Watch HowardCohodas Trade Index Options Credit Spreads

[HowardCohodas]

Why would rolling your positions result in more spreads? Shouldn't you be closing out?

Howard, feel free to ignore my questions and answer martinghoul's. They are always more important 😀

Each of you has a different, but none-the-less interesting way of looking at what I'm doing. I think you both add something valuable to the dialog.

By rolling I mean that I close a spread that has neared it's maximum profit (80%+) and open a new one using the same criteria I used for the original one. Thus it will be closer to the underlying instrument price. PoT has a days-to-expiration component. This lets me use the same quarantined funds to gain another profit. Using this technique, I have been able to get 50%+ out of series rather than the targeted 10%. Furthermore, in all but one of the Iron Condors that had a loosing spread, this technique made the Iron Condor profitable overall.

 

[scose-no-doubt]

Right so you mean 5 separate credit spreads over the 60 period not over the course of rolling one IC?

i think martinghoul wants the exact cost of each leg of the put spread you completed as well as the nasdaq spot(?) & futures prices and at the exact time of execution.

 

[Martinghoul]

Spot or fwd at the time?
Sorry, I don't know what you mean.

Prices of legs?
I never look at that. I trade the spread as a unit. I do not leg in. I don't care how my broker searches the various markets to match my credit requirement. I've seen some multi-contract fills come from different markets at different prices for the legs, but meet or exceed my requirements. I view that as a good thing. Do you?

Expiration?
The example I showed and will track until expiration in this thread will expire on Friday and is a weekly.

I mean you traded an option on an underlying at a particular price. The price you at which you traded the options conveys meaningful information only if you know the price of the underlying at the same time. This is basic options stuff, HC.

As to the prices of legs, I know they don't matter individually, but can you pls, for God's sake, indulge me? I want to make sure that we're 100% clear and specific and there's no ambiguity.

By 'expiration' I meant that I would like to know what was the expiry date for the options you traded (and didn't).

So, HC, let me pls ask you again... Can you pls provide me some specific information? I would like you to tell me the following. For a trade you executed, could you pls give me the exact description of the options you dealt, i.e. strike, expiry date, underlying and price (ideally, of two legs separately, but if this is too onerous, of the spread)? Could you pls also tell me where the underlying was trading at the time or, alternatively, tell me when you did your trade? This is the first step, before we get to a discussion of the rationale for the trade.

 

[HowardCohodas]

Right so you mean 5 separate credit spreads over the 60 period not over the course of rolling one IC?

Exactly.

I'm assuming that rolling one IC means going to the next series in time for the same underlying instrument to do it all over again.

i think martinghoul wants the exact cost of each leg of the put spread you completed as well as the nasdaq spot(?) & futures prices and at the exact time of execution.

Time of trade 1/4/2011 09:59:34.
Short @ 1.43, Long at .63, Credit .80.
The rest is left as an exercise for the reader. 😉

BTW, when my transaction involves multiple contracts I have seen fills at different leg prices but at my specified spread credit.

 

[HowardCohodas]

I mean you traded an option on an underlying at a particular price. The price you at which you traded the options conveys meaningful information only if you know the price of the underlying at the same time. This is basic options stuff, HC.

As to the prices of legs, I know they don't matter individually, but can you pls, for God's sake, indulge me? I want to make sure that we're 100% clear and specific and there's no ambiguity.

By 'expiration' I meant that I would like to know what was the expiry date for the options you traded (and didn't).

So, HC, let me pls ask you again... Can you pls provide me some specific information? I would like you to tell me the following. For a trade you executed, could you pls give me the exact description of the options you dealt, i.e. strike, expiry date, underlying and price (ideally, of two legs separately, but if this is too onerous, of the spread)? Could you pls also tell me where the underlying was trading at the time or, alternatively, tell me when you did your trade? This is the first step, before we get to a discussion of the rationale for the trade.

I believe that much of what you are asking is clear from the options chain you read when I described the trade that happened and the trade that didn't happen.

To summarize, although an end-of-day display, it still contains:
Underlying Instrument: NDX
The series description: JAN1 11 (2) 100 (Weeklies)

I added the time of the trade and the leg prices for the trade a few posts ago.

What am I missing?

 

[scose-no-doubt]

09.59:34 - You probably get better nasdaq feed than me so I'll leave that to y'all.

Traded
Short 2200 1.43 7 Jan 11 14.42% PoT
Long 2175 0.63 7 Jan 11 2.90% PoT (irrelevant?)

Not Traded
Long 2300 7 jan 11 - 0/0.80 @ time per TOS dashboard 17.49% PoT
Short 2325 7 Jan 11 - 0/0.35 @ time per TOS dashboard 04.11% PoT

 

[HowardCohodas]

09.59:34 - You probably get better nasdaq feed than me so I'll leave that to y'all.

Traded
Short 2200 1.43 7 Jan 11 14.42% PoT
Long 2175 0.63 7 Jan 11 2.90% PoT (irrelevant?)

Not Traded
Long 2300 7 jan 11 - 0/0.80 @ time per TOS dashboard 17.49% PoT
Short 2325 7 Jan 11 - 0/0.35 @ time per TOS dashboard 04.11% PoT

Very, very, very small quibble. The ToS options chain display is not the same as Howard's Dashboard. And it does not have the function as a dashboard in the sense that I use it.

 

[Martinghoul]

09.59:34 - You probably get better nasdaq feed than me so I'll leave that to y'all.

