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Both spreads are debit spreads. Ron is using credit spreads. I think the mentioned delta numbers are wrong, f.e. for Jan 29th, a delta around 1.5 is a put with a strike less than 1400. A 1760 Put is around delta 11.
A example following Rons strategie would be:
Short 1x ES 1610 Put: 4.9 Delta
Long 2xES 1375 Put: 1.44 Delta
Changed a bit from yesterday but thanks to @satghost for noticing.
In TOS, the delta's that satghost posted are correct. I checked
Short 1x ES 1610 Put: 4.9 Delta
Long 2xES 1375 Put: 1.44 Delta
In TWS (screenshot attached), i am still seeing things differently - what am i doing wrong?
Right now (its 5 am EST)
Jan 29th, ES 1750 seems to have delta of 5.27 and
ES 1670 seems to have delta of 1.62
is it because market is not open?
would appreciate the help
thnx
J
What should the upper left hand corner need to be? See below on last trading day it says Jan29th
I can select only ES futures for either Dec 18 or March on the contract and then adjust the last trading day
But, the prices and numbers your picture is showing are for the Dec 18' 15 aka ESZ15.
The expiration of this future is DEC 18 '15 08:30 CST.
I do not think, the ESZ15 (or an option for this underlying) will be traded after the DEC 18 '15 expiration.
The last trading day for this future can not be Jan 29th 2016.
If you want to sell a Option for Jan 29th, than the underlying is the ESH6 Mar 18 '16 Future.
For the cftc.gov site and the COT (Commitments of Traders) does anyone have a source for a way of using the COT
in chart form. Can the information be downloaded to a spread sheet and used conveniently, or is there a third
party that supplies the information in graphical form?
Probably each person has different ways of viewing risk. Since the sell off in August I have required initially for positions that the ratio of (Vega/Theta) be <= 2.0 with some exceptions. This reduces the DTE to
40 - 45 days. This is at variance with previous positions, but some positions with large DTE have a (Vega/Theta) of
30 or more. To me this ratio implies a very high sell off risk.
I get this data from the platform of Floyd Upperman, who sells these data in a graphical form. Many things can also be downloaded to a spread sheet. Good quality data, but not for free.
