oh oh, our 7 puts 4000 long start taking fire:
Friday may be pretty ugly
Friday may be pretty ugly
Long-scalping equity options against time decay and market drift
- Thread starter fullautotrading
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While you sleep the mkt is moving ("Money Never Sleeps") :
ES FUT 202212 GLOBEX 50 E-mini S&P 500 [ESZ2, 495512551, mult: 50]
you can see here the "long leg" of our "protective structure" is working fine, sparing us some DD:
ES FOP 20230818 4000 P GLOBEX 50 E-mini S&P 500 [EW3Q3 P4000, 574680266, mult: 50]
and recall we have some more in place, defined previously:
+5 ES FOP 20230331 3000 P GLOBEX 50 E-mini S&P 500 [EWH3 P3000, 589483727, mult: 50]
+ 5 ES FOP 20230519 3500 P GLOBEX 50 E-mini S&P 500 [EW3K3 P3500, 557298027, mult: 50]
Clearly, this will work fine and great until ES (currently 3765) remains above 3000.
(Actually, we would make a killing if ES drops to that level and remains to hover there or slowly retrace, as we will make $$$ from both the long (because ITM) and short legs (decaying) and from the scalping hedging activity. If instead goes below 3000 we may need folio adjustments to reduce margin requirements and let the bot defend aggressively the short layers.)
:ES FUT 202212 GLOBEX 50 E-mini S&P 500 [ESZ2, 495512551, mult: 50]
you can see here the "long leg" of our "protective structure" is working fine, sparing us some DD:
ES FOP 20230818 4000 P GLOBEX 50 E-mini S&P 500 [EW3Q3 P4000, 574680266, mult: 50]
and recall we have some more in place, defined previously:
+5 ES FOP 20230331 3000 P GLOBEX 50 E-mini S&P 500 [EWH3 P3000, 589483727, mult: 50]
+ 5 ES FOP 20230519 3500 P GLOBEX 50 E-mini S&P 500 [EW3K3 P3500, 557298027, mult: 50]
Clearly, this will work fine and great until ES (currently 3765) remains above 3000.
(Actually, we would make a killing if ES drops to that level and remains to hover there or slowly retrace, as we will make $$$ from both the long (because ITM) and short legs (decaying) and from the scalping hedging activity. If instead goes below 3000 we may need folio adjustments to reduce margin requirements and let the bot defend aggressively the short layers.)
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Sure! your warning made me more cautious and contributed to pushing me to define a new option "protective structure" (looking for a better) and release margins (to get ready to "load up" later on).
Actually, now with those in place, we are making some money even the way down, before tomorrow's carnage
ES FUT 202212 GLOBEX 50 E-mini S&P 500 [ESZ2, 495512551, mult: 50]
Our PNL even went up a bit despite the decline of the market:
as our long leg is gaining momentum:
ES FOP 20230818 4000 P GLOBEX 50 E-mini S&P 500 [EW3Q3 P4000, 574680266, mult: 50]
On the most "dangerous" short leg I have activated the bot, to avoid taking too much margin and for scalping/hedging (even though I might lose some of the decay):
ES FOP 20230616 3000 P GLOBEX 50 E-mini S&P 500 [ESM3 P3000, 495665910, mult: 50]
in fact, a buy order on this layer (blue circle on the top right) has even reduced our used funds to 56.64% at the moment.
So great job Overnight !
Sure! your warning made me more cautious and contributed to pushing me to define a new option "protective structure" (looking for a better) and release margins (to get ready to "load up" later on)....
in fact, a buy order on this layer (blue circle on the top right) has even reduced our used funds to 56.64% at the moment.
So great job Overnight !
K, great! Can I get a stipend or something? Hehehe!
Sure! when I go big I will need a global risk management Director
Are the dances starting ?
ES FUT 202212 GLOBEX 50 E-mini S&P 500 [ESZ2, 495512551, mult: 50]
Sure! when I go big I will need a global risk management Director
Are the dances starting ?
...
Cool, never had a job title with four words before.
Not much happening at the moment. PNL around 351K (51.6% funds usage).
I am just scalping algorithmically a couple layers, waiting for some more serious move (since we trade only ES (put options), we "diversify" by distancing the "activation" of new layers):
ES FUT 202212 GLOBEX 50 E-mini S&P 500 [ESZ2, 495512551, mult: 50]
I am just scalping algorithmically a couple layers, waiting for some more serious move (since we trade only ES (put options), we "diversify" by distancing the "activation" of new layers):
ES FUT 202212 GLOBEX 50 E-mini S&P 500 [ESZ2, 495512551, mult: 50]
Apologies if I've been almost two weeks without posting anything, but only now can I raise my head from the compiler. In fact, a lot has happened. The most important is the "migration" (on Monday) of instruments from GLOBEX to CME:
https://groups.io/g/twsapi/message/50192
https://www.cmegroup.com/confluence...gration+and+Market+Data+Channel+Consolidation
So I needed to make a "migration" tool, to move my folio (currently 65 layers loaded) from GLOBEX to CME and also to update all my investors/traders.
The second significant change is that I have added two new features beneficial for monitoring the trading activity and having more insight into the current strategic game.
