Following and looking forward to your journey here! Good luck!
10-Delta Short Strangles
- Thread starter Theinkdon
- Start date
Thanks!
Here's the initial 8 trades I loaded up Sunday. ~5k per position, 40k overall for 80% invested:
That just shows the symbols of course, but I'll list the trades in the next post.
Here's how the account ended Monday, up 4.4% after just the first day:
The first day of a trade is always the fastest for profit though, so it won't do that well tomorrow. Might see one trade come off tomorrow at 50% profit, but if not Tuesday then Wednesday almost for sure.
As trades come off I'll likely put them right back on the same symbol if I don't have a lot of time at the moment, or I might go to my watchlist for a new candidate.
I expend ZERO effort on choosing an underlying to sell a strangle on, other than that it offers 1%/day. I don't look at charts, news, next earnings date, anything. Just set up the strangle, do the ROI calc at the end when it shows me Credit and BPR, then hit Send.
Trade details in next post.
5 Delta as high value SN. It took 43k in BP bot the POP is 93%. Hopefully closes tomorrow at 50% with my gtc order or I will add a 100 pt fly above the call for protection. Not as worried on the put side with this one.
Trades set up Sunday for execution at the open on Monday. I set the prices at the Natural price (they default to Mid), counting on TDA to give me market-price fills. All except PLUG filled at the open, which I had to lower a bit to get a fill. All are for expiration this Friday, 7/23.
BB
9Put at 14∆ & 16.0% Prob.ITM
11Call at 22∆ & 18.9% Prob.ITM
0.22 credit against 105 Buying Power Reduction = 19.7% over 5 trading days is 3.9% per trading day.
Spot 10.11 at the time (market closed)
Does that all make sense? It's a Short Strangle at 9Put/11Call, and then I list the delta and Prob.ITM of each leg. Credit was 0.22 per share, or $22 per contract. BPR on the order entry screen was 105. I deducted commissions of $1.30 (2 x 0.65 per leg) to get 20.70, then divided that by BPR to get 19.7% ROI over the life of the trade. Since this one went on early Monday it has 5 full market days of exposure, so divide that by 5 to get 3.9% per trading day. Stock price at the time (spot) was 10.11. I don't factor in trade exit costs here because that's factored into my BTC order, 0.10 in this case.
So here's how I shorten all that, using the next trade:
BBBY 25P(16/18.0) / 29C(24/21.6) for 0.53:358 = 2.8%, spot 27.16
All the info is still there, just condensed. I always list ∆ first, followed by Prob.ITM with 1 decimal place, that's how you can tell those 2 apart. For the %/day I left out the intermediate "life of the trade" step. Of course Credit gets multiplied by 100 before being divided by BPR. Hope that all makes sense. Here are the other 6 positions:
BLNK 27.5P(16/18.3) / 33C(21/18.1) for 0.69:358 = 3.7%, spot 30.43
CLF 17.5P(16/19.8) / 22.5(24/19.5) for 0.74:202 = 7.1%, spot 19.93
FCEL 6P(20/23.7) / 7.5C(19/15.2) for 0.22:74 = 5.5%, spot 6.55
FUBO 23.5P(19/21.9) / 28.5C(22/18.9) for 0.80:282 = 5.5%, spot 25.97
PLUG 24P(19/21.5) / 28(23/20.1) for 0.68:527 = 2.5%, spot 26.01
RIDE 7P(13/18.2) / 10C(22/16.7) for 0.31:90 = 6.6%, spot 8.54
Whew, that's a lot of typing. But I capture delta and Prob.ITM to kind of get a feel for which is more aggressive or conservative, so I wanted to show you that. In future I might just take a screenshot of the day's Filled Orders screen, which looks like this today:
That shows all the important info about the trades, just not the BPR and spot. I may just start providing that at the end of each day, which will also shows the trades as they auto-close, as well as any adjustments I've had to make. Just understand that I'll always be picking the strikes closest to 20% probability, whether higher or lower. And spot you could pull from a chart given the trade times.
