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re: Options Trading Thread
Posted on 11/30/22 at 6:58 pm to DTRooster
Posted on 11/30/22 at 6:58 pm to DTRooster
Basically I sold some SPX short call verticals priced at $9.30 per contract while they were at the 15 delta. Then the market went absolutely insane and the price soared to $34.90 per contract and the delta stands at the 44 delta based on after hours SPX futures pricing. Expiration is 12/9. If things don’t settle back down, I’ll look to do some up (strike price) and out (expiration date) rolls early next week.
As for the SPX 11/30 short call vertical contracts (short calls at 4060) that I had to rush to close just before the market went bonkers… the visual goes something like this: I was standing on the sidewalk with my hands in my pockets, just minding my own business, waiting for the 4:00 bus to peacefully stop and pick me up. Well… darn thing came around the corner like an F1 car, jumped up on the sidewalk and did its best to run me over! Came within inches of crushing me!
Had to chase one series to close the trade out at $1.65 per contract (ended up closing at $18.85) and closed out a different series at 2.90 (it closed at 18.83). Both series were trading for pennies around 2:30. Still profitable trades, but that was a shocking mega rally!!!
As for the SPX 11/30 short call vertical contracts (short calls at 4060) that I had to rush to close just before the market went bonkers… the visual goes something like this: I was standing on the sidewalk with my hands in my pockets, just minding my own business, waiting for the 4:00 bus to peacefully stop and pick me up. Well… darn thing came around the corner like an F1 car, jumped up on the sidewalk and did its best to run me over! Came within inches of crushing me!
Had to chase one series to close the trade out at $1.65 per contract (ended up closing at $18.85) and closed out a different series at 2.90 (it closed at 18.83). Both series were trading for pennies around 2:30. Still profitable trades, but that was a shocking mega rally!!!
This post was edited on 11/30/22 at 7:31 pm
2
Posted on 11/30/22 at 9:09 pm to Jag_Warrior
That made my head hurt, lol. I just want PayPal to take a dump for a little while tomorrow. I’ll have the laptop on the boat with some alerts set so I can eject
Posted on 11/30/22 at 10:24 pm to DTRooster
Tell me about it. It almost made my butt hurt.
You’ve got long puts on PYPL expiring 12/2? What strike are you targeting?
You’ve got long puts on PYPL expiring 12/2? What strike are you targeting?
Posted on 12/1/22 at 7:49 am to Jag_Warrior
78s, most of that 800 is probably toast.
Posted on 12/1/22 at 3:19 pm to DTRooster
Mix up with my earnings calendar so I missed the ZS earnings announcement today. Would have sold a basket of 114 puts (right at 15 delta) expiring 12/2 at about $1/contract. Expected move of roughly +/-$20 off the close at 144.50. Currently trading down at 128.75.
May have missed out on a $1000 one day trade… or the “opportunity” to add a busted tech stock to my back bedroom.
May have missed out on a $1000 one day trade… or the “opportunity” to add a busted tech stock to my back bedroom.
Posted on 12/1/22 at 6:09 pm to Jag_Warrior
They let me out without to much pain, it’s on lock and not moving off 78.50 until Putin bombs London. Makes sense once I really looked at the open interest for tomorrow. 3days, 2 trades and I lost 400 when was up 800, twice, and didn’t take it
Posted on 12/2/22 at 8:41 am to Jag_Warrior
Looka PayPal this morning. Dammit
Posted on 12/2/22 at 11:35 am to DTRooster
Ouch! Those would have printed for you. Hard to hold a 0 DTE long option, I know. Well, I’m sharing some disappointment with you. ZS traded down to 128 - well above the 114 puts I would have sold. “Easy” $1000 floats away. :(
Posted on 12/2/22 at 2:08 pm to Jag_Warrior
Following Brobocop's idea, I got a Option Omega backtesting account and a Tastyworks account.
Have done the Iron condors the past two weeks but about breakeven there as they got busted 2 times this week. Not a huge fan of the risk/reward ratio there.
