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Space trip trade

Discussion in 'Options' started by status1, Jan 31, 2016.

  1. status1

    status1 Well-Known Member

    I watched the most recent presentation of Ron Bertino's Space trip trade
    It looks very interesting

    I was wondering if it could be scaled down somewhat somewhere under 10 k for a reg t account
    I am not sure if this meets the exact guidelines but I was looking at the spx apr expiration and sell 6 contracts of the 1575/1550 spread for $1 and then buy 3 contracts of the 1750/1725 that makes the delta -2.25 and the margin at $7845 and the t+0 line is above the 1750 strike
    It looks very close to the one in the video although the price at expiration is a little high at $345 So I thought I may sell 1 1775/1750 feb 5 against it to bring in a little premium that makes the margin at just over 10k at $10185 and the delta is at 0.01
    If the market doesn't drop below 1775 by Feb 5 weekly I could sell another put spread for march and maybe another one for April

    There are a lot of possibilities that this could be used for The only drawback is that I am not sure of is if I will get filled at the prices shown in TOS Usually the spreads are pretty wide in SPX especially that far out of the money
    I will give it a try in my paper trade account and see how it works out if I will actually get filled although it's probably easier to get filled in the paper trade account than in a live account
     
  2. GreenZone

    GreenZone Well-Known Member

    At the end of my presentation, I showed that if you have a RegT account, you can leverage futures options in order to take advantage of SPAN margin (which is even better than portfolio margin).
    Just us /ES options instead of SPX options.
    Everything else remains the same.
     
  3. Capt Hobbes

    Capt Hobbes Well-Known Member

    I'm wondering if anyone has experience trading /ES options, especially in fairly distant expirations and strikes, like this strategy calls for. Is it easy to get filled reasonably close to the mid?
     
  4. GreenZone

    GreenZone Well-Known Member

    Capt Hobbes, I've got a business trip this coming week, but after I get back I'm going to initiate some positions using futures options, including /ES.
    Check the main thread and/or the Skype chat group for updates.
     
  5. Capt Hobbes

    Capt Hobbes Well-Known Member

    Thanks, I'll try a small position in ES too next week, once I'm done with more tests. I did some backtests on SPX to see how a ratio trade would perform in the last sell-off and how closely it would follow the model; it's looking pretty good. I'll post a write-up on the main thread soon.
     
  6. Al G.

    Al G. Well-Known Member

    Ron do you enter/ES Ratio as a Back Ratio Spread or do you Leg in (1st Shorts & then Longs)?
    Thanks
     
  7. GreenZone

    GreenZone Well-Known Member

    I would suggest that you first try getting filled as a ratio spread (+2/-5).
    With my December position, I got filled as a ratio order.
    I think I had to wait a couple of hours for it to fill though.

    If that doesn't work, then you could potentially consider splitting the order such that you get your shorts filled first and then place the order for the longs, but this will have increased risk in two regards:
    1) after you get the shorts filled, you'll have a bullish position on, and therefore if price moves down hard then you'll start taking directional losses
    2) although your shorts may get filled at (or close to) the mid, there's no guarantee that you'll also get the mid price for the longs; so there's a chance that you may have to give up more than you were originally expecting in order to get filled on the long, which will then give your position a higher starting debit

    That said, with every single live condor order I've placed so far (15 of them), I've split the orders such that I first submit the put credit spreads and then once they are filled I submit the order for the put debit spreads. These orders all filled very quickly, and very close to the mid.
     
    Timo and Al G. like this.
  8. Capt Hobbes

    Capt Hobbes Well-Known Member

    Experience report on a fill in ES:

    As planned, I put on a small ratio in Jun ES today to test the waters, a single tranche of 2x 1625 / -5x 1400. TOS was showing 5.25 as the mid, and I used that as the limit (I trade in IB though). The trade was a single combo order. Interestingly, IB was showing the same quotes as TOS for the legs, but different for the combo, with a narrower bid/ask and a higher mid than in TOS Market Depth on the same spread. All bid/ask sizes were in the hundreds. The order sat there for about an hour then got filled at 5.25 (as SPX started moving higher at 11:30). After the fill, IB was showing 5.30 as the mid, which changed to 5.25 in about a minute, then after a few more minutes settled for a while at 5.20. TOS was showing 5.50, which later started wobbling between 5.00 and 5.50. $9.87 in commissions.
     
