Options math 101 - Net returns from an unexercised put

Discussion in 'Options' started by tonyf, Jul 23, 2020.

  1. tonyf

    tonyf

    AND we are in the clear that @ffs1001 's calculation of 50,147+45,589 is erroneous? J
     
    #21     Jul 24, 2020
  2. xandman

    xandman

    50,147 gets earmarked at the start of the trade. 45,589 is the low watermark when it starts subtracting money from your cash balance to "top it up".

    Don't ask me to do your ROE math. I was a math major and I sucked.
     
    #22     Jul 24, 2020
  3. tonyf

    tonyf

    LOL. Thanks for trying :).
    Why is this stuff so murky?
     
    #23     Jul 24, 2020
  4. xandman

    xandman

    Well, let's shake things up some more. You may have noticed that the price of your option doesn't move on a dollar per dollar basis to the underlying. That you have only have partial participation in the move. This gives us the option greek Delta which measures that participation or exposure.

    So, you can have a more precise calculation of return on delta-adjusted exposure (made up term). Much like return on equity.... in spirit.

    Say you have a delta of .35 on your option. We come up with an exposure of .35 x 160,000 = $56,000 delta dollars. prem/56,000 =xx%.
     
    #24     Jul 24, 2020
    ironchef likes this.
  5. tonyf

    tonyf

    Interesting. I have always discounted option price move between sale price (when selling puts) and exercise date. I see them as binary events - they are either exercised or not. I have so far never had any of my puts exercised...they always expire worthless.
     
    #25     Jul 24, 2020
  6. xandman

    xandman

    That discipline is commendable. I think the jury is still out whether holding to expiration is optimal. But, it may be optimal for your trading style or strategy.

    In this case, I would emphasize you take a global view once more in that earlier example of 160,000/1.6 million = 10% exposure because it will normalize all your holdings and make risk/returns comparable. But, do manage margin levels overall.
     
    #26     Jul 24, 2020
  7. tonyf

    tonyf

    Why is the jury out? Why pay commission twice if they are expiring worthless?
     
    #27     Jul 24, 2020
  8. tonyf

    tonyf

    I am not more disciplined than the vast majority of people that leave overnight GTC limit orders.
    Selling puts with a view to own at a lower price is just another way of doing so.
    I am guessing that this is the concept many are finding challenging: I do not trade options but only sell puts to get paid while waiting.
     
    #28     Jul 24, 2020
  9. xandman

    xandman

    Your exposure is always changing. Read up on Option Greeks. Hard at first. Give it time to percolate from a few weeks to a few months.

    You put on a position with real money. We are investor/trader/speculators. All of those labels with no moral judgement attached.
     
    #29     Jul 24, 2020
  10. guru

    guru


    Guys, sorry I don’t speak your lingo, but I’m always willing to learn so I’m googling, but the only related info I found is a website selling a newsletter on how to make 48% annually selling naked puts! :)
    Isn’t it creative accounting to claim that you’d make your investors 48% return just by switching ROI for ROE?

    Though I also found more financial-type discussion here:
    https://money.stackexchange.com/que...return-ror-when-buying-and-selling-put-option

    For the written put, even though your broker may only require 30% collateral in a margin account, mentally treat them as cash-secured. Strike less premium is your true CaR. If the stock goes to zero by expiration, that's what you're on the hook for. You could just compute based on the 30% collateral required, but in my view that confuses cash/collateral needs with true risk.
     
    #30     Jul 24, 2020