After a couple weeks of consolidation the rally higher may be resuming. Expect a new 2016 low in the VIX this morning, and new all-time low in UVXY. With a VIX Upside Warning, it’s possible for strength to continue until we regain the pre-correction high, which in this case was the November 3rd high of 2116. If we make it that far without a serious pullback, upward strength should at least slow.
Non-farm payrolls on Friday could be another catalyst.
Sold to open April 22nd 2120/2140 call spread @ 1.05. Filled at closing bell.
Joining the party
Sold $SPX May 6 2140/2165 call spreads @ 1.45
STO Apr 15 2100/2110 call spread for 1.15
#SPXcampaign Sold to Open $SPX April 1st 2075/2100 call spreads for 1.25. Still holding a 2070/2095 spread as well but gambling that we won’t be going much higher this week. I could be wrong with an upside warning in effect… crazy markets with S&P, gold, and bonds all UP.
#SPXcampaign Bought to close $SPX April 1st 1985/1960 put spreads for .20. Sold for 1.45 last Wednesday.
#SPXcampaign STO $SPX Apr 14th 2090/2115 call spreads for 2.05 (a bit early)
STO $SPX May 27th 2125/2150 call spreads for 4.50, as a roll from previously stopped call spreads.
#SPXcampaign Sold to Open April 29th 1880/1855 put spreads for 1.35, with SPX at 2030.
#SPXcampaign In pre-market, bought to close $SPX April 8th 2110/2140 call spreads for .20. Sold for 1.25 on March 17th.
#SPXcampaign When $SPX popped up to 2041, sold to open $SPX April 29th 2125/2150 call spreads for 1.35
#SPXcampaign In Pre-market, Bought to Close $SPX April 8th 1880/1855 put spreads for .20. Sold for 1.25 on March 16th.
Expired Full Profit
$SPXW 3/24 2075/2050 BECS
$SPXW 3/24 1905/1930 BUPS
$SPXW 3/24 1725/1750 BUPS
#optionsexpiration
$SPX Sold to open April 15th 2100/2120 BeCS @1.20. Filled just before the close.
STO May 6 2135/2125/1850/1840 for 1.65.
#SPXcampaign Sold to Open $SPX April 22nd 2100/2125 call spreads for 2.50, with SPX at 2035.
#SPXcampaign Sold to Open $SPX April 22nd 1875/1850 put spreads for 1.30, with SPX at 2023.
SPX Apr 15 2120/2110/1860/1850 originally sold for 1.70.
BTC at 0.75. 55% max profit. This market is strange so glad to close this at this level of profit.
#SPXcampaign I’m not buying this as a breakdown in the market. Volume is low, VIX barely spiking. Still, this trade may not work; won’t let it live if we get much below 2020. This is a #ReverseRoll from stopped call spreads.
Sold to Open $SPX April 14th 2000/1975 put spreads for 5.00, with SPX at 2036.
#SPXcampaign STO $SPX April 8th 1950/1925 put spreads for 1.30, with SPX at 2039.
BTC SPX April 8th 2050/2075 call spreads for 9.50, with SPX at 2040. Sold for 8.10 on March 11th when SPX was at 2016. Hopefully the last call spread I need to close. Next highest is 2070 short expiring 4/1.
#SPXcampaign Sold to Open $SPX April 1st 1985/1960 put spreads for 1.45.
#SPXcampaign Bought to close $SPX April 1st 1925/1900 put spreads for .20. Double-sized position sold for 1.60 last Wednesday.
#SPXcampaign Sold to Open $SPX April 22nd 1910/1885 put spreads for 1.40.
Had 24 profitable trades at expiration
MORE than offset by 10 losing trades
Mostly in $CMG BUPS gone belly up or out so to speak and
$SPX BECS that bombed out
Too tired and beaten to list
Looking forward to Spring
#SPXcampaign Took a cue from @fuzzballl and sold farther out in time to get beyond all-time highs.
Sold to Open $SPX June 16th 2175/2200 call spreads for 2.75
One spread for a starter…loosely following a guy that only sells way OTM way out in time when market is overbought. Worked great on the put side with an April 1550/1525 earlier.
