Watch HowardCohodas Trade Index Options Credit Spreads

[HowardCohodas]

So.. I'm still not seeing a valid strategy here. It's worth noting that the markets have been extremely accommodating since he started trading.. we'll need to see a bit of a shakeout to the downside to see how he handles a volatile market.

Regarding price, we have had a nice, but not dramatic variety; AUG down, SEP up, OCT up, NOV sideways, DEC slightly up. Regarding volatility, its been pretty quite throughout that same period when compared to MAY for example.

I will have to watch higher volatility periods very carefully. Instinctively, I perceive them as an area of significant concern. Especially since I have only paper traded during that period and not live traded.

 

[scose-no-doubt]

Howard, why have you started to mis-spell words like "lose" and "quiet"?

 

[meanreversion]

and " it's " for " its " , this error has occurred frequently ..

 

[HowardCohodas]

Howard, why have you started to mis-spell words like "lose" and "quiet"?

Thanks for the heads-up. Apparently a deterioration in performance of this poster. I'll have to pay better attention.

 

[HowardCohodas]

and " it's " for " its " , this error has occurred frequently ..

I think carelessness on my part. I usually know better.

It's nice to have "canaries in the mine" to warn me of posting performance problems.

 

[meanreversion]

I didn't think the spelling issues were relevant during the thick of the discussion back then, hence I didn't mention them. I had thought you're spelling was pretty good, but your now prone to the occassinoal laps.

 

[HowardCohodas]

I didn't think the spelling issues were relevant during the thick of the discussion back then, hence I didn't mention them. I had thought you're spelling was pretty good, but your now prone to the occassinoal laps.

Laps and lapses whether occassinoal or occasional.

 

[scose-no-doubt]

Where the hell is martinghoul with his damned maths?

 

[robster970]

S&P has been trending since the beginning of September with a November as a consolidation month. Vix has been sliding since the end of July where it was at 32 to 17.odd where it is now.

As you are trading 3 highly correlated indices (S&P, Nasdaq and Russell), I have a suspicion that you are making money whilst the sun shines with equity prices just rising due to POMO/QE/dollar devaluation/robo-trading/; Vix sub 30, nicely trending, strong correlation of indices.

In backtesting, how does your strat perform from May to Aug 2010 and say Jan 2008 to end of Feb 2010 where volatility shot up?

 

[meanreversion]

Remind me Howard, how do you trade these spreads? Do you leave a limit order with your broker for the spread (on the phone?) or do you sell and buy the respective options?

 

[HowardCohodas]

In backtesting, how does your strat perform from May to Aug 2010 and say Jan 2008 to end of Feb 2010 where volatility shot up?

My back-testing data set was pre-2010. 2008 and 2009 were in the data set and I don't recall any significant difficulty but I could have been careless because the data set was 5 years worth broken up into two sets with randomly selected segments covering expiration to expiration in each set. Two sets such that there was a data set to run my strategy against that it had never seen to avoid "curve fitting." Furthermore, my rules have changed somewhat. I go back to paper-trading but not to back-testing for small rule changes. It remains to be seen if this was a wise decision.

As I was typing my post where I mentioned May, it occurred to me that it would be worth while to paper-trade it manually do see how well my strategy holds up. Now that you mentioned it, I will make it a higher priority. It's now on my schedule for this weekend.

 

[HowardCohodas]

Remind me Howard, how do you trade these spreads? Do you leave a limit order with your broker for the spread (on the phone?) or do you sell and buy the respective options?

Spread orders are issued from my ToS desktop trading platform as limit orders. I never pay attention to the price of the legs. I rely on ToS to find combinations that meet my order. With multiple contracts, I have seen them do partial fills over several minutes time with differing leg prices, but the same or better credits.

I will generally ask for the upper limit of what I guess I can get. Depending on bid/ask spread, I am sometimes filled quite quickly, in spite of asking for more than the Mark. If an order lays around for 5 to 10 minutes (I don't time it, that's just a guess), I'll lower my limit. Kind of an auction process with me knowing what my lower limit is and having the discipline not to go below it.

 

[meanreversion]

Some more good ones for you, robster (I like the "show me the money" one)

http://www.gmpiv.com/humor/school-education/53-latin-for-the-masses.html

 

[HowardCohodas]

Some more good ones for you, robster (I like the "show me the money" one)

http://www.gmpiv.com/humor/school-education/53-latin-for-the-masses.html

Great find.

Two of my favorites:
Ex quocumque facere poteris te sauciabit, nihilo comprehenso.
Anything you can do can get you shot, including nothing.

Entia non sunt multiplicanda praeter necessitatem.
No more things should be presumed to exist than are absolutely necessary (Occam's razor).

And my favorite from the wonderful world of Yiddish curses:
“dee zolst vaksin vee a tzsibaleh mit dem kop in drayerd and di fees aroff.”
Loosely translated – “you should grow like an onion with your head in the ground and your feet in the air.”

 

[robster970]

Magister Mundi sum!

 

[meanreversion]

We should try some cod German as well, anyone remember this one -

"Wir wollen ein auto mieten!"

 

[robster970]

A German colleague/friend of mine called me this one day and told me, literally translated meant "Slipper Hero".

Pantoffelheld.

 

[meanreversion]

Best German word has to be Schadenfreude, so much easier than trying to explain in English.

Wie komme ich am besten zum bahnhof?
Ich habe eine grosse schwanz.

 

[scose-no-doubt]

What's the deal with you old geezers and Latin? I thought that was only for ponces in this day and age?!

 

[HowardCohodas]

Best German word has to be Schadenfreude, so much easier than trying to explain in English.

Wie komme ich am besten zum bahnhof?
Ich habe eine grosse schwanz.

Schadenfreude is a wonderful word.

grosse schwanz - Large tail? I don't get it.