Live Options Research Results

Discussion in 'Options' started by Quanto, Dec 5, 2023.

  1. Quanto

    Quanto

    Live Options Research Results

    Code:
    An Options Strategy (a standard one, but cannot disclose :-)
Realtime (ie. live) snapshots with results of what-if scenarios

Date = Today 2023-12-05-Tu
Expiration Date = 2023-12-15 (DTE = 10)

             Method 1                              Method 2
Time (EST)   Using Bid/Ask (immediate fill)        Using MidPrice (fill not guaranteed)
----------------------------------------------------------------------------------------
09:35:11     S0_PL=0.8700  (21.07 % m=78.86  %)    S0_PL=1.5700  (45.77 % m=214.66 %)
09:50:20     S0_PL=0.3200  (6.84  % m=22.28  %)    S0_PL=1.2950  (34.95 % m=148.87 %)
10:05:32     S0_PL=0.0900  (1.83  % m=5.68   %)    S0_PL=1.1400  (29.53 % m=119.70 %)
10:22:28     S0_PL=0.9500  (23.46 % m=89.83  %)    S0_PL=1.5000  (42.86 % m=195.91 %)
10:43:54     S0_PL=1.1300  (29.20 % m=117.98 %)    S0_PL=1.6300  (48.37 % m=232.02 %)
10:59:02     S0_PL=0.9900  (24.69 % m=95.65  %)    S0_PL=1.4900  (42.45 % m=193.35 %)
11:14:14     S0_PL=1.0900  (27.88 % m=111.27 %)    S0_PL=1.5900  (46.63 % m=220.31 %)
11:18:12     S0_PL=1.1400  (29.53 % m=119.70 %)    S0_PL=1.6400  (48.81 % m=235.03 %)
11:41:06     S0_PL=1.0050  (25.16 % m=97.89  %)    S0_PL=1.5050  (43.06 % m=197.20 %)
11:56:16     S0_PL=0.7850  (18.62 % m=68.12  %)    S0_PL=1.4350  (40.25 % m=179.80 %)
12:07:38     S0_PL=0.6800  (15.74 % m=55.99  %)    S0_PL=1.4050  (39.08 % m=172.76 %)
12:22:51     S0_PL=1.0600  (26.90 % m=106.41 %)    S0_PL=1.5600  (45.35 % m=211.89 %)
12:38:03     S0_PL=1.0800  (27.55 % m=109.63 %)    S0_PL=1.5550  (45.14 % m=210.52 %)
12:48:31     S0_PL=0.0550  (1.11  % m=3.42   %)    S0_PL=1.0050  (25.16 % m=97.89  %)
12:56:02     S0_PL=0.0700  (1.42  % m=4.38   %)    S0_PL=0.9450  (23.30 % m=89.12  %)
13:11:13     S0_PL=0.0900  (1.83  % m=5.68   %)    S0_PL=0.9650  (23.92 % m=91.98  %)
13:26:23     S0_PL=0.1800  (3.73  % m=11.80  %)    S0_PL=1.0550  (26.74 % m=105.62 %)
13:40:12     S0_PL=0.5200  (11.61 % m=39.66  %)    S0_PL=1.2950  (34.95 % m=148.87 %)
13:55:22     S0_PL=1.0000  (25.00 % m=97.14  %)    S0_PL=1.5000  (42.86 % m=195.91 %)
14:06:14     S0_PL=1.1000  (28.21 % m=112.92 %)    S0_PL=1.5500  (44.93 % m=209.15 %)
14:21:24     S0_PL=0.9150  (22.40 % m=84.92  %)    S0_PL=1.4150  (39.47 % m=175.08 %)
14:36:38     S0_PL=0.9350  (23.00 % m=87.70  %)    S0_PL=1.4350  (40.25 % m=179.80 %)
14:51:51     S0_PL=1.1200  (28.87 % m=116.27 %)    S0_PL=1.5700  (45.77 % m=214.66 %)
15:07:02     S0_PL=1.1700  (30.55 % m=124.98 %)    S0_PL=1.6200  (47.93 % m=229.04 %)
15:22:12     S0_PL=0.2650  (5.60  % m=18.01  %)    S0_PL=1.1150  (28.70 % m=115.43 %)
15:37:21     S0_PL=0.7000  (16.28 % m=58.21  %)    S0_PL=1.3500  (36.99 % m=160.45 %)
15:51:12     S0_PL=0.9500  (23.46 % m=89.83  %)    S0_PL=1.3500  (36.99 % m=160.45 %)

SO_PL: PnL at expiration if underlying stock price stays the same like at entry
       (FYI: volatility does not play any role at expiration)
m:     the corresponding monthly PnL% (ie. PnL extrapolated from DTE=10 to DTE=365/12)
    Studying these data reveals that intraday timing is very important, just watch the results...

    .
     
    Last edited: Dec 5, 2023
    #1     Dec 5, 2023
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  2. Overnight

    Overnight

    Fail.
     
    #2     Dec 5, 2023
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  3. Quanto

    Quanto

    Just explain what you think is "fail".
    As stated, "m" just means the monthly PnL%.
     
    Last edited: Dec 5, 2023
    #3     Dec 5, 2023
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  4. Quanto

    Quanto

    It's a CC using just 1 contract (same K) of the same 1 ticker only. Ticker is secret :)
    These indeed very interesting high variations in expected PnL come from the intraday price changes (changes in Bid/Ask of stock price and of the used option strike).

    Of course from the above data it's possible to calc the investment ($):
    Investment_per_contract = S0_PL / PLpct * 100 * 100
     
    Last edited: Dec 5, 2023
    #4     Dec 5, 2023
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  5. Overnight

    Overnight

    What "I think is "fail"" as you put it is that whenever there is a rider on a PnL statement, it means that the results are in a perfect world scenario and looks great on paper (simulation), and is hypothetical.

    Ergo, your rider is claiming that the modeling will work across all tenors if all things remain equal. But all things are not equal in the real world.
     
    #5     Dec 5, 2023
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  6. Quanto

    Quanto

    Of course the above results are conditional for Sx >= S0. But if Sx is higher, than even some more profit is possible, up to MaxPL at Sx >= K.
    Conversely, if Sx is lower than S0 then of course the PL will be less, can even go into the loss area, but there is a long way of Sx delta of about -50% till the BEP; only after that it enters the loss area...
    There is no free-lunch, nothing there w/o any risk.
     
    #6     Dec 5, 2023
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  7. Quanto

    Quanto

    Last edited: Dec 6, 2023
    #7     Dec 6, 2023
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  8. traider

    traider

    why is it live? Is it trading live?
     
    #8     Dec 6, 2023
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  9. Quanto

    Quanto

    Live just means that it uses realtime data and the result is immediately available, so that a trade can be made immediately. And yes, I've made some of these trades as well.
     
    #9     Dec 6, 2023
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  10. taowave

    taowave

    #10     Dec 6, 2023
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