Did you not also have to have 800k buying power for 10 calls, or did IB let you swing them with less? I thought the 800 puts at 3pm were priced very cheaply at <$2 , went as low as $1, before spiking to $7 when tsla took a dump late. More money in that kind of gamble with less hassle. And you're right, theres a lot of execution risk in your trade.
Hi @FSU. Just clarifying ... Once the underlying price moves in your favour, are you exercising the call option and shorting the stock at the same time (after hours), thereby ensuring you are closing your total position (and thereby not taking possession of the stock from the exercised call option) ?
I think what what FSU is doing, is buying the option, and then when the stock trades up high enough, selling the stock. If the stock stays above the strike price he will exercise the option to bring his position back the neutral. However, if the stock falls below the strike price, he will just buy the stock back at the cheaper price, thus closing out the position. Of course, if the stock trades back over the strike price he can repeat the whole process again until after hours trading has closed.
Is the general idea that you buy cheap options at/around the close and delta hedge them until the exec cutoff time (possibly at zero(ish) vol? Perfect retail trader strategy, if you ask me - severely capacity constrained and requires a human touch.
It's not the process of the delta hedging that requires a human touch here, it's the judgement to pick a stock that might move after hours and is pinning the strike. More importantly, even if every aspect could be automated, nobody in the right mind would implement it as a strategy for a market making shop because of capacity.