0dte

[cesfx]

Is there a risk management for these, or it’s just - take quick profits or hold to eod?

I am planning to let it expire, also because it's Friday.
I feel that closing early when RR is not so terrible, would influence the realised RR.

Once I took one and didn't notice it was large cap earning day... I closed early for a loss. Another day it worked, but I bailed out too early for small profit.

I am really not good a backtesting.

It's a 1 lot SPX, cash settled and not betting the house.
I also aimed for the wall street lunchtime, although iv already crashed by then.
I wish I knew better lol

 

[BlueWaterSailor]

Is there a risk management for these, or it’s just - take quick profits or hold to eod?

It's risk-defined and 0DTE; basically a "make 1 or lose 2" binary outcome with a reasonably high chance of winning. No greeks to worry about... just hold and hope that the market was right about pricing %ITM/%OTM.

From my experience with these, it's best to exit them at least a couple of minutes before expiration. You'll have 90%+ of your credit, and you'll avoid what I call "the crazy 90 seconds" at the end, when Things Happen(tm).

P.S. One exception: some people like to sell 0DTE low-delta options - lots of them, 10s or even 100s of contracts. A friend of mine did that for years, and did well with it (notably: in a less volatile market than this.) But his big trick was having stops on either side, relatively close to and inside the short strikes; as I recall, he was looking to minimize the loss to something like 5:1 or 7:1, in the rare cases that he got hit. Different folks, different strokes...

 

[cesfx]

It's risk-defined and 0DTE; basically a "make 1 or lose 2" binary outcome with a reasonably high chance of winning. No greeks to worry about... just hold and hope that the market was right about pricing %ITM/%OTM.

From my experience with these, it's best to exit them at least a couple of minutes before expiration. You'll have 90%+ of your credit, and you'll avoid what I call "the crazy 90 seconds" at the end, when Things Happen(tm).

Thanks! Might just do that...

Last week I foolishly tried to sell weekend theta decay with a butterfly... Didn't really know it was priced in by friday.
No gap, and closed for breakeven plus commission.

 

[BlueWaterSailor]

Last week I foolishly tried to sell weekend theta decay with a butterfly... Didn't really know it was priced in by friday.

I keep seeing this go back and forth; had a convo about it directly with Euan Sinclair, who claims to have made a lot of money on it over the years (i.e., he's certain that the "theta clock" keeps running over the weekend/AH.) I don't have a great model for back-testing - keep trying to build something that will reflect rvol accurately, but haven't managed it yet - so I can't make any claims of my own about it... but I'm willing to believe him. The man knows his stuff.

 

[cesfx]

I keep seeing this go back and forth; had a convo about it directly with Euan Sinclair, who claims to have made a lot of money on it over the years (i.e., he's certain that the "theta clock" keeps running over the weekend/AH.) I don't have a great model for back-testing - keep trying to build something that will reflect rvol accurately, but haven't managed it yet - so I can't make any claims of my own about it... but I'm willing to believe him. The man knows his stuff.

Oh that is interesting. It might depend on IV? Last week it was very low... So I was selling peanuts.
Also destriero mentioned a few times that there is some to be gained in selling straddle during the weekend.
I was inspired to try.

Then I google searched and found different opposing opinions on the matter.

When modelling with TOS, the famous pink line shows a gain, but it's a very theoretical line.

After what you say about Sinclair, and the fact that destriero mentioned it a few times, means I need to do more watching.
Difficult to backtest but easy to take a snapshot Friday night and Monday morning.

Obviously higher IV would help, even the wings would grow.

 

[BlueWaterSailor]

Difficult to backtest but easy to take a snapshot tonight and Monday morning.

Obviously higher IV would help, even the wings would grow.

The problem is that without a good model, you don't really know what moved the needle. And IV on flies is definitely path dependent - even if you just use BSM, you can see the difference between flat vol that flares at the end vs steady or smoothly-trending vol. Makes a big difference.

 

[cesfx]

My position doesn't look good. It all went well until the last half an hour. Shouldn't have left it for so long.

 

[BlueWaterSailor]

My position doesn't look good. It all went well until the last half an hour. Shouldn't have left it for so long.

Ouch. It didn't even bother waiting until the last two minutes... oh well. That's life under market volatility.

I've been doing OK lately, but only because I'm keeping the tenor short, watching my trades like a hawk, and getting out when it doesn't go my way (reversion be damned.) Also managed to improve my directional trading abilities to some degree, and continuing (slowly) to get better. But man, it's a harsh world out there these days.

 

[piezoe]

Agree.
But slippages are included in their stats.
They don't mention anything about commissions.
A profitable trade can become unprofitable when commissions are added.

I highly suspect that they didn't include them.

I too noticed this. And the fact that they are making butterflies and condors in this strategy look rather good leads me to be doubly suspicious.

 

[zdreg]

Since you have all the wit and option trading ability of a gonorrhea drip, you shutting up is the best outcome anyone can look for. Go hide in your dank hole, and don't stick your head out until someone explicitly calls for an anal chancre.

I hear wedding bells. Send me an invitation.The party should be a blast.