tag:blogger.com,1999:blog-5375291312433129989.post6265853000563053398..comments2023-06-03T05:06:58.216-04:00Comments on The Lazy Trader: Adjusting Credit Put spreads on a Panic day (August 24, 2015)Henrikhttp://www.blogger.com/profile/05792195649092816606noreply@blogger.comBlogger8125tag:blogger.com,1999:blog-5375291312433129989.post-73994235129474628692015-08-30T19:11:37.612-04:002015-08-30T19:11:37.612-04:00Hi Tony,
Yes it was very hard to get filled as liq...Hi Tony,<br />Yes it was very hard to get filled as liquidity dried up. Bid-Ask differential widened a lot especially during morning hours, things started to normalize later in the day.<br />Most of us had to fight the whole day and be really patient. Basically all the trades you saw here took a while to get filled. Nothing got filled immediately. I supposed Asian markets were worse.<br />LTThe Lazy Traderhttps://www.blogger.com/profile/08598866019359750526noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-57570876496276019502015-08-29T20:54:06.152-04:002015-08-29T20:54:06.152-04:00Hi LT,
I was facing the same Panic day in Asia, i...Hi LT,<br /><br />I was facing the same Panic day in Asia, in particular KOSPI 200 Index Option in Korea Exchange. The biggest problem I had was the big bid/ask spread on this Panic day. There is no way I can ever get filled anywhere near mid price. The only way to fill (buy/sell) is to buy/sell at the bid/ask.<br /><br />Did you see an unusual big spread (bid/ask spread) in your SPX or RUT Iron Condor or Credit Spread? Was it possible to get filled around mid price? What was the typical bid/ask spread on such a panic day?Tonyhttps://www.blogger.com/profile/10829262996768456738noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-23065133645829693032015-08-26T07:51:52.049-04:002015-08-26T07:51:52.049-04:00Nothing special my friend. Just liquidity. I was f...Nothing special my friend. Just liquidity. I was finding it impossible to get filled on 5 point wide spreads so I had to go to the most liquid strikes.<br />LTThe Lazy Traderhttps://www.blogger.com/profile/08598866019359750526noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-6885170133872490622015-08-25T23:38:01.155-04:002015-08-25T23:38:01.155-04:00Hi LT,
I forgot to ask you why did you decided to...Hi LT,<br /><br />I forgot to ask you why did you decided to sell a 25-wide spread instead of your usual 10-wide or 5-wide spreads?<br /><br />Jonathanhttps://www.blogger.com/profile/14635010979050643513noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-14828503840824846492015-08-25T08:01:23.309-04:002015-08-25T08:01:23.309-04:00Yeap, I agree with that number. It is what my trac...Yeap, I agree with that number. It is what my track record reflects after 4 years. It also makes sense. If we open positions with 90% probability of success, we won't win 9 out of 10 times simply because we are willing to close for a loss once they reach 30% probability of in the money. Which means that the true probability of success for our plays is 100 - 30 = 70%. Then, given the fact that implied volatility is typically exaggerated we should expect to make a little better than 70%. So 80% sounds about right.<br />LTThe Lazy Traderhttps://www.blogger.com/profile/08598866019359750526noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-90881242199392476242015-08-25T00:10:23.799-04:002015-08-25T00:10:23.799-04:00That sounds about right. I have made 33 individual...That sounds about right. I have made 33 individual trades this year and have 7 small losers. Keeping losses small will allow me to trade another day. Jonathanhttps://www.blogger.com/profile/14635010979050643513noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-5690886904377347732015-08-24T21:52:46.163-04:002015-08-24T21:52:46.163-04:00I agree with you. This was an event that happens ...I agree with you. This was an event that happens once every 3-7 years and is to be expected. VIX hit 54 which is the highest since the 2008 meltdown, I am trading a similar style and have a 6% drawdown as well so you have company :) <br />I did estimate that 20% of positions should be losers so this is within the estimated loss ratio. The only question now is how far the slide will go? I decided to stay out till I see how bad Asia getsAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-78864359686084599932015-08-24T17:12:34.264-04:002015-08-24T17:12:34.264-04:00I had to close out some losing positions today too...I had to close out some losing positions today too. I have yet to deploy a lot of new cps positions yet to replace the ones that I closed. Probably will do it over the next few weeks. I am in no rush as volatility can be here for a while.<br />Jonathanhttps://www.blogger.com/profile/14635010979050643513noreply@blogger.com