Fuzzy, I need your help on what and how you do with options on futures…
Daily Archives: Thursday, November 9, 2017
Happy Veterans Day
Wishing all Veterans a Happy Veterans Day..If you served, Thanks for putting yourself on the line..
I asked a question a…
I asked a question a few days ago and got two answers, so thanks for those. However, I think I didn’t word my question well or else I don’t understand the answers so I’m going to re-ask my question.
I’d like to know why PITM and Delta are essentially the same for a given strike on SPY but very different on VXX. Here’s an example from today’s TOS trade tab.
June 2018 ATM Puts
SPY: PITM = 54, Delta = 50
VXX: PITM = 62, Delta = 37
Theoretically, ATM strikes should be about 50 for both PITM and Delta, and they are for SPY. What is it about VXX and the calculations behind PITM and Delta that throws both PITM and Delta so far apart and away from 50?
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Original question and answers:
I have a question about VXX and delta.
During this wild bull market, I’ve been buying SPX calls and VXX puts. I buy the calls at about a 60 delta with a 200ish DTE. On the TOS and TastyWorks platforms, the PITM percentage is similar to delta. I use PITM because several years ago Sosnof made the case PITM is a better estimate for the probability of expiring in-the-money than is delta.
So this brings me to VXX. Delta and PITM are not even close to the same. At 200ish DTE, they are about 25 points apart.
My question is why are PITM and delta so different for VXX, and which is a better estimate of the probability of expiring in-the-money? I ask because it clearly affects strike selection and potentially affects when to roll or close.
from vxxkelly: Steve, The difference with $VXX is likely explained by the skew. Take a quick look at the June 18 options. ATM the puts and calls are trading almost equal, but go up $10 on the calls and down $10 on the puts. Massive difference in the pricing, the calls are going for more than 2X the puts.
1) $VXX is a decaying asset vs any given stock or index that isn’t, the market knows this
2) If there were a volatility spike, there is significant risk to the short calls, so people who are selling them want a premium for the risk they are taking.
From hcgdavis: And that is where you find the “edge” in trading vol. products!
SPX Campaign / Short Puts / Short Calls / Expired / Closed Early
#spxcampaign
$SPX STO 11/20 2545/2565 BUPS @ 3.10
$SPX STO 12/8 2485/2510 BUPS @ 2.65 Thank you @jeffcp66 IC
$SPX STO 12/8 2675/2650 BECS @ .55
$SPX STO 11/24 2505/2525 BUPS @ 1.25
#shortputs
$NVDA STO 12/15 170/185 BUPS @ 2.35
$ADBE STO 12/15 167.50/177.50 BUPS @ 1.45 Thank you @thomberg1201
$AMZN STO 11/17 1085/1095 BUPS @ 1.25
$OSTK STO 12/15 30/40 BUPS @ 1.82 (Bridget at OMM)
#shortcalls
$BABA STO 12/15 195/190 BECS @ 1.50
Expired Full Profit
$SPX 11/8 2515/2540 Thank you birthday guru
Closed Early
$CAT BTC 11/17 145/140 BECS @ 58% profit
SPX trades
#SPXcampaign $SPX
Closed Nov 22nd 2550/2525 put spreads for 2.70. Sold for 2.80 this morning. This was a mistake that I sold it, so I took it off once we bounced back. Covered commissions.
Closed Nov 17th 2550/2575 call spreads for 20.30. Sold last Friday for 19.00. Will roll tomorrow.
Sold Nov 22nd 2595/2600 call spreads for 6.65. A roll from the 2585/2610 spread closed earlier today for 5.95.
DIS earnings
#Earnings – Just for fun planning on hardly any movement. This is obviously separate from my #SyntheticStock position…
Sold DIS 102/103/104 iron flies @ .90 risking .10 to make .90 with a 3.15 expected move.
Tomorrow the banks are off,…
Tomorrow the banks are off, so the market will be slow
Futures
$SVXY
On the small spike this afternoon.
STO SVXY Nov 17 $80 puts @ $0.41
Happy B’day Jeff…
PCLN
Guess they’re not going out of business after all? 🙂
VIX juss can’t stop it
Just as happened on Oct 25th, the VIX peaked just shy of cancelling the Upside Warning. We are now on yet another rally off a small dip in SPX.
I did my first and only #InverseCondors last week, and am now white-knuckling through these dips for them to expire next week. If we can keep near the highs until then, I will have significantly reduced my ITM status on the call spread side, and I will pare down my put spread positions in anticipation of a deeper pullback. That’s the plan, if the market can hold off on any deeper dives until then. If not, my ITM positions will be puts rather than calls!
SPX trades
#SPXcampaign $SPX
Yesterday:
Closed Nov 15th 2540/2565 call spreads for 23.30. Sold for 20.70 on Nov 1st
Rolled to Nov 22nd 2555/2580 for 20.90.
Closed Nov 15th 2575/2600 call spreads for 16.45. Sold in #InverseCondor on Nov 1st for 23.25.
Not yet rolled (was waiting for this morning, but that hasn’t worked out yet)
Sold Nov 20th 2540/2565 put spreads for 2.10.
Today:
Sold Nov 22nd 2560/2535 put spreads for 3.05
Sold Nov 22nd 2550/2525 put spreads for 2.80
Closed Nov 17th 2585/2610 call spreads for 5.95. Sold last Friday for 14.10. Plan to roll this if we can rally back higher.