On the Option Omega forum, there is a user that combines three 0DTE iron condors with one double calendar spread (selling 1 DTE options and buying 2 DTE options), and these trades are only done on Mondays and Wednesdays. Backtested since the S&P started doing daily options earlier in 2022, this strategy has a ~90% win rate and the average winner has a higher $ amount ($853) than the average loser $ amount ($540) (compared to iron condors where the average loser is likely 3-4X higher than your average winner). He has a stop loss in place where if a $5 profit target is reached, the trade closes out if the P&L drops below $2.5. You exit the double calendar positions when the iron condor closes out, so every time the trade is opened and closed in the same day.
Very interesting strategy, as the iron condors profit on low volatility while the double calendar P&L maxes out profitability at the option strikes.
Probably tough to execute in real life though as it's an 8 legged trade. I don't think it's the kind of trade where you can just put it on in the morning and forget about it.
Have done the Iron condors the past two weeks but about breakeven there as they got busted 2 times this week. Not a huge fan of the risk/reward ratio there.
On the Option Omega forum, there is a user that combines three 0DTE iron condors with one double calendar spread (selling 1 DTE options and buying 2 DTE options), and these trades are only done on Mondays and Wednesdays. Backtested since the S&P started doing daily options earlier in 2022, this strategy has a ~90% win rate and the average winner has a higher $ amount ($853) than the average loser $ amount ($540) (compared to iron condors where the average loser is likely 3-4X higher than your average winner). He has a stop loss in place where if a $5 profit target is reached, the trade closes out if the P&L drops below $2.5. You exit the double calendar positions when the iron condor closes out, so every time the trade is opened and closed in the same day.
Very interesting strategy, as the iron condors profit on low volatility while the double calendar P&L maxes out profitability at the option strikes.
Probably tough to execute in real life though as it's an 8 legged trade. I don't think it's the kind of trade where you can just put it on in the morning and forget about it.
This post was edited on 12/2/22 at 2:16 pm
Posted on 12/3/22 at 11:56 am to DeSantis_2024
quote:
Probably tough to execute in real life though as it's an 8 legged trade.
Yeah, that one’s got a lot of moving parts. Interesting strategy though. I’m staying busy enough right now with short dated synthetic strangles on SPX and the remaining earnings plays.
Posted on 12/3/22 at 1:08 pm to Jag_Warrior
I found some more discussion on it, and you don't enter into it as an 8 legged trade. You enter into the iron condor first (in the first minute or two of trading), then the double calendars about 2-3 minutes into the trading day when the liquidity starts to get better.
The problem is with the backtesting you use a $5/share stop loss on it, but that stop loss is on the entire position. I'm just not sure if it's even possible to put a stop loss on a trade like that, or if you'd have to do a stop loss on the iron condor and the double calendars separately. But there could be a situation where the iron condor is at a gain and the double calendar at a loss, so stand alone stop losses probably won't replicate what the combined stop loss is supposed to do.
In any event, I did some more tinkering with the delta on the double calendars and the iron condor:double calendar position ratio and got the win ratio up to 96.4% on the backtesting software, crazy. I just don't know how translatable that backtesting is into real life though, especially on a complex trade like this.
The problem is with the backtesting you use a $5/share stop loss on it, but that stop loss is on the entire position. I'm just not sure if it's even possible to put a stop loss on a trade like that, or if you'd have to do a stop loss on the iron condor and the double calendars separately. But there could be a situation where the iron condor is at a gain and the double calendar at a loss, so stand alone stop losses probably won't replicate what the combined stop loss is supposed to do.
In any event, I did some more tinkering with the delta on the double calendars and the iron condor:double calendar position ratio and got the win ratio up to 96.4% on the backtesting software, crazy. I just don't know how translatable that backtesting is into real life though, especially on a complex trade like this.
Posted on 12/6/22 at 5:45 pm to DeSantis_2024
Days like today and yesterday are why I stopped trading 0DTE SPX short options when I can’t be in front of my screens all day. The gamma risk was just too much for me to deal with in a fast moving market. My style is based more on the deltas and they don’t work so well with that short a timeframe.
But for those who have the time to monitor and the intestinal fortitude, I tip my hat to you if you’re making it work. Once I fully retire next year and I can devote more time to active trading, I may revisit this trading strategy… on both the long and short side.
