, Tom
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Oh, and, just to be clear, seeing the magical Γ appear translates in my mind to, "G.T.F.O.!!"

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What is the best way to lock/exit all positions for option traders?

JSOP

reformedtraderes

tommcginnis

sle

tommcginnis