Hi, my name is Magane from Montreal Canada and I am the new girl around options strategies.... By the way, excuse my English since I am French speaking ! I have been studying options for a while and I've been backtesting 3 years of Bull Put Spread on index mostly RUT, SPX and some other stocks like AMZN & EDU to gain some ''experience''. I just started to do it in real money since last month and I was wondering if this could be a platform where I could share my trades and maybe get some advise if things go south (or before !) ? Anyway, please let me know if I am out of bond here with this post.
Here are my latest trades: Bull Put Spread RUT Aug 17 1305 1300 for a premium of 0.20$ X 51 contracts Expired Profit: $1020.00 Bull Put Spread AMZN Sept 17 880 875 for a premium of 0.28$ X 105 contracts Delta: 7% Possible profit: 2,940$ Possible lost if exercised:$49,560 Bull Put Spread EDU Sept 17 65 60 for a premium of 0.24$ X 50 contracts Delta: 7% Possible profit: 1,200$ Possible lost if exercised:$23,800 Maximum 20% of my portfolio is in this kind of strategy. Your constructive feedback would be greatly appreciated.
An associate uses similar strategy on ES options futures market. Better margin rates and no assignment. Far otm and 4-5 months expiry.
I know you are not likely to take the max loss, but just an 8-9% quick down move in AMZN, for example, will incur approx $20,000 in losses. All for a $2940 possible gain. Can you win 10 times for every loss? Maybe. But here is a run of monthly AMZN moves since about 2000: Third Friday to third Friday changes (at Close) for AMZN Start 19991015 Price: 75.06 19991119, 77.94, %Chg: 2.71 19991217, 94.06, %Chg: 20.68 20000121, 62.06, %Chg: -34.02 20000218, 64.75, %Chg: 4.33 20000317, 64.81, %Chg: 0.09 20000420, 52.38, %Chg: -19.18 20000519, 52.63, %Chg: 0.48 20000616, 46.00, %Chg: -12.60 20000721, 41.12, %Chg: -10.61 20000818, 39.00, %Chg: -5.16 20000915, 43.63, %Chg: 11.87 20001020, 30.81, %Chg: -29.38 20001117, 27.44, %Chg: -10.94 20001215, 22.88, %Chg: -16.62 20010119, 19.94, %Chg: -12.85 20010216, 13.69, %Chg: -31.34 20010316, 11.00, %Chg: -19.65 20010420, 15.78, %Chg: 43.45 20010518, 14.72, %Chg: -6.72 20010615, 12.49, %Chg: -15.15 20010720, 16.98, %Chg: 35.95 20010817, 9.99, %Chg: -41.17 20010921, 7.48, %Chg: -25.13 20011019, 8.01, %Chg: 7.09 20011116, 8.95, %Chg: 11.74 20011221, 10.00, %Chg: 11.73 20020118, 10.16, %Chg: 1.60 20020215, 13.41, %Chg: 31.99 20020315, 14.03, %Chg: 4.62 20020419, 14.53, %Chg: 3.56 20020517, 19.16, %Chg: 31.87 20020621, 17.53, %Chg: -8.51 20020719, 15.29, %Chg: -12.78 20020816, 14.90, %Chg: -2.55 20020920, 15.86, %Chg: 6.44 20021018, 19.04, %Chg: 20.05 20021115, 22.21, %Chg: 16.65 20021220, 21.93, %Chg: -1.26 20030117, 21.40, %Chg: -2.42 20030221, 21.78, %Chg: 1.78 20030321, 27.93, %Chg: 28.24 20030417, 24.99, %Chg: -10.53 20030516, 33.05, %Chg: 32.25 20030620, 35.04, %Chg: 6.02 20030718, 34.98, %Chg: -0.17 20030815, 40.10, %Chg: 14.64 20030919, 47.58, %Chg: 18.65 