SPY Ratio Diagonal

[cwelsh]

There have been several questions regarding the auto-trading of this strategy.  To make things easier for everyone, I will make a post this weekend which contains:

 

1.  A summary of the strategy;

2.  Risks of the strategy;

3.  Returns since it was traded (in June);

4.  What your expected returns should be, and why or why not you might meet them;

5.  Thoughts on why this has worked so well for SPY and not for GLD.

 

If you have any specific questions, feel free to post them here, in that thread, PM me, or email me.

[cwelsh]

We will be rolling today, but with the bouncing market this morning, I'll probably be rolling after lunch.

[cwelsh]

Today is February 7, 2014 and I'm rolling the position (staying at the approximately 4:5 ratio)

 

SPY currently @ 178.84

 

BTC Feb 14 180.5 Put @  2.25

STO Feb 21 180 Put @    2.40

 

Net Credit of 0.15

 

If you think the market is about to bounce, you might want to sell the other 1:5 ratio further down (around the 170 strike).  Right now you can get a pretty good risk premium. 

 

If the markets do bounce, particularly early in the week, we'll need to roll up quickly.

 

If you think the markets are about to go down, I would reduce the ratio from a 4:5 to around a 3.5:5 or even maybe a 3:5.

 

Since I have no clue what they're doing, I'm sticking with the 4:5 ratio and will adjust up if the markets bounce up.

[cwelsh]

For those that had the 180 February 14 puts, I did the following

 

BTC Feb 14 180 Put @    1.96

STO Feb 21 180 Put @    2.40

 

Net Credit of 0.44

[cwelsh]

I just rolled up, as this is sensitive to moves up.

 

SPY currently @ 179.55

 

BTC Feb 21 180 Put @   1.94

STO Feb 21 181 Put @    2.45

 

Net Credit of 0.51

[cwelsh]

I just rolled up, as this is sensitive to moves up.

 

SPY currently @ 181.61

 

BTC Feb 21 181 Put @   1.10

STO Feb 21 182 Put @    1.50

 

Net Credit of 0.40

[brownrc]

There have been several questions regarding the auto-trading of this strategy.  To make things easier for everyone, I will make a post this weekend which contains:

 

1.  A summary of the strategy;

2.  Risks of the strategy;

3.  Returns since it was traded (in June);

4.  What your expected returns should be, and why or why not you might meet them;

5.  Thoughts on why this has worked so well for SPY and not for GLD.

 

If you have any specific questions, feel free to post them here, in that thread, PM me, or email me.

 

This summary will post here when ready, yes?

[cwelsh]

It will post in the general forum, and its typed, but being edited as we speak.

[cwelsh]

All future SPY ratio diagonal trades will be posted in the Anchor Forum:

 

http://steadyoptions.com/forum/topic/1822-spy-ratio-diagonals/

 

All discussions will be posted here:

 

http://steadyoptions.com/forum/topic/1821-spy-ratio-diagonals/

[brownrc]

It will post in the general forum, and its typed, but being edited as we speak.

Hi Chris,   I've not been able to locate this strategy summary in the general forum or elsewhere with a search.   Please provide the location if it has posted.    Thanks, Rob.

[QZW]

Hi Chris,   I've not been able to locate this strategy summary in the general forum or elsewhere with a search.   Please provide the location if it has posted.    Thanks, Rob.

Neither have I...