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you mean short a put vertical spread right?

actually that is not a bad methodology. because after the first weekly expiration, you are essentially playing with house money. As you can tell from my signature, I try to use stocks prob distribution to implement options; I can find stocks that are neutral to slightly bullish, for something...

Good point Pekelo. Yobo... you did a good job with this trade! One thing about this strategy (ie. covered call) is the big variance of the returns coming from the shorted weekly calls. Your pnl would have varied greatly if WB to $53 week1 vs. week2 vs. week3.($-560 / $1000 / $2560)... certain...

I know SLE.. I did both for a decade on the floor where I was delta hedging neg gamma on certain months and isolating flies out of the mish mash of positions. The OP wanted to find out simulation of that strategy and IMHO, it is very hard to do vs. applying a surrogate strategy of using flies...

Andy.. it is not enough to look at returns but the variance of those returns. It is not too hard to backtest a strategy with the benefit of hindsight and produce those returns.What is hard is real money implementation. Even if it is real trading, strategies could produce those return but have a...

listen to stevegee... naked strangles on low iv w/ ships in the koreas is insane.

This is why it gets tricky to quantify since long puts is long vega and +Vomma so if SP drops, you don't get hurt to much in paying up in the skew since IV rises BUT that strike all of a sudden become the ATM which means it then becomes the cheapest strike in the skew. So there are like 3...

Steven, you gotta consider vega when u r doing put spreads.specially otm ones..payoffs can be material.

Steven .. looked up ultima which is a 3rd order.. measures sensitivity of vomma w/ respect to volatility. ie the volatility of the vega change with respect to volatility.. as an example.. if you are short puts which is ( -vomma ) on sugar options when it was at 25 IV when sugar was 6 cents vs...

Steven. I don't know ultima.

Searched under autotrading in the devlog and came up with the IB interface dated 2010.. will keep looking.. still wondering if AB has event handlers for cancel, partials, etc. Anyway.. thanks for the heads-up.

andy_p... be careful.. With those kind of returns (assuming other metrics are ok like risk of ruin, standard deviation) , hedge funds would be throwing money at them... I would start with reading books from S Natenburg, L Macmillan first before going into advisory services. A good number of them...

ok.. whew.. now I got where you are getting your pnl from... Normall you woult not combine the put into the cost basis of the long stock... it is a separate position.Anyway, I plugged it into my dissector and your risk is if WB sits here and does not scream up.. You have risk bec u are long...

so Yobo, looked at your position and correct me if I am off but your stock cost basis is $49.05? $50 (by assignment) -.35 (credit from put sale) -.60 (credit from expired call sale) = $49.05 which is now married to a 50.5 put you purchased for $2.10.

M.ST. If what you are saying is true then Amibroker , which I think is the best value in this space, got even better! I just looked at Amibroker.com and other than "Open API for data connectivity " in their site and a couple of obscure sites in India and Brazil when I googled "Amibroker Auto...

An amazing piece of work.. book out of print .. I had to buy mine from a public library in indiana! BUT if you noticed he did not delta hedge.. his pnl was the ending distro , hence he had some huge winner and losses there I think. this is what inspired me to backtest a "butterfly garden" to ...

Lastly the purchase of the 2 wings will obviate the need for delta hedging which greatly simplifies your BTest. Instead on focusing on the hedges, focus on the technical setups that "predict" quiet markets so you can harvest away. Check out this page on my site.It has the exact thing you seek...

Very very hard to do. There was a futures guy (W. Gallacher?)who did it years back and put results in a book by selling at ATM crude oil straddle every day to (dis)prove the myth that sellers have an edge over buyer . The end result was that he proved that the edge is to seller BUT very slight...

don't forget you are also less Vomma negative if you put on a put spread initially instead of naked put sale. nothing wrong w adjustments BUT you have to get real and be honest and step out of the position and re-evaluate... is the trading thesis still valid now vs when I opened the trade...

I get you Stymie... no hedge is without cost including broker's vig.. But there are certain situations when you need to hedge and not just move to cash .. for example. if I am afraid of market event in short term like ships heading out into the Koreas, I am not sure I can call my 529 college...