Kinggyppo I´m long in cash CALLS. 5 contracts. NEVER got another dip to add more calls after the first delta adjustment. About a $1000 bucks worth. Left over from the previous week, in which I´m trying to find a way to adjust my way out of what turned into a STRANGLE. Got rid of the PUTS side okay. Was never able to use the Delta neutral thingy, to figure out how many more contracts I needed to add, so just skipped that part. I think my breakeven is around $1.87 in June Calls. Which is better than the $2.33 initiation amount a week ago. I got tired of taking losses. So held. The original calls, were okay, but never made enough as a direct buy, to cover bid-ask and commission, so I held them. Then market reversed and I went Long PUTS. This did the same thing on me. Started out earning money, but not enough to cover the bid ask, and commissions. Ended up therefore with a long STRANGLE, wide apart and the market has been gyrating in between the two. So adjusting, by trying my really first attempt at a delta neutral gamma scalp. It has so far, cleared my outstanding PUTS, but depends on what the market does. If it goes up I might breakeven? The thing is in the past, I would have simply ended up taking TWO lost trades. So my small capital such as it is, in cash trading is tied up with this trade. At the moment I am long 5 CALL CONTRACTS with breakeven at $1.87. I´m mentally prepared to add more CALLS if I get a lower price, even if I cannot figure how many contracts I need from this remaining one side Delta system. I´m within my cash parameters, but it is awfully close to ending the game. Since I´m learning all this new stuff. All the rest of it, I´m doing on paper. Got sheets of paper all over my desk. Can´t find anything when I want it.
I envy you. Generically, if you are the kind of person that can take a mid-day nap (i can not, too neurotic), you are best suited to trades that do not require active management. For example, set up a screen that will check on regular basis ratio of implied volatility to recent realized volatility - pick a few stocks you like from the top of that list (high iv/rv) to sell straddles and pick a few stocks that you hate from the bottom of the list (low iv/rv) to buy straddles. Set up some stops/limits to hedge your delta far enough from your strikes and let them be. You can keep adding indicators to the screens to smooth out the returns, but in the long run you should be ok even with the simple strategy i described.
Ok, will do. That's what I have been trading from July 2007 to early March 2012. The W/L ratio started at 75% but each year it has dropped roughly 1% to its current 70%. I suspect its performance will actually go up from here as the market becomes more neutral to trade (as opposed to the bullishly parabolic behavior from January 2012 to just recently). As an option trader in my 15th year, I have learned to hate parabolic market behavior (in either direction), because it completely throws off formula driven logic based systems. But eventually things return to neutral (normal) and life goes on. Jeff
So many earnings...so little earnings talk. Lots of goodies this week. Here's my uneducated guess for some reactions (as opposed to the report). Positive: HOG, EBAY, YUM, MSFT Neutral: IBM, INTC Negative: CMG, CREE, SNDK ???: YHOO, AXP, MA Alright FF, get your screenshots and big spam font ready. I sold 10 INTC APR 28 strangles and bought 10 MAY 28 strangle for $.80. I don't know what that trade is called but I know it's P&L so we'll see where it ends up wednesday after earnings, if I don't leg out sooner. Anyone else lining up any earnings trades this week? RYAN, COME BACK!
at109, Here is this evenings computer program output for trading tomorrow. Under System Outputs it lists Numbers 1 through 6. Each number represents a trading system that has been developed, tested and traded. Here is the number of years each system has been around and the reliability for each system in there individual life spans: System.......Lifespan.......Reliability ....1............15 years..........60% ....2............12 years..........75% (rarely has a trade signal) ....3............10 years..........62% ....4..............9 years..........65% ....5..............5 years..........70% ....6..............7.5 months.......not enough forward testing SPY Data: Date...Option.....Prev..Open..High..Low..Close 04-16 MAY138C..2.40..2.69...2.80..2.24..2.31 2012..MAY135P...2.25..1.88...2.40..1.78..2.24 [............................. SYSTEM OUTPUTS.......................................] 1: C0...P4: MAY135P B1=1.70 B2=1.35 2: 40-0-4 0-35-28: None 3: M28..M26 D2...R=1..S54: MAY135P B1=1.50 L25=1.25 4: C51-47-44=L1 P53-48-63=L4 P-3 (80%): MAY135P= 1.70 5: P6 P35 P24 PL3=DN PM25=L4 MAY135P B1=1.70 B2=1.30 6: C17 EM4 P46 EM28 R=2.7: None You can see systems 1, 3, 4, & 5 have outputs for puts. Systems 2 & 6 have no output. Systems 1, 4, & 5 all agree on B1 value. System 3 has B1 value lower. Jeff
Isrg has been a winner historically short iv going into earnings... I might do a biased butterfly tomorrow afternoon...
King gyppo Your query. 5 contracts 67 June Calls QQQ ILE That sounded interesting. I read it four times, to see if I understood it. Basically I should SELL long IV straddle and buy a short first month straddle. Something there doesn´t sound quiet right? In a straddle, I am selling the first month. Buying the second month. In the classical sense, the IV is low in the first month, and higher in the second month. At that point I got confused. Whoops! My error as I read myself. I´m thinking Calendar. Oh well! Let me start again. Standard straddle: Delta neutral, vega neutral. ( Jeeeez, I´m talking GREEKS like it´s natural. WOW! Atticus must be proud of me? Now that Straddle should be low or high IV ? Doesn´t matter I guess, so long as I put on another straddle with a different IV. Which must mean a different strike? What does that do over time, or price movement? I think the nuances here, are not so obvious? Sounds like a nice lazy way to trade though. _____________________________