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Let's take a look at the utility I added this weekend. By using the "Option Retriever" (context menu) one can get the whole matrix chain for any instrument. Now, in order to perform periodic rollovers ("information transfer"), clearly, we need the best candidates for this goal. So the...

Actually, someone on Linkedin makes even 500% :D

There are so many ways to build strategies with options. Do not get discouraged. You will eventually find your way :-)

Did not say it is just useless. I actually said that it is detrimental. That is, leading to sure curve fitting and hence delusional. If it were just useless, it would mean not much harm :)

During the weekend (while you guys are flying, skiing or... fasting :) ) I am just coding a useful new functionality that has the purpose of selecting automatically all the best candidates for rollover, from the options chain (or matrix) (one for each maturity, depending on the new option price...

Backtesting is pretty useless and even detrimental. One needs a throughout simulation study to have useful insight into the avg behaviour of your approach.

Today ES recovered a little bit, but it seems to be going down. Another occasion to see how the algorithm deals with drawdown and hedges our options :-) Let's look at the recent 2 option layers: ES FOP 20220531 2700 P GLOBEX 50 E-mini S&P 500 [EWK2 P2700, 530344310, mult: 50]...

Today we have seen a noticeable drop in the S&P (almost 3%) [horizontal lines are 1% marks here]: Let's take a look at the impact of this move on our 2 new option layers. This one expiring in 55 days and 40% away, has a delta of -0.0085 and sigma 57% and therefore is less sensitive than...

A great list of top guys. From what you say and your nickname, I guess you might also enjoy my current ET journal on options, in case you have missed it :)

During the weekend I have been adding some new features. In particular, I am now displaying continuously the current margin requirements for each instrument. That is so nice to have because option margins change continuously (see the dodger blue figures, top left of each screenshot). (I have...

lol (hey too much protein is not good). Not yet, but I have some friends/clients in the UAE :) [I also fast periodically, but just for health/mind reasons :) ]

End of another week, We have been trading for 60 days now. Today I have added 2 more layers: ES FOP 20220520 2700 P GLOBEX 50 E-mini S&P 500 [EW3K2 P2700, 495662508, mult: 50] ES FOP 20220531 2700 P GLOBEX 50 E-mini S&P 500 [EWK2 P2700, 530344310, mult: 50] and only...

Now the option layers have expired, and the broker removed our position. So our margin requirements have dropped and we have funds to restart trading. Clearly, we need to resync the position and this is done easily by inserting the "external fills" made by IB (the platform allows that)...

ES has reached about 4631 and it is right now slightly declining: ES FUT 20220617 GLOBEX 50 E-mini S&P 500 [ESM2, 477836957, mult: 50] We do not have any funds left to enter a new position, unfortunately, but we have 3 layers expiring tomorrow. Then we will restart...

Sorry, that's a typo: I meant 34.6K obviously, not 36.6K, (see the exact figure in the folio summary picture).

ES has returned almost to the same level where we started almost 57 days ago: The folio situation is as follows (36.6K profit and almost 4.9K commissions): Finally, NQ closed too, but it was just a tremendous waste of time and margins. We are fully "invested", but we have 3 layers...

Another weekend has arrived and I wish you all a good one. This is finally the situation with ES: ES FUT 20220617 GLOBEX 50 E-mini S&P 500 [ESM2, 477836957, mult: 50] and the folio: NQ seems impossible to close as all orders get rejected (receiving the message...

Wow, I can see we have already exceeded 10K views! Thank you so much for your interest. I was not expecting so much. To celebrate the special occasion, I will indulge in a few general considerations about this approach, and, of course, your feedback and suggestions are welcome. We have seen...

Since last time ES had just a small fluctuation of about 1% Finally, NQ too, which we included for testing. is barely positive, but frankly it has been a tremendous waste of time and resources. So we know how to stay away from that. ES FOP 20220323 3800 P GLOBEX 50 E-mini S&P 500 [E4CH2...

This morning, Mar 22, we are up 28.8K: I am still unable to close NQ because of the "monster" spread (lesson learned!). But I am close anyway. Some layers are very close to expiry but still deep OTM. In such a case it might be convenient to let the bot overload a bit the position, to grab...