But for those who have the time to monitor and the intestinal fortitude, I tip my hat to you if you’re making it work. Once I fully retire next year and I can devote more time to active trading, I may revisit this trading strategy… on both the long and short side.
Posted on 12/7/22 at 7:28 am to DeSantis_2024
quote:
Following Brobocop's idea
I’m hoping that he’ll come back to the thread and give us a rundown on how he handled the Monday and Tuesday market action. I was able to follow things yesterday more than Monday. And it was a fairly steady and consistent move downward throughout the day.
Just wondering when he decided to put on his synthetic strangles… or if he did.
Posted on 12/8/22 at 8:54 am to Jag_Warrior
Checking in gang!
Yeah, when VIX contracts low near the teens like it has in the first part of Dec, it becomes more difficult to capture premium, and get further out.
I was unable to trade Monday due to travel, but I played Tues, and it was a ~$445 Loss.
I've posted my trade log since Nov 3. The strategy was +$1,477 in the month of Nov, and is -$182 through 3 trading days in Dec.
This is trading 1 Lot. >17% Return on Capital.
Yeah, when VIX contracts low near the teens like it has in the first part of Dec, it becomes more difficult to capture premium, and get further out.
I was unable to trade Monday due to travel, but I played Tues, and it was a ~$445 Loss.
I've posted my trade log since Nov 3. The strategy was +$1,477 in the month of Nov, and is -$182 through 3 trading days in Dec.
This is trading 1 Lot. >17% Return on Capital.
Posted on 12/8/22 at 9:14 am to Brobocop
Great work!
Posted on 12/8/22 at 9:31 am to Brobocop
Thanks Brobocop. Nice work.
I was listening to Josh Brown late last week and he made the point that whenever the VIX settles into the 20-sub 20 range, the market has consistently sold off shortly thereafter. So I skewed my short synthetic SPX strangles heavily to the call side. Lowest short calls were at 4100. Ol’ Josh was dead on! Like clockwork, the markets cratered on Monday and continued downward. All those trades turned bright green by yesterday.
Actually threw on a couple of 0DTE SPX short put verticals yesterday at 3915 based on some technicals. First time in a VERY long time that I’ve done that. But it worked out well enough. Requires watching closely though.
With the recent daily volatility, I wouldn’t be unhappy with the slight P&L loss you’ve had so far. That’s not bad at all for that type of short dated strategy.
I was listening to Josh Brown late last week and he made the point that whenever the VIX settles into the 20-sub 20 range, the market has consistently sold off shortly thereafter. So I skewed my short synthetic SPX strangles heavily to the call side. Lowest short calls were at 4100. Ol’ Josh was dead on! Like clockwork, the markets cratered on Monday and continued downward. All those trades turned bright green by yesterday.
Actually threw on a couple of 0DTE SPX short put verticals yesterday at 3915 based on some technicals. First time in a VERY long time that I’ve done that. But it worked out well enough. Requires watching closely though.
With the recent daily volatility, I wouldn’t be unhappy with the slight P&L loss you’ve had so far. That’s not bad at all for that type of short dated strategy.
Posted on 12/8/22 at 10:31 am to Jag_Warrior
Jag- What is your email, I'll send you my spreadsheet I have started for Trade Machine trades I take.
Posted on 12/8/22 at 11:21 am to Brobocop
One interesting trend with this trade, according to the backtesting on Option Omega, is that on Thursdays this trade (0dte 5 delta iron condors) has worked 100% of the time. Curious if that's just a fluke or if there's some intuition behind why that would be the case. Usually Wednesdays are Fed meetings, Fridays have high volatility especially on opex days, etc.
So a better strategy might be to trade 5x the contracts on Thursday and not trade on the other days of the week.
So a better strategy might be to trade 5x the contracts on Thursday and not trade on the other days of the week.
This post was edited on 12/8/22 at 11:25 am
Posted on 12/8/22 at 1:33 pm to DeSantis_2024
quote:
on Thursdays this trade (0dte 5 delta iron condors) has worked 100% of the time.
Interesting. Well, today was another winner!
Posted on 12/8/22 at 3:35 pm to LSUtoOmaha
Jag_Warrior@Yahoo.com
Thanks.
Thanks.
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