Tracking and Developing my SPY credit spread strategy - Page 2
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Thread: Tracking and Developing my SPY credit spread strategy

  1. #11
    Senior Member Argonaut's Avatar
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    That's a pretty risky strategy. S&P only needs to go down 1% from your entry point to where you start losing money. I guess prices of options have really gone down since the volatility has been so low. If I'm risking $2000 to make $400 I'd want to be near 100% sure of the probabilities going my way. At-the-money put sales aren't really that. Best of luck to you though!


  2. #12
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    Quote Originally Posted by Argonaut View Post
    That's a pretty risky strategy. S&P only needs to go down 1% from your entry point to where you start losing money. I guess prices of options have really gone down since the volatility has been so low. If I'm risking $2000 to make $400 I'd want to be near 100% sure of the probabilities going my way. At-the-money put sales aren't really that. Best of luck to you though!
    A 1% drop would more or less be break-even, so yes, below 1% is where you'd start to lose money. Unfortunately not near 100% going my way but when the trend is positive SPY closed the month up nearly 70% of the time (since 1994).

  3. #13
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    Quote Originally Posted by james4beach View Post
    Might it be better to do the paper trading with Interactive Brokers' platform? I found that this was good for realistic paper trading, taking into account bid/ask spreads but also market depth (how many contracts are available at the bid and offer)
    Hmmm that might be a good idea, do you have to register with them to do it? Although that would be more practical, I think it might be more realistic (ie: paint a truer picture) to test with my current broker. I suspect Interactive Brokers has lower commissions, better margin and probably spread orders as well. For professional reasons I'm unfortunately not able to hold an account with them.

    I do have the proper information for bid/ask spread and market depth with my current broker. This is basically never a concern with SPY, especially if your trading within a month out. Tons of liquidity and tight spreads. Even so I'm "filling" at the worst possible price (bid on the short puts, ask on the long puts).

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  5. #14
    Senior Member
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    Man, volatility is super low right now. Today's trade:

    March 20th trade:
    SPY price 236.97
    2 Short April 13th puts - 237.00 strike: price per contract = 1.85, premium received = $369.55
    2 Long April 13th puts - 225.00 strike: price per contract = 0.36, premium paid = $72.45
    Net premium received = $297.10
    Realized profit (loss) to date = $nil


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