10 weeks - 100 trades

Discussion in 'Options' started by optisum, Apr 19, 2013.

  1. optisum

    optisum

    I used to post my trades on the thread 'Weekly options experiment'. Method that I tried there was too directional - to win on a trade I would have to get direction and vol right. Since then I rebuild my model and now I can simply scan for statistically profitable trades. I will post 10 trades every week. In 10 weeks we will see if it's profitable or not.

    [Note: trades will take place on a demo account at TradeMonster]
     
  2. optisum

    optisum

    Trades:
    AAPL: Sell 3x 395 Call, Buy 3x 415 Call, Sell 2x 395 Put, Buy 2x 415 Put
    BAC: Buy 20x 11 Call, Sell 20x 11.5 Call, Buy 30x 11 Put
    BIDU: Sell 10x 92.5 Call, Buy 15x 95 Call
    C: Buy 20x 46.5 Call, Sell 30x 46 Put, Buy 30x 46.5 Put
    CLF: Buy 6x 16 Call, Sell 6x 18 Call, Buy 9x 16 Put, Sell 9x 17.5 Put
    F: Buy 30x 14 Call, Sell 20x 13.5 Put, Buy 20x 14 Put
    GOOG: Sell 2x 805 Call, Sell 1x 810 Call, Buy 6x 815 Call
    IBM: Sell 5x 190 Call, Buy 15x 200 Call
    NDX: Sell 2x 2800 Call, Buy 3x 2825 Call
    SPX: Sell 20x 156 Call, Buy 30x 157 Call

    I want high probability trades, somehow my program finds ratio spreads.
     
  3. What expiration?
     
  4. optisum

    optisum

    All next week.

    Here is my risk profile, greeks and so on:
     
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  5. Could you post your entry prices?
     
  6. optisum

    optisum

    Sure, which ones?
     
  7. BAC and F .
     
  8. Also do you have graphs showing your return vs the price of the underlying? I can't figure wether you a rooting for a up or down movement.
     
  9. optisum

    optisum

    BAC and F entries are shown on screen:
     
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  10. optisum

    optisum

    bac profit vs underlying:
     
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    #10     Apr 20, 2013