sure you will be long 70 delta instead of 40 delta. Less protection, but more profit when markets go up..
your stocks are delta 100, so if you dont close them at delta 50 your profit is going down if the market is going up any further. If you roll them...
Maybe you can sell 2 calls of delta 30 (Month) against 100 stock. Roll them to the next month when they become 100 delta together.
Done with https://www.textfixer.com/tools/add-line-breaks.php
Study says retail investors are the losers from anomaly that costs more than $3. 8 billion By Rob Mannix The fresh analysis, which builds on work...
with your example (a delta 8 is more premium) the stoplosses for both side would be 105 dollar. Also the premium on both sides should be sort of...
See first page images..
In my backtest i use the high price of the options, so if they get tagged the are also tagged in my backtest..
I receive about 200 dollar to open, only close txs on stoploss otherwise they expire worthless
I'm happy to waste 1 hour a day for an on average 400 dollar result :-)
or write some software to do this for you :-)
Statistics (without tx costs) with 8/3 delta. Slippage 10 cent on the stoplosses. Note that back then you could not trade 0DTE every day.. On...
Please read the original strategy, it uses automatic stoploss orders...
Gamma to high with bigger deltas, stoplosses hit 9 out of 10 times.. Also bigger chance of hitting double stoploss..
Backtest adjusted to 20/10 delta. Hitrate much lower..
Slippage (i use 10 cent in my backtest) and skipping (not tested) will probably be more with higher deltas...
I can adjust the backtest for you, written delta on 25 delta? Bought on 20?
I get your point. By using an IC you can exactly determine your max loss (2% of net liq). With naked you had a hard time e.g. in aug 2015 (flash...
Real data, 15 minutes. In the backtest i use the high value every 15 minutes for the stoploss. Source of data: CBOE datashop
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