best length for selling a weekly option?

Could you sell one call at a delta of 30, and buy it back when delta becomes 50.

 

You are welcome. But a real programming language is required for this. I'm not sure about the language available in Excel. Some 20 years ago or so there was VBA (Visual Basic for Applications) in Excel, but I'm not sure if it's still in Excel (as I use a different product). Maybe others can tell more about it.
But this requires an experienced programmer, since a little bit advanced/complicated stuff.

 

Hmm. when I simulate this situation then it gives for a ShortCall a big loss (see below).
I tested DTE=30 and Delta=0.3 at entry, and DTE=25 and Delta=0.5 at exit.
Or do you mean a different setup?

Code:

find_IV_for_Delta fCall=1 Delta=0.300 S=100.0000 K=110.00 DTE=30.00 IVstart=10.00 IVend=9999.00 IVstep=1.00 rPct=0.00 qPct=0.00
fFound=1 cSteps=47 IV=56.00 DeltaX=0.304
C=2.864602   rawC=2.864602   Delta=0.303841   Vega=0.100252   Gamma=0.021781   Theta=-0.093568  Rho=0.022619 
P=12.864602  rawC=12.864602  Delta=-0.696159  Vega=0.100252   Gamma=0.021781   Theta=-0.093568  Rho=-0.067792 

find_IV_for_Delta fCall=1 Delta=0.500 S=100.0000 K=110.00 DTE=25.00 IVstart=10.00 IVend=9999.00 IVstep=1.00 rPct=0.00 qPct=0.00
fFound=1 cSteps=158 IV=167.00 DeltaX=0.500
C=13.586230  rawC=13.586230  Delta=0.500183   Vega=0.104408   Gamma=0.009128   Theta=-0.348723  Rho=0.024953 
P=23.586230  rawC=23.586230  Delta=-0.499817  Vega=0.104408   Gamma=0.009128   Theta=-0.348723  Rho=-0.050389 

 

A week.

 

And what is the result? Why should one do that? I don't see any logic in this.

 

Are you sure you will get an extra 1.5% selling DOTM CC?

Yes, according to studies, ~80% of options expire worthless, so probably > 95% of DOTM will expire worthless.

https://realmoney.thestreet.com/stocks/options-expiration-day-reminds-us-time-really-is-money-16118647#:~:text=Options contain two components, intrinsic,market closes on expiration day.

Most retails write CC & CSP, if 80-95% expire worthless, most retails must make money? Yet 90% of retail option players lose money:

https://www.linkedin.com/pulse/9-out-10-traders-lose-money-fos-nilesh-sharma#:~:text=The futures and options (F&O,understanding of how it works.

I hope you are the 1 in 10 exception, selling DOTM CC.

 

"There are three kinds of lies: lies, damned lies, and statistics"

 

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 the new delta will be much lower and you profit again when markets go up. If they go down you have some protection...

 

sure you will be long 70 delta instead of 40 delta. Less protection, but more profit when markets go up..