Attached are two charts with calculated credit spread values for an 1140/1150 SPX bull put and an 1130/1140 bull put. Both charts assume 10 days...
Coach: I know that you typically use 10 to 15 points (distance between short strike and SPX price) as a trigger to consider adjusting. In...
Okay, here's some more: A) For the 61 periods that the SPX was higher at the end of the period than at the beginning, here are approximate...
Okay, here's some more results from the data. These results I would venture to say are 'hard' in the sense that they are not subject to any bias...
Understood, Coach. That's why I used the word 'plan'. I always thought your plan was to hold to expiration unless market forces dictate that...
No, I wasn't aware of that. Thanks for bringing that up. I should mention that my initial comments on the graphing that I did are all...
Coach, I suspect that you are right, if for no other reason than there are a lot of people who make a living at this game. If we could...
I look forward to some discussion on this and am willing to work some more on it if additional data is needed and of use. Thanks.
Got filled today on the following: SPX Nov 1100/1110 bull put spread at $0.70
Well, I had hoped that the significant amount of time I put into creating that spreadsheet, which includes the average, median and SD for the SPX...
See my prior post on 10/20/05 on page 225 where I posted a spreadsheet with the average (and mean) VIX for the past 9 to 10 years for the SPX....
Andy: How are you calculating the SD. Can you give a concrete example based on the current SPX price of about 1180. Thanks.
There doesn't seem to be any premium around that range. So.... what about December? I know you generally look at 45 days or less to...
When you say 1265, I assume you mean the short strike?
Does everyone else have the SET at 1194.46?? That's about 16 to 17 points above the close yesterday? If I have the right number, so much for...
Coach: So what's you're current thinking on bear call spreads. I tried to get a Nov 1255/1265 filled today, with no luck.
Okay. I took the historical VIX and put it across every line that shows the percent change in the SPX from expiration to expiration from 1995...
Andy, The last one I did was on July 15th for the OEX. I closed it out from the airport by calling in the order to buy back the Jul 585 Call...
Andy: I often have that concern too (esp. after the June 2005 expiration) and have always been able to buy the short strike back for $0.05 on...
OX cancelled my order because there is no b/a on the 1120. They are calling down to the pit to request that the process get started (I'm vague...
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