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  • #10,981
  • Oct 13, 2015 11:14am Oct 13, 2015 11:14am
I have learned this about the DD's played for an ER week exit: you get in with the expectation of rising iv and the idea is to get out when that has peaked just before the ER. Fine. However, the front, short option iv rises much more than the back does - although the back rises also - but, this disparity erodes the rich P/L you think you are due. (You have to buy back the front and sell the back to exit.) Actually, if the front option iv rise is extreme enough, you might have trouble breaking even on the this DD setup. I suspect that, like most time spreads, these will make out better if the u/l falls toward the put strikes - that way the front/back disparity may not be so great.
"If The Fool persists in his Folly he will become wise." - William Blake
  • #10,982
  • Edited 11:34am Oct 13, 2015 11:23am | Edited 11:34am
Stealing a Dough idea ... . Going long VIX via debit spread. I didn't do their setup, but something close -- a Nov 18th 15/17 debit spread for 1.02. Basically, burn a buck to make a buck ... .

Could have gotten a better price yesterday if I would have been thinking debit spreads in this low volatility environment (sometimes, the light bulb is slow to go on). Weird thing is, I looked at VXX setups yesterday -- nothing appeared to suit my fancy ... .

IV/IVR not high enough to bother with putting on my weekly mechanical index ETF/TLT trade, which is fine since I still have stuff in the pipeline from that end-of-Sept VIX pop ... .
Fireworks are fun ... as long as you don't blow your fingers off.
  • #10,983
  • Oct 13, 2015 12:01pm Oct 13, 2015 12:01pm
Quoting ZebraSquirl
Going long VIX via debit spread...
But what about the Santa rally?
"If The Fool persists in his Folly he will become wise." - William Blake
  • #10,984
  • Oct 13, 2015 12:04pm Oct 13, 2015 12:04pm
closed SPY O/O4 $200 calls for 76c, in for 18c, good trade, still learning not to wait on perfection for these time spreads
"If The Fool persists in his Folly he will become wise." - William Blake
  • #10,985
  • Oct 13, 2015 12:42pm Oct 13, 2015 12:42pm
Quoting The Fool
closed SPY O/O4 $200 calls for 76c, in for 18c, good trade, still learning not to wait on perfection for these time spreads
DAMN, I shoulda waited...lol
"If The Fool persists in his Folly he will become wise." - William Blake
  • #10,986
  • Oct 13, 2015 6:54pm Oct 13, 2015 6:54pm
NFLX kitty says 30c, nothing to write home about for a 5c debit in -- not sure why the P/L analyzer overstates the profit so much, indicating trade is worth >$1 if u/l freezes tomorrow. But that's wrong. Huge run up in the front week options iv tells the tale...
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #10,987
  • Oct 14, 2015 7:07am Oct 14, 2015 7:07am
out of NFLX DD for 30c net, meh, profits is profits, live & learn
"If The Fool persists in his Folly he will become wise." - William Blake
  • #10,988
  • Oct 14, 2015 7:40am Oct 14, 2015 7:40am
Quoting The Fool
I have learned this about the DD's played for an ER week exit: you get in with the expectation of rising iv and the idea is to get out when that has peaked just before the ER. Fine. However, the front, short option iv rises much more than the back does - although the back rises also - but, this disparity erodes the rich P/L you think you are due. (You have to buy back the front and sell the back to exit.) Actually, if the front option iv rise is extreme enough, you might have trouble breaking even on the this DD setup. I suspect that, like most...
the above an argument for just trying put diagonals, also may look at diagonals on the strikes 1w and 2w after the ER week, also may look at u/l's that do not display very large IVR ramp-ups, etc....
"If The Fool persists in his Folly he will become wise." - William Blake
  • #10,989
  • Oct 14, 2015 8:44am Oct 14, 2015 8:44am
Quoting The Fool
{quote} But what about the Santa rally?
Never liked that guy anyway...

Quoting The Fool
out of NFLX DD for 30c net, meh, profits is profits, live & learn
Better than a sharp stick in the eye... joking, every profit counts.

Quoting The Fool
{quote} the above an argument for just trying put diagonals, also may look at diagonals on the strikes 1w and 2w after the ER week, also may look at u/l's that do not display very large IVR ramp-ups, etc....
Yes, TT people said the same about calendars, that is much better to play with PUTs, if you use OTM options.
Hope is dangerous in this game.
  • #10,990
  • Oct 14, 2015 11:54am Oct 14, 2015 11:54am
Quoting StrayDog
Better than a sharp stick in the eye... joking, every profit counts. ..... Yes, TT people said the same about calendars, that is much better to play with PUTs, if you use OTM options.
I can see that DD's around ER's will probably "always" work. But whether they work work "well enough" is another question. You have to tie up some margin. And you have to watch them in the few days before the ER. If the front week iv goes way up against the back week, you might only make small change, even though you got in for small change.