I know some people will want to say there's no way these trades could return these kinds of percentages per day (at least the way I measure them against BPR, which I realize has issues), but if you take those 8 per-day percentages, add them up, and divide by 8 (a simple average), you get 4.7% per day. And the account actually gained 4.4% today, so that's pretty darn close.
Questions/challenges welcome. I'll be back at EOD tomorrow.
BB
9Put at 14∆ & 16.0% Prob.ITM
11Call at 22∆ & 18.9% Prob.ITM
0.22 credit against 105 Buying Power Reduction = 19.7% over 5 trading days is 3.9% per trading day.
Spot 10.11 at the time (market closed)
Does that all make sense? It's a Short Strangle at 9Put/11Call, and then I list the delta and Prob.ITM of each leg. Credit was 0.22 per share, or $22 per contract. BPR on the order entry screen was 105. I deducted commissions of $1.30 (2 x 0.65 per leg) to get 20.70, then divided that by BPR to get 19.7% ROI over the life of the trade. Since this one went on early Monday it has 5 full market days of exposure, so divide that by 5 to get 3.9% per trading day. Stock price at the time (spot) was 10.11. I don't factor in trade exit costs here because that's factored into my BTC order, 0.10 in this case.
So here's how I shorten all that, using the next trade:
BBBY 25P(16/18.0) / 29C(24/21.6) for 0.53:358 = 2.8%, spot 27.16
All the info is still there, just condensed. I always list ∆ first, followed by Prob.ITM with 1 decimal place, that's how you can tell those 2 apart. For the %/day I left out the intermediate "life of the trade" step. Of course Credit gets multiplied by 100 before being divided by BPR. Hope that all makes sense. Here are the other 6 positions:
BLNK 27.5P(16/18.3) / 33C(21/18.1) for 0.69:358 = 3.7%, spot 30.43
CLF 17.5P(16/19.8) / 22.5(24/19.5) for 0.74:202 = 7.1%, spot 19.93
FCEL 6P(20/23.7) / 7.5C(19/15.2) for 0.22:74 = 5.5%, spot 6.55
FUBO 23.5P(19/21.9) / 28.5C(22/18.9) for 0.80:282 = 5.5%, spot 25.97
PLUG 24P(19/21.5) / 28(23/20.1) for 0.68:527 = 2.5%, spot 26.01
RIDE 7P(13/18.2) / 10C(22/16.7) for 0.31:90 = 6.6%, spot 8.54
Whew, that's a lot of typing. But I capture delta and Prob.ITM to kind of get a feel for which is more aggressive or conservative, so I wanted to show you that. In future I might just take a screenshot of the day's Filled Orders screen, which looks like this today:
That shows all the important info about the trades, just not the BPR and spot. I may just start providing that at the end of each day, which will also shows the trades as they auto-close, as well as any adjustments I've had to make. Just understand that I'll always be picking the strikes closest to 20% probability, whether higher or lower. And spot you could pull from a chart given the trade times.
I know some people will want to say there's no way these trades could return these kinds of percentages per day (at least the way I measure them against BPR, which I realize has issues), but if you take those 8 per-day percentages, add them up, and divide by 8 (a simple average), you get 4.7% per day. And the account actually gained 4.4% today, so that's pretty darn close.
Questions/challenges welcome. I'll be back at EOD tomorrow.
Why don’t you just trade these live? What is the point of this forward testing?
Thanks for asking, but I explained earlier that TDA didn't give me Tier 3 options approval when I first applied, so I have to wait 60 days to apply again. That's mid-August, so by early Sep I should be doing this with real money. But I want to keep paper-trading it so I can learn from situations as they come up, and maybe tweak some parameters.
For instance, 10-delta is fairly easy to manage, but I've found 30-delta takes too much work. 20-delta was a good balance between effort and payoff, so I want to do it again to validate.
What does "5 Delta as high value SN" mean? Great PoP on that btw. You'd expect "about" 90 with 5 delta legs, but you got much better than that.
SN as in single name. The AMZNX GOOG stocks priced as over $1,000 a share.
btw just filled at 4.15 on that AMZN strangle $416 winner. Owe you a beer for the idea.
Pretty slick, wasn't it? A 1-day trade. My RIDE position closed at 50% profit at the open, just did it again for this week's expiration.