SPX Option Trading System

I have developed an online calculator to assist with trading SPX credit spreads (Bull Put Spreads, Bear Call Spreads, Iron Condors).

I have collected 10+ years of SPX daily and intra-day data in order to analyze how the SPX moves over any time period (1 day, 5 days, 30 days, etc.). The calculator allows you to input a time period such as Friday to Friday (5 days). It then will show you how much the SPX has moved over that time period. It calculates the historical % moves and applies those %'s to the current SPX to provide the ranges.

What makes the calculator unique is I have made it so only time periods of similar volatility are extracted. I do this by using the VIX. If the VIX is currently at 13, I can have the calculator only extract the historical moves when the VIX was 15 or less (I use a slightly higher value for a cushion). This helps to greatly improve your ability to find SPX credit spreads with a balance of risk / reward.

Using this system in 2014, I have done 45 trades of a week or less. The results are 4 losers / 41 winners with a YTD return of about 125%.

An example of the calculator (only 12 months of data in the sample calculator) can be found at this link:

http://activetrader999.wix.com/spx-calculator#!spx-calculator/cvsp

I have a forum and chat-room where we discuss how to use the calculator (along with other strategies). I do require a minimal annual donation to keep the membership focused on serious traders. The membership also provides access to the full online SPX calculator (and other data).

I also have a free website where I post some options education and some info / examples on other data I collect. Besides SPX options, I trade a lot of AAPL. I have a day-trade system that works well for timing entry / exit points intra-day for AAPL. Here is a link to the website:

http://aapltrader99.home.comcast.net/~aapltrader99/Apple_Trading/Welcome.html

Here is a link to most of the trades I have done in 2014.

http://aapltrader99.home.comcast.net/~aapltrader99/Apple_Trading/Double_Your_$$.html

I also have a version of the calculator I use that is linked to live data feeds from ThinkorSwim (ToS). It updates the SPX and VIX in real time along with premiums for the suggested spreads. It then calculates the potential max return for each trade along with the probability of success for that spread being pierced both intra-period and at the expiration date.

Here is an example of how this spreadsheet looks.

https://www.dropbox.com/s/pnjvr3xxsi6yzvj/Screenshot 2014-09-30 06.31.36.png?dl=0

Note: I am not distributing this automated spreadsheet linked to ToS at this time as I have not found a way to protect it in order to keep my proprietary formulas from being copied / shared.

I do use this when discussing with members on the chat-room and post live screen shots of it for members to use in their evaluating spreads.

Today the SPX Sep 30th spread I put on last week expired worthless. Using the calculator I opened the SPX 1895-1915 / 2030-2050 Iron Condor last week (Monday, Sep 22nd). I received $0.80 credit and sold 300 contracts.

300 *100 * $0.80 = $24,000 gain (minus commissions) for 1 week. This used $576,000 of buying power so the 1-week return was $24k / $576k = 4.1%

I am now at a 134.5% YTD return with this strategy and have had 46 total trades. 4 losers / 42 winners.

One of the users of the calculator sent me this e:mail today.

"This is a great tool, thanks for sharing it.
It has really changed my trading life. I had been floundering with different strategies for the past 15 years. This is finally the strategy I have been looking for: formalized, rule based, clearly defined entry and exit rules, well diversified, and predictable. I hope to double my money annually and I can foresee equalling my annual work income in a few years. It really is powerful. Great job!"

Here is what the calculator suggests for Oct 10th SPX iron condor that would have 95%+ success rate of not being pierced while holding:

https://www.dropbox.com/s/m09zest90pojsle/Screenshot 2014-10-01 07.58.08.png?dl=0

I like to start looking at November spreads at about this time. Here is a spread that has a high probability of success and pays almost 7%. It has a good potential to return 4-5% over the next 4 weeks. 4% return monthly and reinvested each month = 60% return annually.

https://www.dropbox.com/s/hrtonn04yf5zdy2/Screenshot 2014-10-01 11.16.13.png?dl=0

Opened the Oct 10th 1830-1850 SPX BuPS for $0.75 and $0.80.

Here is how it looked on the calculator. High % it is okay and does not come within $15 of the short strike intra-week.

https://www.dropbox.com/s/5ckvu8t4xtmg69g/Screenshot 2014-10-01 12.24.03.png?dl=0

If anyone has any questions as to how this works or how I use it, feel free to ask. As I mentioned I do require a nominal donation for access to my Active Trading forum, chat-room, and the SPX calculator but you can recover more than that in one trade. For 2014 I only required a $100 donation and for the remainder of this year you can join for $50 to try it out. The donation link / page on my former website can be used to make the donation via PayPal:

http://aapltrader99.home.comcast.net/~aapltrader99/Apple_Trading/Donate.html

I realize I am not objective, but I doubt you will find as much information as I provide for so little of a donation. I make plenty of money trading and the donation helps to cover some of my costs, take my wife out (since I spend so much time doing this), and I also use it for scholarships for future teachers (part of my "pay it forward").