Sold 1 SPX JUL 29 2016 2225/2250 Bear call spread @ 2.00
#SPXcampaign Sold to Open April 14th 1925/1900 put spreads for 1.30. With volatility having dropped, I’m resuming more traditional put sales. These are sold on an up day only because we’re seeing no down days lately. Maybe this sales will signal a top!
Any thoughts on this trade for next week’s expiration – SPX 2085/2105 .50cr?
2016 high for SPX
2016 low for VIX & VXX
All-time low for UVXY
2016 high for NUGT
Not quite the 2016 high for SVXY, the laggard as usual.
And a further drop for KOLD, biggest daily point drop of 2016.
#SPXcampaign Bought to close $SPX March 17th 2060 calls for .45. Sold in the 2060/2085 spread for 1.19 on March 7th. Can’t risk leaving this open with morning settlement gap risk.
#SPXcampaign
Bought to close $SPX March 24th 1950/1925 put spreads for .20. Sold on Monday for 2.05.
Sold to Open $SPX April 8th 2110/2140 call spreads for 1.25. (going 30 its wide since no 2135 strike available)
At least in the short-term, the VIX Indicator’s Upside Warning is working… albeit pretty late from when the rally started. Many prognosticators saying rally should have been over and we are due for a drop. Could be true, but when the VIX passes below 78.6% Fib line, almost always mean more upside ahead, sometimes violently. I don’t trust this rally, but I respect it for now and can see us getting up to the 2070 or 2080 resistance that Robert posted easily. Above 2100 would be a surprise for me, however. Currently moving any call spreads I can to above 2110. #SPXcampaign
#SPXcampaign In pre-market (3:09a ET), bought to close $SPX April 1st 1850/1825 for .20. Sold for 2.00 on March 3rd.
A day after the Upside Warning, VIX is confirming upside bias. This is a new post-correction low, and the lowest VIX reading since Christmas Eve.
#SPXcampaign Going above 2100 for any further sales.
Sold to Open $SPX April 14th 2110/2135 call spreads for 1.25
Sold to Open $SPX May 19th 2125/2150 call spreads for 3.50 (as a roll)
#SPXcampaign Sold to Open $SPX April 8th 1880/1855 put spreads for 1.30.
#SPXcampaign Sold to Open $SPX April 1st 1925/1900 put spreads for 1.60, double position as a #ReverseRoll to stopped call spreads.
SPX expirations? Can never remember this, but does the monthly expiration occur on Friday morning and the weeklys on Friday afternoon at the close?
#SPXcampaign Bought to close $SPX April 1st 2040/2065 call spreads for 7.50. Sold for 8.00 on March 4th as a roll. Small profit on this one, but since my stop level of 20-points OTM (2020) was hit last week, needed to close this and wait for higher prices to replace the roll.
#VIXIndicator UPSIDE WARNING fired. We have just hit 3 consecutive VIX closes below the Fib 78.6% retracement. This historically has meant that volatility has subsided in the near term, and we should be seeing further strength to the rally in the SPX.
This also sets a new VIX low of 16.05 from Friday, 3/4.
Tuesday’s levels that would negate this and switch us to a downside warning are 21.05 and 23.58.
This is the first time a VIX upside warning has fired since I developed the indicator, so it will be interesting to see if SPX pushes higher before any big drops. SPX has risen in the days or weeks following this signal over the majority of times it has fired since 2000.
STO Apr 29 2125/2115/1815/1805 for 1.70. Each short strike with delta of 10 and neutral delta for both legs.
Will look to close at 50% profit.
#SPXcampaign Bought to close $SPX March 24th 2025/2050 call spreads for 7.05. Sold for 1.60 on Feb 24th. Using the pullback to kill another threatened spread. This pretty much clears me of problem call spreads, and I will slowly build back positions to recoup losses.
#SPXcampaign While trying to set up a GTC order to close for .20, I mistakenly closed the $SPX March 23rd (Wednesday weekly) 2050/2075 call spread for 2.55. Sold for 1.60 last week. Rather than replace immediately, I will wait for next spike in SPX.
#SPXcampaign Bought to close $SPX March 17th 2025/2050 call spreads for 6.50. Sold for 1.50 on Feb 16th. This blew through my STOP on Friday, so needed this pullback for a less painful exit. I’m keeping track of the costs of stops and will work in “rolls” in coming weeks to chip away at the losses premium.