    Chetan, GreenZone and Timo like this.
  9. Mohit

    Mohit New Member

  10. Timo

    Timo Active Member

    Thanks for your info. May I ask what your margin requirements are for this trade?
     
  11. Capt Hobbes

    Capt Hobbes Well-Known Member

    $989 initial, $791 maintenance.
     
  12. Timo

    Timo Active Member

    Thanks
     
  13. GreenZone

    GreenZone Well-Known Member

  14. N N

    N N Well-Known Member

    Thought any "Space Trip" traders might find this interesting as well:
     
    Rich and RayM like this.
  15. Venrcew

    Venrcew Well-Known Member

    Watch Ron Bertino Space Trip Trade and decide to try out the trade randomly using spy
    Sold 10 crd spd for 1.9 and 5 debit spd for 3.05. The trade is debit 1.15
    The crd spd was roll after one mth. The orginal crd spd is close at 1.5 roll to new crd spd at 2.6
    The gain from roll is 0.4 insufficient to cover the trade debit amount of1.15.
    Is the trade gain loss accounting complete? Seems like a way out
     
  16. GreenZone

    GreenZone Well-Known Member

    Hi Venrcew

    There are nuances to learn when managing an STT.
    There are also nuances to learn in terms of managing your entire portfolio, rather than looking at one trade in isolation.

    I've been posting my live STTs for the past year in the Index Income Trading Skype group.
    Even though we've had a bullish environment, every live trade I've shown (shown live from start to finish) has made a profit of $1K or more.
     
  17. Venrcew

    Venrcew Well-Known Member

    Greenzone there are some accounting concepts to clarify. From the figures the total crd is 3 and total debit is 3.05 holding to expiration. BE on the crd and debit amount. Are there some accounting figures not accounted? Could not be BE and more over holding to expiration. Exiting prior would be debit due to closing the spd require some offset amount? Someone would clarify the accounting pls?
     
  18. GreenZone

    GreenZone Well-Known Member

    The starting debit for a Hedge STT is very small, compared to the hedging you end up getting once the profit hump builds up.
    Once the profit hump does build up, you have the option of selling an additional put credit spread in order to eliminate all of your upside risk, although you will be giving up part of the existing profit hump in order to do that.
    There are also nuances to learn in managing this trade.

    If you'd like an idea of what this could end up looking like, here are my current trades (as of today):

    Feb STT (expired today):
    https://www.screencast.com/t/ShIAaONUQM
    +$1205

    Mar STT:
    https://www.screencast.com/t/M9e2cnxn
    +$1487

    Apr STT:
    https://www.screencast.com/t/irkwHdDb6
    +$2475

    May STT:
    https://www.screencast.com/t/oZoNvi0vC
    +$900

    June STT:
    https://www.screencast.com/t/ojND16D8xq
    +$340

    Sep STT:
    https://www.screencast.com/t/Nu1g7fiE6
    +$3035

    Total overall Portfolio Margin (including Black Swan Hedge trades): $34.5K

    T+0 of the entire portfolio:
    https://www.screencast.com/t/1nWAh3uhd

    T+0 of the entire portfolio, with a simulated 15 point vol increase:
    https://www.screencast.com/t/OuaiqHUvuS

    Note that most of the above are newer variants of the STT trade though.
     
  19. William Smith

    William Smith Member

    Hi Ron,
    I thought I heard at one point you were going to do a webinar (trading Group 2 maybe?) and maybe a longer course. Is that still in the works? I watched the original many months ago, but had the feeling things have evolved. Just curious what the latest plan was?

    Bill
     
  20. Venrcew

    Venrcew Well-Known Member

    Do the figures you had posted for the various stt reflect expiration amount? Did try out a few trades using original stt you presented and mostly they are required to hold to expiration to get those figures. Exit prior to expiration require debits reducing the figures and at best be.
     

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