Let's see first of all the current PNL situation and then in the following posts I will explain the two new features in some detail:
currently, at 335K (293 days elapsed), 20K commissions, 61% funds used:
The two new features regard two opposite aspects of monitoring: one the real-time long/short situation, and another a long-term view of payoff (and also the possibility of simulation of the effect of new "legs" or layers or orders).
1. Study the instantaneous real-time variation of the whole folio, in reaction to a slight movement of the price of the underlying.
2. Payoff chart and options simulator, comprehensive of all layers and orders of all orders, fully integrated into the platform.
https://groups.io/g/twsapi/message/50192
https://www.cmegroup.com/confluence...gration+and+Market+Data+Channel+Consolidation
So I needed to make a "migration" tool, to move my folio (currently 65 layers loaded) from GLOBEX to CME and also to update all my investors/traders.
The second significant change is that I have added two new features beneficial for monitoring the trading activity and having more insight into the current strategic game.
Let's see first of all the current PNL situation and then in the following posts I will explain the two new features in some detail:
currently, at 335K (293 days elapsed), 20K commissions, 61% funds used:
The two new features regard two opposite aspects of monitoring: one the real-time long/short situation, and another a long-term view of payoff (and also the possibility of simulation of the effect of new "legs" or layers or orders).
1. Study the instantaneous real-time variation of the whole folio, in reaction to a slight movement of the price of the underlying.
2. Payoff chart and options simulator, comprehensive of all layers and orders of all orders, fully integrated into the platform.
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It's time to recap a bit of what we have been doing, so one does not need to read the whole thread to understand if arrived later at the party
1. We are using a platform equipped with algorithmic trading scalping algorithms to work on a dynamic folio of ES PUT options.
2. The approach that we use is completely non-predictive and relies solely on exploiting the "structural" characteristics of the traded instruments and a particular way to manage the folio. No "signal" BS, and no ML BS
3. The main sources of the edge of this method, which should be pretty clear from the apparent drift of the PnL curve, are conceptually the following:
1. Continued scalping (completely automatic by the bot)
2. "Information transfer" (to roll over layers and "players")
3. Stop order "recovery mechanism" (which is essentially made possible by the previous one and the concept of "player", which retains the trading information of losses).
4. Protective structures to mitigate possible DD and also to provide a source of possible extraordinary profits.
We "defend" the automated scalping by defining periodically (that is, for instance, every 15%-20% move of the underlying), at folio level, some "predictive structures" (might think of "diagonal bear spreads" if you wish a very simplified view). Everything is always theta positive.
The "ordinary" (most probably) source of profits is the scalping activity and the decay.
The "extraordinary" source of profits is represented by the "protective structures themselves", which in case of a crash will generate more profit than the ordinary source.
The whole idea is that the entire trading layout is not "static" but moves dynamically following the movement of the underlying. In this way, the possible range of loss is perpetually "pushed away" (towards the left). You can picture this in your mind, if you wish, like a moving payoff chart, which is kept positive on a large range of the price of the underlying (at least up to a quite small price of the underlying, say 35-45% below), and keeps tracking the underlying price. So if the price decreases, the whole (profitable) structure is shifted to the left.
(All scalping activities are completely automatic and highly optimized for this purpose. All folio management activities are at the discretion of the investor/trader.)
Current PNL situation: 341K, starting with 2M, 294 days so far, 20K commissions, 60.40% funds currently in use, 1,222 fills.
The deep red layers are obviously the "protective" legs, which stand ready to "explode" in case of a crash (causing "extraordinary" profits).
1. We are using a platform equipped with algorithmic trading scalping algorithms to work on a dynamic folio of ES PUT options.
2. The approach that we use is completely non-predictive and relies solely on exploiting the "structural" characteristics of the traded instruments and a particular way to manage the folio. No "signal" BS, and no ML BS
3. The main sources of the edge of this method, which should be pretty clear from the apparent drift of the PnL curve, are conceptually the following:
1. Continued scalping (completely automatic by the bot)
2. "Information transfer" (to roll over layers and "players")
3. Stop order "recovery mechanism" (which is essentially made possible by the previous one and the concept of "player", which retains the trading information of losses).
4. Protective structures to mitigate possible DD and also to provide a source of possible extraordinary profits.
We "defend" the automated scalping by defining periodically (that is, for instance, every 15%-20% move of the underlying), at folio level, some "predictive structures" (might think of "diagonal bear spreads" if you wish a very simplified view). Everything is always theta positive.
The "ordinary" (most probably) source of profits is the scalping activity and the decay.
The "extraordinary" source of profits is represented by the "protective structures themselves", which in case of a crash will generate more profit than the ordinary source.
The whole idea is that the entire trading layout is not "static" but moves dynamically following the movement of the underlying. In this way, the possible range of loss is perpetually "pushed away" (towards the left). You can picture this in your mind, if you wish, like a moving payoff chart, which is kept positive on a large range of the price of the underlying (at least up to a quite small price of the underlying, say 35-45% below), and keeps tracking the underlying price. So if the price decreases, the whole (profitable) structure is shifted to the left.
(All scalping activities are completely automatic and highly optimized for this purpose. All folio management activities are at the discretion of the investor/trader.)
Current PNL situation: 341K, starting with 2M, 294 days so far, 20K commissions, 60.40% funds currently in use, 1,222 fills.
The deep red layers are obviously the "protective" legs, which stand ready to "explode" in case of a crash (causing "extraordinary" profits).
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