HomeTrading strategiesVast, flat SPX Diagonal Unfold - SteadyOptions Buying and selling Weblog

Vast, flat SPX Diagonal Unfold – SteadyOptions Buying and selling Weblog

I all the time needed to have a mechanism that scans the marketplace for particular SPX diagonals and alerts me each time discover it. That’s the reason I’ve developed an alert algorithm within the scanner in order that I do not need to manually scan for fascinating setups all day, however it can alert me.

Let’s see what sort of diagonals I like for SPX.

  • Ticker: “SPX” as a result of I’m in search of SPX diagonals;).
  • Possibility: “put” means I’m wanting just for put diagonal spreads.
  • Worth: “0 – 500” means I’m solely excited by spreads which have a debit between 0 and 500 {dollars}. I’m solely in search of debit diagonals as a result of credit score ones would have completely different directional bets.
  • DTE: “0 – 30”, I’m in search of those with max 30 days to expiration.
  • Entrance delta: “20 – 45” defines the delta distance for the entrance leg of the unfold. This makes it near the cash, however not ATM the place the web delta can be optimistic and I’m in search of destructive delta.
  • Delta: “-100 – 0” is the web delta of the place. On this scan, I’m solely in search of a destructive internet delta configuration as a result of then if the market begins to fall, I’m instantly creating wealth on the unfold. This diagonal is accumulating internet destructive delta as days go by by way of the impact of attraction Greek.
  • Expiration diff: “3”, means I’m in search of diagonals the place there are 3 days in between the expiration dates. That is sometimes Friday/Monday expiration. You can even seek for varied expiration variations.
  • Skew: “-100 – 0”, that is essentially the most essential a part of this setup, the horizontal IV skew. This setting states that I’m in search of destructive skew, which suggests the entrance leg has a better IV than the again leg.
  • Strike diff: “5” is the interval between the lengthy and brief strikes of the diagonal. If I wish to have the scanner search for all of the variations, I might set it to 0. However for this setup, 5 is one of the best strike distinction.
  • Sort: “bull”, there are two forms of diagonals for places and calls. Bull diagonals and bear diagonals. On this setup this can be a bull put diagonal which signifies that the lengthy put has a better strike than the brief put, therefore it’s extra of a variety buying and selling setup.
  • R/R: “500 – 1000” means I’m in search of diagonals which have a reward-to-risk ratio of at the least 500%. The R/R relies on the max potential loss vs. the max potential revenue of the diagonal.
  • C/W: “10 – 100”, stands for the proportion of credit score/width I get for shorting the embedded vertical that’s discovered within the diagonal unfold. Each diagonal has an embedded vertical unfold and with this setting, I’m ensuring that it’s price promoting that embedded vertical. So if I’m in search of a min. of 10% C/W which means after I brief the vertical I get at the least 10% of the width of the vertical in credit score.
  • Vary: “0 – 100” defines how large the breakeven vary in share must be in a calendar unfold. I left it on default.
  • Min. quantity: “1” is in search of legs which have at the least a quantity of 1 on the present day. With this, you possibly can filter out those who have very low quantity, therefore wider bid/ask spreads.

As you possibly can see within the picture above, I’ve solely discovered one SPX put diagonal which had 600% R/R potential and a reasonably flat configuration. Let’s undergo what the columns imply.

  • Watch: with these icons you possibly can add a variety to your watchlist, analyze the chance graph or copy the commerce to thinkorswim format.
  • Ticker: nothing to elucidate right here:)
  • Exp: the back and front month expiration of the diagonal unfold.
  • Diff: the day distinction between the legs’ expiration dates.
  • DTE: what number of days are till expiration within the entrance / again leg.
  • Int: the strike distinction between the legs.
  • Strike: the discovered strikes of the diagonal unfold.
  • Decide: possibility is both name or put.
  • Tg%: goal %, how far the strike is in share transfer from the present inventory worth.
  • TgΔ: the goal delta of the unfold which is the entrance delta on this case.
  • Worth: debit of the unfold.
  • Revenue: the theoretical max. revenue you may make on the particular calendar unfold.
  • Threat: the chance of the commerce, on this case, the debit paid.
  • R/R: reward to threat in share.
  • C/W: share credit score/width of the embedded vertical.
  • Skew: the horizontal IV skew of the legs. Destructive means it’s backwardated that’s the entrance leg has a better IV than the again month.
  • Vary: what’s the worth vary in share between the breakeven factors of the unfold (how large is).
  • Delta: internet delta of the unfold.
  • Gamma: internet gamma of the unfold. Theta: internet theta of the unfold.
  • Vega: internet Vega of the unfold.

Threat graph of the place

Right here is the chance graph of that one diagonal above.


You’ll be able to inform from the chance graph that this configuration is fairly large and flat by way of internet delta. It makes cash with time and path. Since I really like these diagonals, I’ve created a scan template for it and clicking on the alert button, I’ll get notified each time this setup comes round in the course of the day. That is fairly uncommon, so I won’t get an alert on daily basis, however in a excessive IV surroundings, it’s extra widespread.

Diagonal scanner information

For a extra detailed rationalization of methods to use the diagonal unfold scanner please watch the next video.

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For those who join NinjaSpread till 11.30.2022, you get 30 day free trial as an alternative of 14 day and 20% low cost. Coupon code: SO10 

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