best length for selling a weekly option?

[shMark]

Maybe you can sell 2 calls of delta 30 (Month) against 100 stock. Roll them to the next month when they become 100 delta together.

Could you sell one call at a delta of 30, and buy it back when delta becomes 50.

 

[Quanto]

Can you do that in excel? Although I was an Electrical Engineer once, I was never good at programming. Thank you for sharing the code.

You are welcome. But a real programming language is required for this. I'm not sure about the language available in Excel. Some 20 years ago or so there was VBA (Visual Basic for Applications) in Excel, but I'm not sure if it's still in Excel (as I use a different product). Maybe others can tell more about it.
But this requires an experienced programmer, since a little bit advanced/complicated stuff.

 

[Quanto]

Could you sell one call at a delta of 30, and buy it back when delta becomes 50.

Hmm. when I simulate this situation then it gives for a ShortCall a big loss (see below).
I tested DTE=30 and Delta=0.3 at entry, and DTE=25 and Delta=0.5 at exit.
Or do you mean a different setup?

find_IV_for_Delta fCall=1 Delta=0.300 S=100.0000 K=110.00 DTE=30.00 IVstart=10.00 IVend=9999.00 IVstep=1.00 rPct=0.00 qPct=0.00
fFound=1 cSteps=47 IV=56.00 DeltaX=0.304
C=2.864602   rawC=2.864602   Delta=0.303841   Vega=0.100252   Gamma=0.021781   Theta=-0.093568  Rho=0.022619 
P=12.864602  rawC=12.864602  Delta=-0.696159  Vega=0.100252   Gamma=0.021781   Theta=-0.093568  Rho=-0.067792 

find_IV_for_Delta fCall=1 Delta=0.500 S=100.0000 K=110.00 DTE=25.00 IVstart=10.00 IVend=9999.00 IVstep=1.00 rPct=0.00 qPct=0.00
fFound=1 cSteps=158 IV=167.00 DeltaX=0.500
C=13.586230  rawC=13.586230  Delta=0.500183   Vega=0.104408   Gamma=0.009128   Theta=-0.348723  Rho=0.024953 
P=23.586230  rawC=23.586230  Delta=-0.499817  Vega=0.104408   Gamma=0.009128   Theta=-0.348723  Rho=-0.050389

 

[newwurldmn]

A week.

 

[dorietrading]

Hmm. when I simulate this situation then it gives for a ShortCall a big loss (see below).
I tested DTE=30 and Delta=0.3 at entry, and DTE=25 and Delta=0.5 at exit.
Or do you mean a different setup?

find_IV_for_Delta fCall=1 Delta=0.300 S=100.0000 K=110.00 DTE=30.00 IVstart=10.00 IVend=9999.00 IVstep=1.00 rPct=0.00 qPct=0.00
fFound=1 cSteps=47 IV=56.00 DeltaX=0.304
C=2.864602   rawC=2.864602   Delta=0.303841   Vega=0.100252   Gamma=0.021781   Theta=-0.093568  Rho=0.022619
P=12.864602  rawC=12.864602  Delta=-0.696159  Vega=0.100252   Gamma=0.021781   Theta=-0.093568  Rho=-0.067792

find_IV_for_Delta fCall=1 Delta=0.500 S=100.0000 K=110.00 DTE=25.00 IVstart=10.00 IVend=9999.00 IVstep=1.00 rPct=0.00 qPct=0.00
fFound=1 cSteps=158 IV=167.00 DeltaX=0.500
C=13.586230  rawC=13.586230  Delta=0.500183   Vega=0.104408   Gamma=0.009128   Theta=-0.348723  Rho=0.024953
P=23.586230  rawC=23.586230  Delta=-0.499817  Vega=0.104408   Gamma=0.009128   Theta=-0.348723  Rho=-0.050389

[/QUOT

You close it on delta 50 and reopen one a month later with The same premium.

 

[Quanto]

You close it on delta 50 and reopen one a month later with The same premium.

And what is the result? Why should one do that? I don't see any logic in this.

 

[ironchef]

My idea is to sell deep OTM calls, that seldom get assigned. If they get close to the strike price, I will buy the call back. The idea is to get the appreciation of the underlying plus maybe an extra 1.5%.

Are you sure you will get an extra 1.5% selling DOTM CC?

Yes, according to studies, ~80% of options expire worthless, so probably > 95% of DOTM will expire worthless.

https://realmoney.thestreet.com/stocks/options-expiration-day-reminds-us-time-really-is-money-16118647#:~:text=Options contain two components, intrinsic,market closes on expiration day.

Most retails write CC & CSP, if 80-95% expire worthless, most retails must make money? Yet 90% of retail option players lose money:

https://www.linkedin.com/pulse/9-out-10-traders-lose-money-fos-nilesh-sharma#:~:text=The futures and options (F&O,understanding of how it works.

I hope you are the 1 in 10 exception, selling DOTM CC.

 

[Quanto]

Most retails write CC & CSP, if 80-95% expire worthless, most retails must make money? Yet 90% of retail option players lose money:
https://www.linkedin.com/pulse/9-out-10-traders-lose-money-fos-nilesh-sharma#:~:text=The futures and options (F&O,understanding of how it works.

"There are three kinds of lies: lies, damned lies, and statistics"

 

[dorietrading]

And what is the result? Why should one do that? I don't see any logic in this.

your stocks are delta 100, so if you dont close them at delta 50 your profit is going down if the market is going up any further. If you roll them the new delta will be much lower and you profit again when markets go up. If they go down you have some protection...

 

[dorietrading]

Could you sell one call at a delta of 30, and buy it back when delta becomes 50.

sure you will be long 70 delta instead of 40 delta. Less protection, but more profit when markets go up..