re: Options Trading Thread

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?

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.

Looka PayPal this morning. Dammit

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.

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.

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.

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.

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.

Jag_Warrior@Yahoo.com

Thanks.