20031017, 59.69, %Chg: 25.45 20031121, 48.58, %Chg: -18.61 20031219, 49.24, %Chg: 1.36 20040116, 55.72, %Chg: 13.16 20040220, 45.17, %Chg: -18.93 20040319, 42.80, %Chg: -5.25 20040416, 45.50, %Chg: 6.31 20040521, 41.17, %Chg: -9.52 20040618, 49.60, %Chg: 20.48 20040716, 47.10, %Chg: -5.04 20040820, 39.51, %Chg: -16.11 20040917, 42.96, %Chg: 8.73 20041015, 38.55, %Chg: -10.27 20041119, 38.55, %Chg: 0.00 20041217, 40.01, %Chg: 3.79 20050121, 41.16, %Chg: 2.87 20050218, 35.31, %Chg: -14.21 20050318, 34.16, %Chg: -3.26 20050415, 33.02, %Chg: -3.34 20050520, 35.50, %Chg: 7.51 20050617, 35.31, %Chg: -0.54 20050715, 37.15, %Chg: 5.21 20050819, 43.72, %Chg: 17.69 20050916, 42.80, %Chg: -2.10 20051021, 45.95, %Chg: 7.36 20051118, 47.98, %Chg: 4.42 20051216, 49.21, %Chg: 2.56 20060120, 43.92, %Chg: -10.75 20060217, 39.19, %Chg: -10.77 20060317, 35.99, %Chg: -8.17 20060421, 36.03, %Chg: 0.11 20060519, 33.94, %Chg: -5.80 20060616, 35.09, %Chg: 3.39 20060721, 33.19, %Chg: -5.41 20060818, 29.12, %Chg: -12.26 20060915, 32.52, %Chg: 11.68 20061020, 32.57, %Chg: 0.15 20061117, 42.55, %Chg: 30.64 20061215, 40.01, %Chg: -5.97 20070119, 37.02, %Chg: -7.47 20070216, 40.33, %Chg: 8.94 20070316, 37.85, %Chg: -6.15 20070420, 44.95, %Chg: 18.76 20070518, 63.30, %Chg: 40.82 20070615, 72.40, %Chg: 14.38 20070720, 71.63, %Chg: -1.06 20070817, 75.02, %Chg: 4.73 20070921, 91.30, %Chg: 21.70 20071019, 89.76, %Chg: -1.69 20071116, 78.60, %Chg: -12.43 20071221, 91.26, %Chg: 16.11 20080118, 79.76, %Chg: -12.60 20080215, 72.96, %Chg: -8.53 20080320, 73.19, %Chg: 0.32 20080418, 80.10, %Chg: 9.44 20080516, 76.46, %Chg: -4.54 20080620, 81.10, %Chg: 6.07 20080718, 69.12, %Chg: -14.77 20080815, 86.40, %Chg: 25.00 20080919, 81.00, %Chg: -6.25 20081017, 50.65, %Chg: -37.47 20081121, 37.87, %Chg: -25.23 20081219, 51.56, %Chg: 36.15 20090116, 51.59, %Chg: 0.06 20090220, 63.86, %Chg: 23.78 20090320, 69.96, %Chg: 9.55 20090417, 78.05, %Chg: 11.56 20090515, 73.60, %Chg: -5.70 20090619, 82.96, %Chg: 12.72 20090717, 85.85, %Chg: 3.48 20090821, 85.00, %Chg: -0.99 20090918, 90.28, %Chg: 6.21 20091016, 95.32, %Chg: 5.58 20091120, 129.66, %Chg: 36.03 20091218, 128.48, %Chg: -0.91 20100115, 127.14, %Chg: -1.04 20100219, 117.52, %Chg: -7.57 20100319, 130.35, %Chg: 10.92 20100416, 142.17, %Chg: 9.07 20100521, 122.72, %Chg: -13.68 20100618, 125.83, %Chg: 2.53 20100716, 118.49, %Chg: -5.83 20100820, 127.76, %Chg: 7.82 20100917, 148.33, %Chg: 16.10 20101015, 164.64, %Chg: 11.00 20101119, 164.82, %Chg: 0.11 20101217, 177.58, %Chg: 7.74 20110121, 177.42, %Chg: -0.09 20110218, 186.50, %Chg: 5.12 20110318, 161.82, %Chg: -13.23 20110415, 180.01, %Chg: 11.24 20110520, 198.65, %Chg: 10.35 20110617, 186.37, %Chg: -6.18 20110715, 212.87, %Chg: 14.22 20110819, 178.93, %Chg: -15.94 20110916, 239.30, %Chg: 33.74 20111021, 234.78, %Chg: -1.89 20111118, 197.14, %Chg: -16.03 20111216, 181.26, %Chg: -8.06 20120120, 190.93, %Chg: 5.33 20120217, 182.50, %Chg: -4.42 20120316, 185.05, %Chg: 1.40 20120420, 189.98, %Chg: 