use the July. very few

    SPY system could go back long today

    Posted by pep8261 on 23rd of May 2019 at 02:58 pm

    use the July. very few spy trades last long enough (or rather are in drawdown long enough)  to justify the added risk premium.

    thanks.  If one did Aug

    Posted by matt on 23rd of May 2019 at 03:09 pm

    thanks.  If one did Aug I would go a lower delta maybe 85 or something.  Now if one was doing SPX options, which I do in the fund, they have weekly options which make it easy, I just do July 31st.  Those options trade for $370 though, too rich for most of you guys used to spending  a few hundred to a few thousand for an option vs $37,000 for one

    avg hold time for that

    Posted by matt on 23rd of May 2019 at 03:12 pm

    avg hold time for that trade is 16 days

    however there are a handful of trades that last around 2 months: for example 10/9/14 - 12/11/14,   11/3/16 - 12/30/16,  12/28/12 - 2/22/13

    2/4/10 - 4/29/10 is the longest at near 3 months

    Summer can be slow -

    Posted by skyhansen on 23rd of May 2019 at 03:13 pm

    Summer can be slow - might extend the trade?



    yeah the option I guess

    Posted by matt on 23rd of May 2019 at 03:17 pm

    yeah the option I guess would be if the trade looked like it was going to turn into one of those trending ones, exit the option and immediately enter a new one.  I will know if that condition occurs, it generally occurs when the trade is held long enough via the momentum indicator that a 34 Stochastic hold condition kicks in over 80% and then holds the trade until the 34 Stochastic falls below 80%. Anyway for something like that to kick in the market would need to bottom while in the trade and held and of course held long enough for the 34 Stochastic to get over 80% (would need quite a rally), I'll know when that is occurring so that we can act on it if we need to

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