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Let's Trade Options

  • #3,981
  • Jun 20, 2014 8:15am Jun 20, 2014 8:15am
I have TLT $110 short puts expiring today, TLT been dropping like a rock, $10.68 premarket, would hate to have to buy those back, only got $0.09 for em....
"If The Fool persists in his Folly he will become wise." - William Blake
  • #3,982
  • Jun 20, 2014 1:59pm Jun 20, 2014 1:59pm
Quoting The Fool
http://blogs.barrons.com/focusonfund...rrons&ru=yahoo does anyone want to fade the gold move? I'm not feeling it....
Nope, only looking to add to gold & silver on pullbacks. Silver better than gold IMHO.
  • #3,983
  • Edited 10:41pm Jun 21, 2014 9:43am | Edited 10:41pm
Quoting The Fool
{quote} .... Did a IWM call spread, short Jun $120/long Jul $121 for $0.18 net debit. I won't be surprised if that overshoots the short leg either by 6/21 expiry, but I might squeak under.
Was actually $0.08/$0.28, $0.20 debit, remaining 7/19 $121 long calls are up, as shown. I could sell in the coming week or sell 7/3 $121 (or higher) IWM calls for further credit.....
Attached Image (click to enlarge)
Click to Enlarge Name: 2014-06-21_iwm.png Size: 9 KB
"If The Fool persists in his Folly he will become wise." - William Blake
  • #3,984
  • Jun 21, 2014 9:58am Jun 21, 2014 9:58am
This GLD spread is on the second iteration of short puts, 1st one netted about $0.45. I could let the current 6/27 $119.5 short leg expire worthless and maybe do one last 7/3 short leg, maybe come close to breaking even. When it was near new at one point the spread was well in net profit. But I was slack and then gold had a nice $40+ jump one day and boo hoo. Spreads are great but of course they require attention and one has to make decisions about how to manage them. What has changed for me is now (finally) I am getting good at using some modeling tools to help me see where to make those decisions.
Attached Image (click to enlarge)
Click to Enlarge Name: 2014-06-21_gld.png Size: 18 KB
"If The Fool persists in his Folly he will become wise." - William Blake
  • #3,985
  • Jun 21, 2014 6:39pm Jun 21, 2014 6:39pm
big moves from last week, fade potential: KMX, BBRY,
"If The Fool persists in his Folly he will become wise." - William Blake
  • #3,986
  • Jun 21, 2014 10:23pm Jun 21, 2014 10:23pm
I have a new favorite stock data website:

http://www.finviz.com/
"If The Fool persists in his Folly he will become wise." - William Blake
  • #3,987
  • Jun 22, 2014 10:23pm Jun 22, 2014 10:23pm
Hey TF,

I recall you sometime fade the vol assets. You might find this interesting...

https://www.tastytrade.com/tt/daily_...episodes/11980
  • #3,988
  • Jun 22, 2014 11:32pm Jun 22, 2014 11:32pm
Quoting njr
Hey TF, I recall you sometime fade the vol assets. You might find this interesting... https://www.tastytrade.com/tt/daily_...episodes/11980
Indeed, thanks njr. It would be interesting to compare what they are doing there to just the ^VIX mean reversion by itself - is there really any dependency on the SPY movement? are they reporting what the ^VIX is doing anyway?

Another thing I wonder about re: ^VIX mean reversion that would be interesting to study is whether there are tradeable rules of thumb on mean reversion predictability. In the plot below there's ^VIX and its 10, 50, and 100 day simple ma's. Is there any tradeable information there?

Another volatility tenet one sees in the tomes is that "volatility clusters." In other words, low ^VIX returns are followed by more low returns, and vice versa. OK. so what? Is there any rhyme or reason as to when such clustering breaks down, statistically speaking?

It would be interesting to dive into this type of research. Only so many hours in the day, though...