I enjoy helping others learn how to trade options as safely as possible. Some other things I provide are a daily thread on the forum where I post the weekly option Open Interest (OI) for AAPL and SPY to help see where the stock may finish the week. AAPL is a stock that has a good history of pinning between the high Put OI and high Call OI weekly. I show the next 3 option expiration charts for both AAPL and SPY daily. Here is what today's AAPL charts looked like as an example:

https://www.dropbox.com/s/6wffcbkeesw9ooo/Screenshot 2014-10-01 07.19.36.png?dl=0

Here are the SPY charts: The SPY (as an index) does not have as much of a pinning effect as AAPL.
https://www.dropbox.com/s/osd6hjxbdbtuorh/Screenshot 2014-10-01 07.21.59.png?dl=0

I also post an SPX chart daily showing my longer term channel, key moving averages, RSI, and MACD. Here was this morning's:

https://www.dropbox.com/s/0758mhkw4oasujn/Screenshot 2014-10-01 07.23.33.png?dl=0

There are other charts (AAPL daily chart with support / resistance levels) and tables I post on the daily thread.

Here is the AAPL chart at the end of today:
https://www.dropbox.com/s/rwofbg5k7md7k0p/Screenshot 2014-10-01 18.30.14.png?dl=0

Always room for more to join our group and would love to have you.

Took my 5th loss for the year now. 5 losses / 42 wins. In my defense, I would have held out longer and it would not have been a loss except I had a contractor coming over to remove a tree. It was near my exit point and did not want to risk being away from the market and having it blow through my exit.

But it reinforces to stick to your rules. Don't be afraid to take an occasional small loss and move on. I can recover the loss in 1 or 2 trades. Holding on and having a bigger loss could mean several weeks of trading to recover.

Per some member requests, I have also set up historical move calculators tied to VIX for RUT and NDX.

I also added 2 columns to the far right so you can see the date when the historical moves happened. This helps to know how recent the moves were. Here is an example from the RUT calculator.

https://www.dropbox.com/s/izadun6cqq98mwl/Screenshot 2014-10-05 16.12.02.png?dl=0

Sorry it may be small / tough to read. I have a lot of data on one page.

Had this week 1830-50 / 2015-2035 SPX iron condor opened for $1.15 last week. Closed the 2015-35 for $0.10 today and order in to close the 1830-50 for $0.05 (mark is at .05 currently).

If the 1830-50 trade fills, it will be a $1 gain on $18.85 risked = 5.3% return for a couple of days. That will put my YTD gain using this strategy at 135%.

Opened the Nov 1700-1720 monthly SPX BuPS for $0.75 today. Did a smaller position than normal as I wanted to wait and see how tomorrow fared. Would be able to get better premium and/or lower strikes if market slides more tomorrow.

The 1720 short strike had some additional protection than what the calculator suggested. I like to choose more protection over higher premiums -- small, consistent gains is what I like.

Sold the Nov SPX 1755-75 / 2085-2105 iron condor yesterday for 1.50. Could buy it back now for $1.00. $0.50 gain on $18.50 risked = 2.7% 1 day return.

The Nov 1700-20 BuPS I sold later in the day for .75 is now $0.40. .35 gain on 19.25 risked = 1.8% 1-day return. But I am not closing this but looking now to add the BeCS to make this an iron condor.

The weekly 1830-50 did fill to close for $0.05 today so locked in the 5.3% weekly return on that iron condor this week.

The YTD results and list of trades can be found on my old site I keep active for some info on what I offer and examples of data analysis I do.

http://aapltrader99.home.comcast.net/~aapltrader99/Apple_Trading/Double_Your_$$.html

Opened next week SPXPM $20 wide 1850-1870 / 2020-40 for .90

My SPX Calculator can be a great analysis tool on big move days like today.

Here is an example looking at historical moves when SPX was down 2% on the pivot day. To remove all positive moves, I changed the Opening Day positive move to 100%. Then I changed the Negative move to -2% or more. I used today's closing SPX and VIX and then VIX + 3 for pulling the historical data. I am using 6 days after the Pivot day as that would be today until next Friday for those thinking about their weekly options.

www.dropbox.com/s/ho62xjwucmud4p6/Screenshot 2014-10-09 19.28.35.png?dl=0

So there are only 12 days since Jan 1, 2004 when SPX dropped 2% and VIX was below 21.76. The largest intra-week drop over the next 6 days would be down to $1863 and largest pop up to $2019. 6 times the SPX was higher 6 days later and 6 times it was lower.

While historical moves don't guarantee what will happen in the future, it helps greatly to know what the extreme moves were in the past.

I added a new feature to the SPX Calculator. You can limit the data to similar historical periods when the VIX has had a pop / drop of a certain % over a certain # of days. We just had a Fri-Fri VIX move up of 45%. Here is the data limited to past 5-day moves when the VIX had a 30% or more pop in the preceding 5 days.
https://www.dropbox.com/s/l79jcirujor4r5u/Screenshot 2014-10-12 18.28.57.png?dl=0