Long-scalping equity options against time decay and market drift

[Overnight]

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:

View attachment 299868

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...

Weirdness. Why would an internal name change IB is implementing to become more standardized affect your positions? It's an IB thing, not an exchange thing. It should not affect your position values?

P.S.I notice you are now layering out into March and June contracts. Man, you are running some deep FOPS there.

Well, be mindful of the Fed minutes in two days. They can sometimes be a surprise.

 

[fullautotrading]

Weirdness. Why would an internal name change IB is implementing to become more standardized affect your positions? It's an IB thing, not an exchange thing. It should not affect your position values.

P.S.I notice you are now layering out into March and June contracts. Man, you are running some deep FOPS there.

Well, be mindful of the Fed minutes in two days. They can sometimes be a surprise.

Not weird at all Actually, it may create huge troubles for any platform connecting to IB. The reason is that for the data request and other operations you usually use a "ticker", which includes the name of the exchange. (Clearly, it could all be done using "Contract ID" alone, but it is not very friendly to the user).

So you are right, it does not affect any "real" position you have, but nevertheless, it may make it impossible for the platform to continue trading those positions because it simply quits working: no data would come in anymore (because of no more "valid" tickers).

See for instance how these users are complaining :

https://ninjatrader.com/support/for...nge-names-problems-with-ninja-execution-at-ib

 

[Overnight]

Not weird at all Actually, it may create huge trouble for any platform connecting to IB. The reason is that for the data request and other operations you usually use a "ticker", which includes the name of the exchange. (Clearly, it could all be done using "Contract ID" alone, but it is not very friendly to the user).

See for instance how these users are complaining :

https://ninjatrader.com/support/for...nge-names-problems-with-ninja-execution-at-ib

But you are not using Ninja? *shrugs* In my logical mind, this sort of code should be flexible enough to adapt to simple changes in a field, such as "instrument name change".

But if that were true, the Y2K bug panic would never have happened, hehe.

 

[fullautotrading]

I notice you are now layering out into March and June contracts. Man, you are running some deep FOPS there.

Well, be mindful of the Fed minutes in two days. They can sometimes be a surprise.

Sure! some of those are the "long legs" (high vega) mentioned in the previous post. The "deep red" ones

 

[fullautotrading]

But you are not using Ninja? *shrugs* In my logical mind, this sort of code should be flexible enough to adapt to simple changes in a field, such as "instrument name change".

But if that were true, the Y2K bug panic would never have happened, hehe.

It's not a problem of simple adaptation. Once you define a ticker, it is "fixed" in your platform. You do not change the ticker market (nor you would want to allow that). In case, you change the instrument if you want to trade another exchange.

But if they change unilaterally the ticker specs, when you use your ticker for an existing instrument, IB does not accept it anymore as "valid". So it's not an ordinary issue. Because it does not happen every day a "migration" of this sort (with the corresponding change of name of the instruments).

But, any way I am not as slow as other platforms to respond to any issue. I can usually fix anything in a matter of hours

(Actually, now I made a general feature, which can address other future changes of this nature, although relatively rare.)

 

[fullautotrading]

ES has been going up for about a month now:

ES FUT 202303 CME 50 E-mini S&P 500 [ESH3, 495512572, mult: 50]

at the same time, we have defined a few "long legs" which currently are in DD, but that would provide good protection of our PnL (345K at the moment) in case of mkt correction:

I am keeping the fund usage pretty quite conservative (currently 55%), to be able to cope with a possible increase of margin requirements in case of market collapse.
In the meantime, we are just grabbing the option decay and scalping a few short-term layers.

 

[fullautotrading]

...

Well, be mindful of the Fed minutes in two days. They can sometimes be a surprise.

We got all set. Ending today before the holiday with quite a low fund usage (45.49%), just prepared for anything

Actually, one needs to be planning and set up for the worst occurrence every day, to survive the market

Ending the day at 341K profit, and with 3 long legs (deep red columns in the chart below: -16K, -24K and -33K), which will provide good "protection" in case of any crash or whatever correction.

Well, at this point, the "Dent Blanche" is ready and we need to wait for the next moves of the market after the holiday.

 

[fullautotrading]

End of the week with a holiday-shortened trading day.

We end the week at 342K PnL (298 days elapsed), even though we have a lot of $$$ invested in "protective structures" (the 3 long red columns in the chart below). We can see that the long legs are "costing" us respectively: -19.9K, -24.1K and -33K.

This is what we need to spend as insurance for our "safety"

Fund usage is very "prudential": 45%.

Eventually, in the long term, we will "recover" those red layers too

 

[Overnight]

...
We end the week at 342K PnL (298 days elapsed), even though we have a lot of $$$ invested in "protective structures" (the 3 long red columns in the chart below). We can see that the long legs are "costing" us respectively: -19.9K, -24.1K and -33K...

I am going to assume that you will want to close out all your positions before the end of year, just to keep the books clear for the start of 2023 so you can start fresh? Straddles and whatnot on that particular IRS form can get ugly.

(And of course, you've had this going on since end of Jan., so I figure you want to make some bank this calendar year.)

Do you have a strategy for it? Will you slowly layer out, considering seasonal strength? By that I mean, closing out short leg winners and letting longs run naked into EOY for the potential santa rally?

Or will you just reach a point right before New Years where you flatten everything on same day and take the paycheck of ~340Kish?

 

[fullautotrading]

I am going to assume that you will want to close out all your positions before the end of year, just to keep the books clear for the start of 2023 so you can start fresh? Straddles and whatnot on that particular IRS form can get ugly.

(And of course, you've had this going on since end of Jan., so I figure you want to make some bank this calendar year.)

Do you have a strategy for it? Will you slowly layer out, considering seasonal strength? By that I mean, closing out short leg winners and letting longs run naked into EOY for the potential santa rally?

Or will you just reach a point right before New Years where you flatten everything on same day and take the paycheck of ~340Kish?

haha, Well, we should run the show until we give it all back to the market!

Isn't that what many ET spectators are waiting for, after all?

What do you suggest Overnight ?