#SPXcampaign Sold to Open $SPX March 24th 1950/1925 put spreads for 2.05. Fairly aggressive hedge to my call spreads… if this one gets in trouble I will be happy for the relief.
Caught in Friday S&P Updraft
March 11 2045/2020 BECS (lost $2.19 per contract)
Assigned UVXY @$30 Since this keeps going down, I suspect I should sell on Monday?
Expired with full profit
NUGT $75 calls
NUGT $80 Calls
NUGT $35 Puts
$SPX 2050/2025 BECS
#OptionsExpiration What started out okay turned out to be a crappy end.
— Expiring with max profit —
NUGT 40, 48, and 50 puts
NUGT 70 calls
— Expiring with losses —
SPX 2015/2040 call spreads
SPX 2020/2045 call spreads
SPX 1650/1625 LONG put spreads… small position bought awhile ago…. hmmm, not quite.
#SPXcampaign Two spreads I had thought would expire hammered me at day’s end. Allowing the 2015 and 2020 calls expire ITM and taking the loss based on settlement. It should be a more favorable price than trying to work the bid/ask spread (especially since IB does not charge for execution).
Will add to my list of rolls for next week.
#SPXcampaign Bought to close $SPX March 24th 1825/1800 put spreads for .15. Double position sold for 1.30 on March 1st.
#SPXcampaign Sold to Open $SPX April 8th 2050/2075 call spreads for 8.10. Yes, I am still fighting the cup trend… this is a roll from previously stopped call spreads. Stop will be 2030. Will try to exit when price of spread drops below 4.00.
#SPXcampaign Bought to close $SPX March 17th 1880/1855 put spreads for .15. Sold last week for 1.01.
#SPXcampaign Sold to Open March 23rd (Wed expiry) 2050/2075 call spreads for 1.50. First try on a Wednesday weekly… that week’s regular weeklys expire on Thursday due to Good Friday holiday, so this is only one day earlier.
BTC Apr 1st SPX 1750/1735 BuPS for $0.20 Sold for $1.50
#SPXcampaign Bought to close $SPX March 11th 2025/2050 call spreads for .15. Sold for 1.50 on Feb 16th. Still short two others for March 11th with shorts at 2015 and 2020; will allow to expire.
#SPXcampaign, just noticed this one filled about 52 minutes before the open: Bought to close $SPX April 1st 1735/1710 put spreads for .20. Sold for 1.35 on March 1st.
#SPXcampaign In pre-market bounce courtesy of ECB…
Bought to close $SPX March 11 1935/1910 put spreads for .20. Sold on Tuesday for 1.50.
Bought to close $SPX March 17 1850/1825 put spreads for .20. Sold on 2/26 for 2.00.
#SPXcampaign Sold to Open $SPX March 11th 2015/2040 call spreads for 2.20. Squeezing this one in there, hoping no one notices.
STO Apr 15 2120/2110/1860/1850 for 1.70
#SPXcampaign Sold to Open $SPX April 8th 2090/2115 call spreads for 1.25.
BTC SPX Apr 1 2090/2110 call spread for 0.50. Originally STO on 3/4 for 1.40.
64% of max profit. Freeing up some buying power.
#SPXcampaign Sold to Open $SPX March 11th 1935/1910 puts spreads for 1.50. Expire this Friday unless I close out on next rally up.
#SPXcampaign Bought to close $SPX March 11th 1900/1875 put spreads for .20. Sold for 1.80 last Wednesday.
STO SPX Mar2 1900/1880 for .30 credit
#SPXcampaign Unable to sense a true direction, betting that we don’t get a huge break up or down anytime soon. So selling a condor seems best. Will treat each side separately if threatened.
Sold to Open $SPX March 17th 1855/1880/2060/2085 iron condors for 2.20.
VIX indicator for Monday 3/7: Friday was the second close under the VIX’s Fib 78.6% retracement. Three of those in a row and the Downside Warning ends; it is currently in effect from these dates: 11/13, 12/3, 12/9, 12/14, 1/4, 1/7, 1/20, 2/8.
Monday’s signal levels, which would indicate further downside warning, are 20.88 and 25.60.
