Thread: SPX Option Trading System

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  1. #1

    Default SPX Option Trading System

    I have developed an online calculator to assist with trading SPX credit spreads (Bull Put Spreads, Bear Call Spreads, Iron Condors).

    I have collected 10+ years of SPX daily and intra-day data in order to analyze how the SPX moves over any time period (1 day, 5 days, 30 days, etc.). The calculator allows you to input a time period such as Friday to Friday (5 days). It then will show you how much the SPX has moved over that time period. It calculates the historical % moves and applies those %'s to the current SPX to provide the ranges.

    What makes the calculator unique is I have made it so only time periods of similar volatility are extracted. I do this by using the VIX. If the VIX is currently at 13, I can have the calculator only extract the historical moves when the VIX was 15 or less (I use a slightly higher value for a cushion). This helps to greatly improve your ability to find SPX credit spreads with a balance of risk / reward.

    Using this system in 2014, I have done 45 trades of a week or less. The results are 4 losers / 41 winners with a YTD return of about 125%.
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    Here is a link to most of the trades I have done in 2014.$$.html
  3. #3


    I also have a version of the calculator I use that is linked to live data feeds from ThinkorSwim (ToS). It updates the SPX and VIX in real time along with premiums for the suggested spreads. It then calculates the potential max return for each trade along with the probability of success for that spread being pierced both intra-period and at the expiration date.

    Here is an example of how this spreadsheet looks.

    Note: I am not distributing this automated spreadsheet linked to ToS at this time as I have not found a way to protect it in order to keep my proprietary formulas from being copied / shared.

    I do use this when discussing with members on the chat-room and post live screen shots of it for members to use in their evaluating spreads.
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    It has really changed my trading life. I had been floundering with different strategies for the past 15 years. This is finally the strategy I have been looking for: formalized, rule based, clearly defined entry and exit rules, well diversified, and predictable. I hope to double my money annually and I can foresee equalling my annual work income in a few years. It really is powerful. Great job!"
  5. #5


    Today the SPX Sep 30th spread I put on last week expired worthless. Using the calculator I opened the SPX 1895-1915 / 2030-2050 Iron Condor last week (Monday, Sep 22nd). I received $0.80 credit and sold 300 contracts.

    300 *100 * $0.80 = $24,000 gain (minus commissions) for 1 week. This used $576,000 of buying power so the 1-week return was $24k / $576k = 4.1%

    I am now at a 134.5% YTD return with this strategy and have had 46 total trades. 4 losers / 42 winners.

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