How ya been? Not seen you around much lately....
Attached Image (click to enlarge)
Click to Enlarge Name: 2014-06-22_vix.png Size: 145 KB
"If The Fool persists in his Folly he will become wise." - William Blake
  • #3,989
  • Edited Jun 23, 2014 12:12am Jun 22, 2014 11:53pm | Edited Jun 23, 2014 12:12am
Quoting The Fool
big moves from last week, fade potential: KMX, BBRY,
speaking of mean reversion, KMX 7/19 $49 puts are $0.35....(20d ma is at ~ $45.50)
Attached Image (click to enlarge)
Click to Enlarge Name: 2014-06-22_kmx.png Size: 87 KB
"If The Fool persists in his Folly he will become wise." - William Blake
  • #3,990
  • Jun 23, 2014 12:02am Jun 23, 2014 12:02am
Quoting The Fool
{quote} Was actually $0.08/$0.28, $0.20 debit, remaining 7/19 $121 long calls are up, as shown. I could sell in the coming week or sell 7/3 $121 (or higher) IWM calls for further credit..... {image}
re: 7/19 $121 long calls, I am looking to close these for fat profit (3x or better) in the next day or so, IWM will likely hit $119 Monday, S&P heading for 2,000 in July, Dow will be printing >17,000 Monday.

US index futures up overnight on good China numbers. Wall St. doesn't care if civil war rages in Syria/Iraq, or if Putin masses troops and tanks on the Ukraine border. Well, not for another week or so, anyways....
"If The Fool persists in his Folly he will become wise." - William Blake
  • #3,991
  • Jun 23, 2014 5:44am Jun 23, 2014 5:44am
Quoting The Fool
{quote} Indeed, thanks njr. It would be interesting to compare what they are doing there to just the ^VIX mean reversion by itself - is there really any dependency on the SPY movement? are they reporting what the ^VIX is doing anyway? Another thing I wonder about re: ^VIX mean reversion that would be interesting to study is whether there are tradeable rules of thumb on mean reversion predictability. In the plot below there's ^VIX and its 10, 50, and 100 day simple ma's. Is there any tradeable information there? Another volatility tenet one sees...

Hey TF,

That would be an interesting study...You could write to the Tasty Trade people and submit it as a possible research item. I know that they like receiving potential research topics from people and it'll save you from doing the work

I've been on holiday for the past few weeks so I haven't been on the forum at all since then so I'm catching up, etc...Still been trading during that period but as I was in the Asia Pacific timezone, it mean some very late nights in order to trade the US markets. I previously sold ES mini PUTs and my positions are getting close to 40% of max profit so I will look to close these out today assuming there is a further push higher today given the positive data from China overnight. There seems to be more of the 'experts' suggesting SPX will hit 2000 and then 2050 before the end of the year. This would be an impressive H2 and I wouldn't be surprised given the strength of the market and as you mention, how it shrugs off any geopolitical risks, etc, etc. If the earnings season is generally good/strong, this could be the catalyst to reach the 2000 level......
  • #3,992
  • Jun 23, 2014 6:02am Jun 23, 2014 6:02am
Quoting StrayDog
I am using IB platform. I have added OI and Implied Volatillity % as columns, but I cant find IV rank for example... Is it there but only under some other name? {image} Also, when I watch tastytrade vids, they can see on thinkorswim platform the probability of option expiry ITM or not, like in this good vid (example of trade is at the very end of video). This is a good one. http://youtu.be/G1k9nN0dSfE Is it also somewhere on IB, maybe on Probability Lab or Strategy Lab or somewhere?
Hey StrayDog,

