SPX Weekly Credit Spreads (trend)

Trend-following SPX credit spreads on the Friday weekly expiry. From Monday to Thursday, 09:35-15:00 ET, a new 3-hour low (the last closed 3-minute SPX close at or below the lowest close of the previous 60 bars) sells a call 30 points above SPX and buys one 80 points above (a 50-point bear call spread); a new 3-hour high sells a put 30 points below and buys one 80 points below (a bull put spread). At most one spread is open per side. Each spread closes when its short option has lost 80% of its entry price, or when the opposite breakout fires. Everything closes at 15:50 ET on Friday (and any spread closes at 15:50 ET on its own expiry day), or if the strategy loses Approx. $1,500 per multiplier. Each weekday set uses the expiry that lands on Friday (Mon +4, Tue +3, Wed +2, Thu +1 daily expiries), so in a holiday week the spread expires on the next listed date instead. Times are US Eastern. Port of Tradetron's Weekly Credit Spreads. Capital per multiplier: $10,000, the Reg-T margin for one 50-point call spread and one 50-point put spread open at the same time ($5,000 each, the spread width; the credit received lowers it slightly). Capital is the margin only, with no extra cushion.

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