Day Trading Options is a bad idea. Anyone else?

[ironchef]

In the last 21 years of trading mathematical mechanical systems, I have traded and forward (actual trade) tested every possible combination of profit goal versus stop amount, and each combination was traded and forward (actual trade) tested several years per combination.
The combination that works the very best for my annual profit is:
Modest Profit with Equal Value Stop amount.
This setup produces the highest W/L ratio of any Profit/Stop combo.

Near the end of last year, I went back to class to learn how to program in VBA. Just yesterday, I finished a program to calculate a mechanical mathematical system similar to what you posted. I then used it to backtest SPY going back to 1993. First few runs kind of verified your statement that (for some unknown reasons), the best exit/stop is equal % and at a modest %. A tighter stop actually made things worse. Also, adding a holdover to the next day improved the outcome. The system generated only a modest CAGR profit over 25 years.

Overall, the profit/loss is very sensitive to whatever assumptions I put into generating IV, to initial option values, to assumptions made on profit/loss exit, time to expiration, to calendar period....

I suspect that either my program still has bugs or the system is too dependent on situations not within my control (I maybe missing some rules). Or perhaps I am fooled by randomness again?

 

[destriero]

look into selling flex options from friday to monday.

Yeah, brilliant strategy. Because they trade such huge volume across the available strikes!

you fucking moron.

 

[You]

look into selling flex options from friday to monday.

I'm embarressed to ask, what are Flex Options, and how do I find them to trade them?

It's not obvious on IB or TastyTrade.
When I select SPY, there's only one type of "Option" to trade. I don't see an option for "Flex Options". I did a google search on it, but it's still not clear. Feels like I'd have to have an account with CBOE to trade them, but that doesn't make sense..
I'm still learning.

 

[MarkBrown]

I'm embarressed to ask, what are Flex Options, and how do I find them to trade them?

https://systems.cboe.com/user-services/register
they are custom options that you offer to buy and sell.
the most lucrative options i have found are to sell the weekend risk puts from friday to monday.

https://www.cboe.com/products/flex-cflex

 

[You]

https://www.cboe.com/products/flex-cflex

Ha..
That was the site I visited and read when I "Google searched".

 

[qlai]

the most lucrative options i have found are to sell the weekend risk puts from friday to monday.

I wander who is on the other side of these? Obviously not retail.

 

[MarkBrown]

I wander who is on the other side of these? Obviously not retail.

many large investment firms will pay for over the weekend risk protection and they will pay big for it.

 

[NewTraderAdventure]

C

https://systems.cboe.com/user-services/register
they are custom options that you offer to buy and sell.
the most lucrative options i have found are to sell the weekend risk puts from friday to monday.

https://www.cboe.com/products/flex-cflex

Can these be sold from within a private Jet ?

 

[ironchef]

C

Can these be sold from within a private Jet ?

Of course, didn't you watch those infomercials of us amateur retails all trading from our private jets and yachts, or from the beaches at Monte Carlo after we paid $99 to take those option courses?

 

[vivaskyliska]

That's a really good question and you may not like the answer but I have learned to live with it.
Because I am looking for a discounted entry with respect to the closing price of the option,
I only average about 7 to 8 trades a month. Your correct, that is part of the higher W/L.
I do use a mean-reversion strategy within a defined trend. That gives me 2 trade elements working for me. The system tries to buy an intraday dip in the option price and sell at or near its previous day's closing price, and still be trading in the direction of the overall short term trend of the SPY.

Sorry but i cant help it to respond on an old post.
Pertaining to your "discounted entry", i don't think price charts of options make any technical sense, unless you're applying a fixed percentage or fixed number to be discounted, otherwise on what basis do you place a limit order?
Thanks.