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Trading the S&P 500 and other US indices

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wayneL

wayneL

VIVA LA LIBERTAD, CARAJO!
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I notice a bit of interest in trading the US indices on this forum. Looks like we deserve our own thread now.

FYI here is the links to the tradeable US indicies contract specifications (the mini contracts are the best to trade because they are fully electronic)

The SP500
http://www.cme.com/clearing/clr/spec/contract_specifications_cl.html?product=ES

The Nasdaq
http://www.cme.com/clearing/clr/spec/contract_specifications_cl.html?product=NQ

The Russell2000
http://www.cme.com/clearing/clr/spec/contract_specifications_cl.html?product=ER

The Dow
http://www.cbot.com/cbot/pub/cont_detail/0,3206,1560+14425,00.html
 
I reckon the SP500 has touched the bottom of the pool for this leg down

Look at the chart, you see two attempts to push it below yesterdays low, only to be quickly pushed back up (this makes me a little suspicious as to who is responsible for this buying)

Looking for a B wave up, then further downage.

Actually a strong run up will suit me as I have a lottery ticket in the form of a few hundred WTFOTM calls (left over from a spread). So call me bullish for a few days :D
 

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Punching through 1270 now. Keeping some long delta here and I'm off to bed.

:goodnight
 
Hi Wayne i noticed you mentioned in the other thread that each tick represents .25 or $12.50.


With CFD's its long and short (up and down) what your trading is it futures over options? i.e calls and puts? obviously the same things just different names? With options you pay a premium with buying yet with futures its 1 tick (0.25) per spread?

thanks.

P.S i notice S&P 500 doesnt have big swings throughout the day so i was wondering when you trade, do you scalp for points or look for the 4-5 point swings?


Adrian
 
Hi wayne, you said last night that you don't normally trade outside of regular market hours, do you take any of the pre/post market trading into account when you calculate pivot points? Judging by your posted chart I'm guessing you don't. If I'm right could you fill me in on why?

I've been looking at using pivots for daytrading for when I make the move into futures and I gotta say I can see why you like them :)
 
Ageo said:
With CFD's its long and short (up and down) what your trading is it futures over options? i.e calls and puts? obviously the same things just different names? With options you pay a premium with buying yet with futures its 1 tick (0.25) per spread?
Click to expand...

I sytematically sell premium over the indexes every month, and I have a thread somewhere on the logic behind that. At the moment I am long a bit of delta, but may add or subtract delta as I see fit, using either futures or options, again depending on what I'm thinking. I prefer being delta neutral, but once again it depends where I see the next move. (and frankly I have no idea at the moment... I've been waiting for the dip buyers to show up, but they're suddenly very shy :p: )

But am always short theta on the indexes... not always S&P though.

Ageo said:
P.S i notice S&P 500 doesnt have big swings throughout the day so i was wondering when you trade, do you scalp for points or look for the 4-5 point swings?
Click to expand...

In addition I look for intraday swings/trends 4-10 pts that I will let develop into a multiday swinger if I like how its going.

The S&P DOES swing as much as the others in % terms. I like this particular index for swing trades because it conforms to pivot analysis more truly than the other indexes. May try some scalps on the ER2 if I have nothing else to do... thats not every day though.

professor_frink said:
Hi wayne, you said last night that you don't normally trade outside of regular market hours, do you take any of the pre/post market trading into account when you calculate pivot points? Judging by your posted chart I'm guessing you don't. If I'm right could you fill me in on why?
Click to expand...

It rarely makes any difference on the US indexes, and there are different views on this, as well as different calcs. I just find using the day session only works best for me. On currency futures, I use 24 hour calcs.

I've been looking at using pivots for daytrading for when I make the move into futures and I gotta say I can see why you like them
Click to expand...

In a normal orderly market, they work like freeakin' magic! In a news or event driven market, or a market thats really on the move, forget about them, go for the trend IMO. They are very useful all the same.

