Winning Options Strategy on CT

Oh nice! did you like it? People either love it or hate it.

 

I was working. It was a rough time (mid 90s), but I love the S of France.

 

I love South of France and there is something in living in Marseille when you are French

 

Trade war 2.0 ?

 

For sure, this combined to a recession and you have a toxic combo...

 

After doing some digging on your strategy I think there's a flawed. Nouhaila has a point.

 

It is about futures options...
You are not fully covered at all: October expiration refers to October physical delivery whereas November expiration refers to December physical delivery. So, if Oct future price hits 100, Dec future price will be much lower: as a result, the 97 call will not fully covered your loss.

 

it sounds fair to point that out, but it seems like with Trump election the direction is south

 

In an less liquid market like October options, covering or liquidating the short position will move the option price significantly. This slippage, increases losses with every step of the out process. Last time I saw one of your strategy trading the offer was a full 0.75$ out (maybe too much ). Let's try to model slippage in a low liquidity environment.
I have written a paper on it this week end.

if you can share comments and time series for the past ten years, I am happy to run a panda script on it!