you should try buying options with tp and stop loses like in that example. long option strategies look really bad only if u let the them expire. the opposite for short options obviously. overalli think the biggest money is in long option strategies you trade in and out of so you aren't limited by the theta (unlimited assets with vol+200% where you can't lose money very quickly.)
Any bear traders out there.
- Thread starter viruscore1
- Start date
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I see plenty of bear move intraday;
but with SPY+ small caps ETFs making higher closes towards $275 200 dma, i'll pass until it takes out OCT low. Cash comment. GE still making so many bear moves in a bear market; barchart has a 96% sell on them, including 50 parabolic time price, 10 dma....................
Actually not true, I just did this simple backtest (with approximate IV and BSM): Bought 1 yr ATM call on SPY starting Oct 2013 and sat on them until expiry. Did this for every year, return was ~30% CAGR.
Too much work to test shorter duration options but I suspect shorter duration options should do better. As the saying goes: In a raging bull market, even a dumb retail doing dumb things will make good money.
Hi Mark,
What I do for entries is semi complicated: (sorry, but its a lengthy answer)
1: I have a math based computer program that outputs the entry price's for 6 different trading formula's that encompass anywhere from simple math based trend following formula's,
to algo formula's, to contrarian math formula's.
Here is a sample of the program output's for last Thursday evening (11-01-2018) for trading SPY options on Friday 11-03-2018:
[Signal Date: 11-01-2018 for Trade Date 11-02-2018]
OPTION.........PREV..OPEN..HIGH..LOW...CLOSE
NOV276 CALL..2.20..2.37...2.87...2.08...2.73
NOV270. PUT...4.58..3.85...4.15...2.70...2.82
SYSTEMS:
BASE:..UC=10..UP=0..TE=10C-2........................................NOV276C BL=2.05
CHD1: EM=21 LM=31 D=LM-10 R=1 S=52 TE=6C C=MD2.....NOV276C BL=1.75
CHD2: EM=20 LM=5 D=EM-15 R=4 S=25 TE=4P C=MD3.......NOV270P BL=2.05
ALG1: C=120-136-144=L5 P=142-108-28=L1 SM5W1=WP-1..NOV270P BL=2.10
ALG2: C=35 EM=21 +++ P=29 EM=20 --- R=1.2 SL1=P........NOV270P BL=2.05
ALG3: C89 C27 C1 CL1=UP CM25=L5...................................NOV270P BL=2.05
---------------------------------------------------------------------------------------------------------
[Trade Data for 11-02-2018]
OPTION.........PREV..OPEN.HIGH.LOW..CLOSE
NOV276 CALL..2.73..3.26..3.42..1.72...2.10
NOV270. PUT...2.82..2.27..4.72..2.09...3.21
_______________________________________________________________________
You can see on Thursday evening 11-01-2018 each of the 6 different trade formula's produced
6 trades, 2 trade entries for calls and 4 trades for puts.
So it appears to be a confusing mess, right?
However, because there is so many different SPY entry prices in 2 different directions,
I use live SP500 chart guidance to help me decide what entry price to use in what direction.
[Step 1]
First before the market opens, I formulate I.B. Bracket Orders (semi-automated Buy Limit,
Sell Limit, & Stop) for all the program entry prices (except the duplicates) and have them ready and waiting to potentially be transmitted.
[Step 2]
The signal's on Thursday evening of 11-01-2018 were for a trade on
Friday 11-02-2018.
Below is a 5 day, 30 minute candle chart, with the 50ma (blue line), 200ma (purple line) and
300ma (brown line), that shows
Tuesday 10-30, Wednesday 10-31, Thursday 11-01, Friday 11-02, and Monday 11-05.
[Step 3] (Put Trade)
Now notice on Trade Day Friday 11-02, the opening 30 minute candle had a large Gap Up
Opening and spiked through a declining 200ma (purple line).
When this happens,
(A) I look at that gap up on the live chart
(B) and look at the live option chart
(C) and look at my computer program Put Price Entries to see which price best matches the current gapped down Put Option Price and Transmit the Bracket with the Buy limit closest to the current price.
So that above takes care of the Puts.
As for the program Call entries on 11-02-2018, I repeat everything above, but instead for Calls I am looking for a pullback to the rising 50ma (blue line) which occurred on the 7th candle,
I then look at my computer program Call Price Entries to see which price best matches the current declining Call Option Price and Transmit the Bracket with the Buy limit closest to the current price.
And that's it for calls.
After I have transmitted both the put and call brackets, I am free to get away from the
Work Station for the rest of the day.
[SP500, Last 5 days, 30 minute candles, 50ma, 200ma & 300ma]
Today was an up day and everyone on CNBC forgot about october.
if you don't mind...what is your expectancy after all that ?
how did you monetize the long call ?Actually not true, I just did this simple backtest (with approximate IV and BSM): Bought 1 yr ATM call on SPY starting Oct 2013 and sat on them until expiry. Did this for every year, return was ~30% CAGR.
Too much work to test shorter duration options but I suspect shorter duration options should do better. As the saying goes: In a raging bull market, even a dumb retail doing dumb things will make good money.
At expiry, the calls were ITM with no time value so equal to Intrinsic value. Profit is (Intrinsic value - Call premium). You have the option to call or sell your option on the date of expiry.
(Using Van Tharp's definition of Expectancy.)
Expectancy is dependent upon current VIX value:
[Bull Market, 1995 to early 2000 / early 2003 to 2007 / mid 2009 to present time]
Normal VIX range is 10-14 most of the time in a Bull Market. Expectancy=1R or slightly >.
Medium High VIX of 15-19 a few months a year in a Bull Market. Exp=1.5R to 1.7R.
High VIX of 20 and > for less than 2 months a year in a Bull Market. Exp=2.5R.
---------------------------------------------------------------------------------------
[Bear Market, 2000 to early 2003 / 2008 to early 2009]
Medium High VIX of 15-19 in a Bear Market. Exp=1.5R to 1.7R.
High VIX of 20 and > in a Bear Market. Exp=2.5R.
right, are you exercising or selling..guess it doesn't matter for this discussion.