Traded
Short 2200 1.43 7 Jan 11 14.42% PoT
Long 2175 0.63 7 Jan 11 2.90% PoT (irrelevant?)

Not Traded
Long 2300 7 jan 11 - 0/0.80 @ time per TOS dashboard 17.49% PoT
Short 2325 7 Jan 11 - 0/0.35 @ time per TOS dashboard 04.11% PoT

Sweet, thank you muchly... Now we can all discuss meaningfully, given it's all exceedingly clear.

 

[scose-no-doubt]

so what now?

 

[HowardCohodas]

so what now?

As for me, I'll post the status of the trade after trading closes for today.

I think you and I may have rendered everyone speechless. 😆

 

[counter_violent]

I think you and I may have rendered everyone speechless. 😆

More likely they are off doing the calcs.:whistling

 

[HowardCohodas]

More likely they are off doing the calcs.:whistling

If it's taking this long, I'm going to have a lot of studying to do. 😎

 

[Martinghoul]

Sorry, been somewhat busy the first half of the day and then had my machine upgraded to Windows 7. Provided it works (which isn't certain at all), we can continue tom.

 

[HowardCohodas]

NDX JAN1 11 Vertical 2200/2175 PUT
2200 $.375
2175 $.025
Spread Value $.35
Sold @ .80
56% of potential profit
PoT 1%
If PoT remains <10% will let expire

NDX JAN1 11 Vertical 2300/2325 CALL
Short side came within PoT 10% - 15%
Placed sell at $.75 credit
Mark rose to $.80 without fill
Checked on PoT, near 30%, order cancelled

 

[scose-no-doubt]

While we're waiting for Martinghoul do you feel like addressing the DionysisToast stuff?
To be honest I'm still not sure about your performance metrics either and I just can't think of a way to reconcile your account gains from the information as presented.
Care to ave another bash at explaining and I may be able to translate and help bring down the flame level a bit.
A bit intrusive but would you consider banging up an account statement? It would settle it all and would really add to your credibility.

 

[HowardCohodas]

While we're waiting for Martinghoul do you feel like addressing the DionysisToast stuff?
To be honest I'm still not sure about your performance metrics either and I just can't think of a way to reconcile your account gains from the information as presented.
Care to ave another bash at explaining and I may be able to translate and help bring down the flame level a bit.
A bit intrusive but would you consider banging up an account statement? It would settle it all and would really add to your credibility.

I have frequently referred to my account as auditable with respect to the trading methods discussed in this thread. I do that for two reasons. Should I want to use my results in a marketing program, I can have my claims certified by a qualified auditor.

Second, should my claims be challenged, there is an account that can be audited. I have a standing offer which I've made in several venues, but perhaps not in this one. Anyone who wishes to challenge my credibility can put in escrow the money required to pay for an audit by an auditor acceptable to me and the challenger. I will place two times the amount in escrow. One half to pay for the auditor and the other half to go to a charity of the challenger's choice should my claims prove false. So far, no one has taken me up on my offer.

I will not show my statement in public for several reasons, the main one being I don't want to make public whether it is $10,000, $100,000, $1,000,000 or ... in size. I've already discussed the reasons that my account is irrelevant to this thread.

There may be some lingering confusion, but I believe that although I publish my dashboard, and my trading results, most have not done the required arithmetic.

Each spread has to be analyzed on it's own. Then each Iron Condor has to be examined at it's close. Then, I believe, the numbers will be a lot closer to "adding up." After all, I am truthfully reporting on the spreads, the Iron Condors and the account. I simple have not seen much effort put in to collecting all the information I've presented and making a competent case that they do not add up. One statement out of context does not a competent case make, no matter how many times it is repeated.

 

[MrGecko]

Howard Cohodas == Bernie Madoff v2.0

 

[MrGecko]

NDX JAN1 11 Vertical 2200/2175 PUT
2200 $.375
2175 $.025

These are MID prices, not Mkt prices.

 

[MrGecko]

For anyone in any doubt, Howard's Strategy, from scratch.

From a flat position:

1. Open up the option chain of one of the major indices
2. Look along the "Probability of Touching" for each Put option, and examine the first option (moving away from the money) where PoT =< 15% (call this option Strike 1)
3. Then examine the next strike away, and perform the following calculation:

IF
(OFFER of strike 1 PUT - BID of strike 2 PUT) >= (strike 1 - strike 2) * 5%

[that is, you can short the vertical spread for >= 5% of the difference between the strikes. Don't know how the exchange handles these, whether you can trade them in their own right etc]

THEN
Short strike 1, Buy Strike 2 for a net credit (leaving you short the vertical put spread)

ELSE
Do Nothing

Once this stage is completed, repeat the process for the Calls to leg into an IC.

++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++

Risk Management:

IF the PoT for any individual option that the portfolio is short reaches > 15%, exit the trade at market (Howard doesn't say whether to exit the Whole IC or just the vertical spread).

Trade Management:

IF, after an undefined period of time, spot has moved sufficiently in one direction such that the existing spread can be liquidated for 80% of it's maximum value and another set of strikes nearer the money satisfy the 15% & 3% rules, "roll" the spread by closing the "far" PoT vertical and replace it with the "near" PoT vertical.

++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++

EXIT STRATEGY:

Either close the trade once PoT >= 15% or let the spread expire worthless.

 

[HowardCohodas]

Howard Cohodas == Bernie Madoff v2.0

I give everyone the benefit of the doubt until they prove they do not deserve it.

Had you carefully read my posts you would know that I do not and will not take other people's money to trade. So this comment is not relevant.