$UVXY
STO $UVXY Nov 10 $17 calls @ $0.33, basically at today’s high, expires tomorrow.
If I’m wrong, only have to wait until tomorrow to know and roll it.
TRTN
#ShortPuts STO TRTN 45 puts (ITM) @ 3.20, shares at 41.95, replacing exercised shares before dividend of .45 on Nov 30. Bump today attributed to positive earnings report.
SVXY
STO December 22, 60 puts @1.05
DOW Drops 200
http://tinyurl.com/y8vvpob5
Awareness of potential downsides?
#volume OIH Over 20,000 strike…
#volume OIH
Over 20,000 strike 28 calls traded in OIH (oil services ETF) in January, a huge number for OIH. Stock currently at 25.91
Quiet week
Closed the /cl trade for an $800 (was 2k at 0600) loss. I hedged the move this morning by going long 3 futures but then had a meeting. By the time I came back the big move was over so closed everything out. I think it would have worked out eventually but was using up too much margin for some other things I want to do. Will revisit or go back to /es since they have weeklies and easier to manage.
It also confirms the way for me to trade directionally is to sell options. I just seem to always miss the big pivots/reversals because my schedule does not allow me to watch the market. If I could sit and watch all day (which I don’t want to) I think I have the tools and skills to do it, just not for me. I have always had more success selling options and that is what I will do from now on but will take a slightly directional bias to hopefully improve returns. However based on the TT research I may move my ladders out a little farther to 45 DTE and see if I can recycle capital faster. Currently using 21-28 DTE on the #optionladder. The big decay on OTM options is usually that first 2-3 weeks.
Rolled GILD 77.5 out 11-17 to 12-15 for avg. 0.99 credit. Cost basis now 75.5. Stock currently 72.8 so getting close to a break even.
SVXY one for the team, STO 11/17 100 put at 1.79.
I tried to sell some TNA puts at 60 for 15 DTE but the bid ask was 0.29-1.9 and once I got to 1.5 and the market makers would not bite made me realize the liquidity is probably not there so cancelled it.
Going biking, we are finally cold enough here to kill the ticks and chiggers so can go mt bike in the woods again 🙂 without getting all itchy or funky tick borne illnesses 😦
Have a great weekend, that’s all I have, next week is a large expiration but done trading this week unless there is something really exciting tomorrow.
Will start the small account SPY credit spreads experiment @jeffcp66 style once some CC calls expire next week (monday 11/20). It is a small account 6200 so will set up ladders using 3-5 point spreads on the SPY and each week add one. Once 3-4 weeks on the ladder let the expiring ones close or roll them into new ones. My goal is to double it in a year or even even better like Don Fishback is claiming, they had a 300% return on the SPY credit spreads last 12 months. I saw the spreadsheet with the trades but they whited out just enough information that I could not tell the dates of the losing trades so cannot see how they closed them. Looked like there were only 3-4. From what I can tell, partial loss, they did not let it go full loss. But with @jeffcp66 tactics we may be able to scratch them or even turn into a winner. Will see!
Cheers!
NVDA earnings
FFIV
#ShortStrangles – Was just killing time with some post earnings strangles. Trading these in for my NVDA earnings position…
Bought to Close FFIV NOV 17 2017 115.0/127.0 Strangles @ .50 (sold for 1.45)
AAOI
#ShortStrangles – Not taking stock since these are trading just like stock this DITM. Going for max premium selling weekly calls against. Out at even is my goal…
Rolled AAOI NOV 17 2017 80.0 Puts to DEC 15 2017 80.0 Puts @ 1.00 credit
Still sitting on short 44 calls for tomorrow. All included since the beginning of this ordeal I’ve reduced basis in the puts to 60.25 so gradually getting there!
#shortputs #earlyassignment MAT Aug. 8…
#shortputs #earlyassignment MAT
Aug. 8 I sold a Jan. 18 put for 1.25. Yesterday I as assigned 100 shares of MAT. I don’t understand why that happened, and especially why it happened to me, heh heh. I also am short a Dec. 15 20 put in MAT. MAT currently going for 13.95-buy hot wheels and Barbies for your children, grandchildren, kids in the neighborhood…
MGM
#SyntheticStock #LongCallDiagonals – Rolling up and out to the monthly picking up another .61 of upside.
Rolled MGM NOV 10 2017 31.5 Calls to MGM DEC 15 2017 32.0 Calls @ .11 credit
SVXY
STO December 15, 60 puts @.80
Hard to get good prices on puts these days.
REGN
#CoveredCalls – More basis reduction…kind of an odd fill doing this in a single trade. Closed this week well above the mid and sold next week well above the mid. Still got the 5 bucks I was asking.
Bought to Close REGN NOV 10 2017 425.0 Call @ 1.29 (sold for 6.50)
Sold REGN NOV 17 2017 415.0 Call @ 6.29
$UVXY
STO Nov 24 $24 calls @ $0.40
SPX
STO Nov 17 $2560/$2555 puts @ $0.85
#VXXGame trades Sold: $UVXY Dec…
#VXXGame trades
Sold:
$UVXY Dec 22 30 call @ 1.10 (highest strike)
$SVXY Dec 22 65 put @ 1.20
Good morning!
And we open with the lowest TICK reading since June.
$SVXY
At the open STO Dec 8 $60 puts @ $0.55
Options Bistro 