John Locke M3 SPX

Discussion in 'General Discussion' started by kgbist, Jan 19, 2018.

  1. kgbist

    kgbist Member

    Hi friends,

    I was wondering if anyone is doing the M3 or the other locke strategies in the SPX?
    For how long and how successfully it works with SPX. On one webinar he said that you can do it with the same strikes as the RUT rules...
  2. Kevin Lee

    Kevin Lee Well-Known Member

    M3 can definitely be done with SPX. The issue in the past year was that SPX moved straight up without much of a pause whereas RUT has more two way actions. So last year, you would have been better of trading RUT with M3 than SPX.

    SPX's IV was extremely low and the IV skew was steep. Therefore, the IV crush on the right leg was quite hard to manage. A BWB structure would have been easier to manage for SPX last year. But again, that's not an issue with SPX per se but rather how it moved relative to RUT.


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    kgbist, Lifeson, daniel and 1 other person like this.
  3. kgbist

    kgbist Member

    Thank Kevin..
    What about other years? any do back tests on locke strategies using SPX?

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