2.66 20120518, 213.85, %Chg: 12.56 20120615, 218.35, %Chg: 2.10 20120720, 228.29, %Chg: 4.55 20120817, 241.17, %Chg: 5.64 20120921, 257.47, %Chg: 6.76 20121019, 240.00, %Chg: -6.79 20121116, 225.23, %Chg: -6.15 20121221, 256.92, %Chg: 14.07 20130118, 272.12, %Chg: 5.92 20130215, 265.09, %Chg: -2.58 20130315, 261.82, %Chg: -1.23 20130419, 260.32, %Chg: -0.57 20130517, 269.90, %Chg: 3.68 20130621, 273.36, %Chg: 1.28 20130719, 305.23, %Chg: 11.66 20130816, 284.82, %Chg: -6.69 20130920, 316.34, %Chg: 11.07 20131018, 328.93, %Chg: 3.98 20131115, 369.17, %Chg: 12.23 20131220, 402.20, %Chg: 8.95 20140117, 399.61, %Chg: -0.64 20140221, 346.76, %Chg: -13.23 20140321, 360.62, %Chg: 4.00 20140417, 324.91, %Chg: -9.90 20140516, 297.70, %Chg: -8.37 20140620, 324.20, %Chg: 8.90 20140718, 358.66, %Chg: 10.63 20140815, 333.63, %Chg: -6.98 20140919, 331.32, %Chg: -0.69 20141017, 303.64, %Chg: -8.35 20141121, 332.57, %Chg: 9.53 20141219, 299.90, %Chg: -9.82 20150116, 290.74, %Chg: -3.05 20150220, 383.66, %Chg: 31.96 20150320, 378.49, %Chg: -1.35 20150417, 375.56, %Chg: -0.77 20150515, 426.00, %Chg: 13.43 20150619, 434.92, %Chg: 2.09 20150717, 483.01, %Chg: 11.06 20150821, 494.47, %Chg: 2.37 20150918, 540.26, %Chg: 9.26 20151016, 570.76, %Chg: 5.65 20151120, 668.45, %Chg: 17.12 20151218, 664.14, %Chg: -0.64 20160115, 570.18, %Chg: -14.15 20160219, 534.90, %Chg: -6.19 20160318, 552.08, %Chg: 3.21 20160415, 625.89, %Chg: 13.37 20160520, 702.80, %Chg: 12.29 20160617, 706.39, %Chg: 0.51 20160715, 735.44, %Chg: 4.11 20160819, 757.31, %Chg: 2.97 20160916, 778.52, %Chg: 2.80 20161021, 818.99, %Chg: 5.20 20161118, 760.16, %Chg: -7.18 20161216, 757.77, %Chg: -0.31 20170120, 808.33, %Chg: 6.67 20170217, 845.07, %Chg: 4.55 20170317, 852.31, %Chg: 0.86 20170421, 898.53, %Chg: 5.42 20170519, 959.84, %Chg: 6.82 20170616, 987.71, %Chg: 2.90 20170721, 1,025.67, %Chg: 3.84 20170818, 958.47, %Chg: -6.55 TOTAL MONTHS = 214 DOWN MONTHS = 91 UP MONTHS = 123 %UP MONTHS = %57.47 AVG %UP MONTH = %10.63 %DOWN MONTHS = %42.52 AVG %DOWN MONTH = %-9.41 DROPS >= -8% = 43
Thank you Option_Attack for those numbers. Since I was 10,75% out of the money when I did the trade I should be ok for the - 9,41% in 57% of the time.....or maybe not. Time will tell be with that information on hands, I don't think I would has choose that strike. Can you tell me where I can get those numbers ?
Tradelux: let's put it this way, I have no intention to get exercice on that trade. So if needed, I will reverse the trade and take less lost or use some other strategies out.
I used Wealth-Lab and EOD data from TC2000, but you should be able to do it with many other backtesting programs and data sources.
Yeah it is just a data run from a script I did many years ago. I was looking at the underlying price moves at, what used to be, the standard monthly expiration day for stocks. It was an attempt to answer the question "what could happen if I did spreads like Iron Condors every month at X% out of the money?"