I also use IB and when I first moved over to their platform I was also looking for some of the data items such as IV rank, etc, etc as mentioned by Tasty Trade (TT). I also added OI and Implied Volatillity % but unfortunately couldn't find IV rank as defined by TT. As a work around, I recall setting up the scanner to identify those assets/stocks with vol greater than 50% (which is what the TT team suggest). Regarding the prob of expiring ITM, you can use 'delta' which is generally accepted as being the percent of expiring ITM. You can add this to the Options Chain window to see the corresponding delta for each strike and also color code the calls/puts showing those that are ITM and OTM. I've found the Probability Lab to be useful depending on what strategy I am using but I've found the Options Trader to be quite useful to look at more complicated strategies. However, I don't actually the use Options Trader to submit my orders as I prefer to leg-in to each to try to get a slightly better price than the current mid-price for each leg at the time of execution....
  • #3,993
  • Jun 23, 2014 9:37am Jun 23, 2014 9:37am
Quoting njr
{quote} ... Regarding the prob of expiring ITM, you can use 'delta' which is generally accepted as being the percent of expiring ITM. You can add this to the Options Chain window to see the corresponding delta for each strike ....
Thanks for this.
Hope is dangerous in this game.
  • #3,994
  • Jun 23, 2014 10:24am Jun 23, 2014 10:24am
VIX is 4%+ up, VXST is 8%+ up, but both UVXY and VXX are down, because VIX front and back month futures are down.
Thinking again of some bear call spreads on those ETFs, but credit would be to small. Like 30.5 / 32 on VXX weeklies, which would be only 0.15 out of 1.50...
Hope is dangerous in this game.
  • #3,995
  • Jun 23, 2014 1:23pm Jun 23, 2014 1:23pm
zzzzzzz, somebody please wake me up when something happens....

http://blogs.barrons.com/stockstowat...rrons&ru=yahoo
"If The Fool persists in his Folly he will become wise." - William Blake
  • #3,996
  • Jun 23, 2014 6:48pm Jun 23, 2014 6:48pm
natural gas is looking very weak and we're almost in the second half of the year where demand normally tapers of, so hoping to get in a long $24 put for 8c or less on the open tomorrow. UNG closed today at $24.69

United States Natural Gas (UNG)
-NYSEArca
24.69 https://s.yimg.com/lq/i/us/fi/03rd/down_r.gif 0.59(2.33%) 23 Jun 21:00
|After Hours: : 24.59 https://s.yimg.com/os/mit/media/m/ba...nt-1093278.png 0.10 (0.41%) 22:01

UNG Jun 2014 24.000 put (UNG140627P00024000)
-OPR
0.08 https://s.yimg.com/lq/i/us/fi/03rd/up_g.gif 0.02(33.33%) 23 Jun 20:57
  • #3,997
  • Jun 24, 2014 1:23am Jun 24, 2014 1:23am
Quoting Cecil Gee
natural gas is looking very weak and we're almost in the second half of the year where demand normally tapers
you might be onto something there, CG. I will look at UNG after the injection numbers Thursday, but I am in index spreads up to my limit mostly now....
"If The Fool persists in his Folly he will become wise." - William Blake
  • #3,998
  • Jun 24, 2014 8:58am Jun 24, 2014 8:58am
gold the only bright spot on my books today, just a slight gleam....market snoozefest will be over someday, will I be positioned well? Need to wake up....
"If The Fool persists in his Folly he will become wise." - William Blake
  • #3,999
  • Jun 24, 2014 11:24am Jun 24, 2014 11:24am
What percentage of spread worth you guys want to take when trading credit spreads?

In numerous tastytrade videos they say that "they like to take 30c of the $1 wide spread"... Now when volatility is low, I did not take some trades because it was only $0.15 out od $1.50, or $0.75 out of $5.00... but that was good ideas and would be good trades with high probability of succes. Those were credit spreads on weekly options.
Hope is dangerous in this game.
  • #4,000
  • Jun 24, 2014 2:21pm Jun 24, 2014 2:21pm
Dow drops triple digits as Iraq fears undo data cheer
http://www.cnbc.com/id/101784484

U.S. Stocks Decline Amid Tension in Middle East, Data
http://www.bloomberg.com/news/2014-0...day-rally.html
Hope is dangerous in this game.
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