To nullify Downside warnings:
1) SPX above 2116.48 (Nov 3 high), or
2) VIX close below 16.93 for three consecutive days, or
3) New VIX low (below 12.80)
Upside Warning: VIX close below 16.93; one or two days is caution, third consecutive day is an Upside Warning.
Vertical Spreads Basics:
Vertical Spreads are Directional plays with predefined risk/reward, normally used as a stock replacement strategy.
Credit spreads have a greater probability of success but higher risk, while debit spreads have a higher reward/less risk.
Credit spreads are better when IV percentile is high while Debit spreads normally work best when the IVp is lower.
TastyTrades Vertical Spreads (credit or debit) Basic Concepts:
https://www.tastytrade.com/tt/shows/tasty-bites/episodes/trading-verticals-06-05-2013
Several other segments talking about credit spreads: (that is a lot of very good free informational education so take a look at it)
https://www.tastytrade.com/tt/search?utf8=%E2%9C%93&search=Credit+spreads&commit=Search
Credit Spread Optimal Setup: (this is a very important segment).
https://www.tastytrade.com/tt/shows/market-measures/episodes/credit-spreads-optimal-premium-levels-10-08-2015
We’ve been placing SPX credit spreads selling Delta 10 and utilizing a spread width from 10 pts. to 25 pts. The reason for this has been that the probability of success is greater the farther out we go; well, that is correct, but only when we hold the position to the end, win or lose.
However, on a Delta 10, 25 pts. spread on the SPX we risk $2,250 to make $150. So to avoid such a big loss, we mostly bail when the loss exceeds 2.5 or 3X the max profit. Once we do that the probabilities of success are not what we expect, but a lot less. So we are shortchanging and lying to ourselves believing that we are trading a high probability, non-directional strategy.
On the last link above, the guys at TT show the right way to trade this strategy.
They go out to 40-45 DTE and use a spread width equal to 2.5% of the price of the underlying and Sell at Delta 30 and get a premium greater than 20% of max loss.
On the SPX the spread width of 2.5% is 50 pts spread. 2000 X 0.025 = 50.
So with the SPX trading at 2000 as per Friday’s Mar 4th 2016 close, to sell a BeCS we will go to Apr monthly and sell the 2045 at $15.30 and buy the 2095 for $2.80 for a credit of $12.50.
Max loss = 5000 – 1250 = 3,750.
Prob. of Success = 3,750 / 5000 = 75%.
I believe this makes more sense.
What do you guys think?
Rolled $UVXY 3/4 $35 puts to 3/18 $34 puts for $.50 credit
Expiration Full Profit
$NUGT $75 calls
$SPXW 1910/1935 BUPS
Got Crushed
$SPXW
$SPXW 2000/1975 BECS
$SPXW 2005/1980 BECS
#SPXcampaign Changed my mind and decided to roll into a new call spread. This one will have a short leash… stop will be at or before 2020.
Sold to Open $SPX April 1st 2040/2065 call spreads for 8.00, with SPX at 2008.
#SPXcampaign Bought to close $SPX March 17th 2005/2030 call spreads for 11.00. Sold for 5.50 on Tuesday as a roll. That was a painful one I had to chase after missing this morning’s lows. With VIX going lower, I cannot roll up at this time. I have to save rolls for much higher SPX levels, or if VIX reverses upward.
No more BeCS…big loss…won’t even roll them to the upside…too much bullishness or short covering.
We’ll wait for the reversal.
STO Mar2 SPX 2020/2025 1.20
#SPXcampaign Bought to close $SPX March 24th 1750/1725 put spreads for .20. Sold for 1.35 on 2/23.
#SPXcampaign Sold to Open $SPX April 1st 1850/1825 put spreads for 2.00. Slightly more aggressive than usual since I’m treating as a partial roll from stopped call spreads.
#SPXcampaign 14 minutes after the bell, sold to open $SPX March 11th 2025/2050 call spreads for 2.25.
#SPXcampaign Bought to close $SPX March 4th 1935/1910 put spreads for .40. Sold this morning for 1.60.
New low on VIX, touching below 16.93 level intraday. Getting closer to an Upside Warning, but this could be the place where it bounces, too.
Options Bistro 