There's another way to play the ER's with time spreads - with calendars, as Liz/Jenny have shown. There your short leg is the week before the ER & you have to get in while iv is very low, so it may take longer, also may cost more - but at least you don't tie up the margin. Then you can catch the rising iv and close around your short leg expiry or let that expire and maybe catch a big move with your long options in the expiry week.

It was hard to do those this cycle with the late Aug China scare vol spike, that rippled through all the charts into late Sept....oh well, everything changes, a trader needs to have something he can try in any weather.
"If The Fool persists in his Folly he will become wise." - William Blake
  • #10,991
  • Oct 14, 2015 12:17pm Oct 14, 2015 12:17pm
Quoting The Fool
I can see that DD's around ER's will probably "always" work. ....... There's another way to play the ER's with time spreads - with calendars,
well, of course, nothing "always works", if it did, everyone would be doing it. In the case of the time spreads, you just have to bet that yor strikes safely bracket the movement of the underlying. You never have a guarantee, anything can happen - but the diagonals get you closer to being right because you can put them on with less time, and also, the u/l might "usually" tend to range or flatline m/l in the weeks before the ER...Anyway, I promise, whenever I find something that "always" works, I will be telling everyone here...sure....
"If The Fool persists in his Folly he will become wise." - William Blake
  • #10,992
  • Oct 14, 2015 12:28pm Oct 14, 2015 12:28pm
Quoting The Fool
- for instance, I've got VXX $20/19.5 and $20/19 diagonals with short legs out this week, they are a few cents underwater with VXX sliding <$20 today, so I will have to close for a loss Tues unless we get a strong dose of risk-off and the vix runs back up. well, I knew vix was gonna drop, maybe verts were the better choice......c'est la guerre......
I closed most bearish VXX trades, but some are running and will do better with more time gone, maybe I will end up letting short $20 puts expire and holding the $19.5 & $19 calls into next week. Bulls are not looking so bold to me now, anyway....besides, we are just a stray missile or two away from WWIII, need to keep some powder dry for that.....
"If The Fool persists in his Folly he will become wise." - William Blake
  • #10,993
  • Oct 14, 2015 1:12pm Oct 14, 2015 1:12pm
I thot NFLX would drop, lesse if it will reach where I had me short puts, $87....
"If The Fool persists in his Folly he will become wise." - William Blake
  • #10,994
  • Oct 14, 2015 10:24pm Oct 14, 2015 10:24pm
whatever happened to that old 'fiber to parity' thing?
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #10,995
  • Oct 14, 2015 11:11pm Oct 14, 2015 11:11pm
still lookin for that big bull break
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #10,996
  • Oct 15, 2015 7:35am Oct 15, 2015 7:35am
Quoting The Fool
whatever happened to that old 'fiber to parity' thing? {image}
Ain't gonna happen
Hope is dangerous in this game.
  • #10,997
  • Oct 15, 2015 7:42am Oct 15, 2015 7:42am
Quoting StrayDog
Looking at /ES Nov 2040/2060 calls... currently at $8.00. I see volume over 500 on them, it seems all of them traded at $8.00. Interested in selling those spreads... looks like a second balancing day for SnP just under first resistance (Sep FOMC spike).
I have taken that trade when /ES was around 2005/6 and closed it yesterday after the close -> bought it back for $5.75.
I have waited for opportunity for a clear option trade, since my focus has shifted to scalping skills improvement. Initial plan was to aim to at least 50%, but when I saw that spread lost over 25% in two days and /ES daily close was right on first support, I decided to take the money. I can sell that same spread now for $6.75... idk. I am in wait-and-see mode, cash only.
Hope is dangerous in this game.
  • #10,998
  • Oct 15, 2015 7:54am Oct 15, 2015 7:54am
Quoting StrayDog
Ain't gonna happen
well, not this year anyway
"If The Fool persists in his Folly he will become wise." - William Blake
  • #10,999
  • Oct 15, 2015 7:56am Oct 15, 2015 7:56am
Quoting The Fool
still lookin for that big bull break
I filled some of the O5/N1 SPY $208/209 calls diag as above but for 4-5c
"If The Fool persists in his Folly he will become wise." - William Blake
  • #11,000
  • Oct 15, 2015 7:57am Oct 15, 2015 7:57am
Quoting StrayDog
{quote} I have taken that trade when /ES was around 2005/6 and closed it yesterday after the close -> ... idk. I am in wait-and-see mode, cash only.
me not seeing any of what I need for condors, just not worth the risk, maybe that will change down the road
"If The Fool persists in his Folly he will become wise." - William Blake
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