Cheers
 
to Wayne L,

do you write option over index with AUS/or US broker?

as I have found brokerage rates for S&P500 options here in AUS to be extremely high and as such put me off (with fuures broker).

i think they wanted $25.00 per option contract

i believe the stradegy of selling option at strike 1300 then buying at strike 1350 and collecting difference in premium quite interesting,

guess risk is 50 x $250 for the S&P500?

thankyou
robots
 
Hey guys,

How do you see writing covered calls on SPI? So simultaneously long an SPI contract, short a not-so-out-of-the-money call?

The idea would be to place your stop at (usual place - premium earned by buying call back at the stop value).

What are your thoughts on options on SPI in general?

Thanks,

chromatic.
 
Answers in blue

robots said:
to Wayne L,

do you write option over index with AUS/or US broker?

as I have found brokerage rates for S&P500 options here in AUS to be extremely high and as such put me off (with fuures broker).

i think they wanted $25.00 per option contract

I pay ~$2 per futures option contract and < $1 per stock option contract.

http://www.interactivebrokers.com/en/accounts/fees/commissionFutures-FOPs.php?ib_entity=llc

i believe the stradegy of selling option at strike 1300 then buying at strike 1350 and collecting difference in premium quite interesting,

Yes under certain circumstances, certainly. But there is much more you can do, apart from, or in addition to vertical spreads.

guess risk is 50 x $250 for the S&P500?

less the net credit you recieve, yes ... but you don't have to trade the big contract. The minis have options as well, which is a $50 multiplier

Cheers

thankyou
robots
Click to expand...
 
chromatic said:
Hey guys,

How do you see writing covered calls on SPI? So simultaneously long an SPI contract, short a not-so-out-of-the-money call?

The idea would be to place your stop at (usual place - premium earned by buying call back at the stop value).

What are your thoughts on options on SPI in general?

Thanks,

chromatic.
Click to expand...

Hey chromatic,

My opinion of writing covered calls on the SPI is no different to writing CCs on stock.

If you are initiating the strategy from scratch, it makes no sense, particularly with futures. You may as well just write the put and cost yourself less brokerage and margin.

If you already own the future, and want to hold it for some reason and collect some premium, then fine.

Cheers
 
Thanks for answer Wayne, good call (pun intended) on the brokerage and margin.

Okay, so I take it you generally hold net long/short futures positions and options on futures aren't used a great deal?

Cheers,

chromatic.
 
Freddo said:
Wayne that thread is very interesting.

Can you recommend a book that I should read to work out what the heck
you are talking about?

I have an very very basic knowledge of options so some of the terminology is familar.

Cheers
Freddo
Click to expand...

Basic: Options by Guy Bower

intermediate: Options as a strategic investment by Lawrence McMillan

inter/advanced: Option Volatility & Pricing: Advanced Trading Strategies and Techniques by Sheldon Natenberg

advanced: Anything by Charles Cottle
 
chromatic said:
Thanks for answer Wayne, good call (pun intended) on the brokerage and margin.

Okay, so I take it you generally hold net long/short futures positions and options on futures aren't used a great deal?

Cheers,

chromatic.
Click to expand...

Hey chrome:

wayneL said:
I sytematically sell premium over the indexes every month....but may add or subtract delta as I see fit, using either futures or options, again depending on what I'm thinking. I prefer being delta neutral, but once again it depends where I see the next move.

But am always short theta on the indexes... not always S&P though.
Click to expand...

Cheers
 
chromatic said:
Off-topic but SPI is +44, SPM6 +7.4. Should be interesting tomorrow!
Click to expand...

Yes, looks like the dip buyers are showing up. :D
 
My dip buyers were certainly not all that enthusiastic. Market not wanting to bounce really. ZG & QM were far more interesting to trade for mine.

Back to delta neutral for now.
 
Oh man!

Was just about to knock off and hit the sack. I Set a contigency sell order to stop me in short @ 1266 which went off just as I was getting into my jammies

Looks like more downage on the way. Given up hope on my Lottery calls..

WOOOOHHOOOOO Bears kicking a$$
Making further adjustments as I typing this out down to 1255 now.

Cheers
 

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