Long-scalping equity options against time decay and market drift

[destriero]

One update for the week and then I will take my leave until the cover.

 

[lucysparabola]

Just a misunderstanding.



Complete nonsense... please don't leave on my account

it's fine. I just meant in this thread, not a perma exit. all good.

 

[spy]

it's fine. I just meant in this thread, not a perma exit. all good.

Yeah, this thread's been a gem but it's getting a bit long in the tooth now.

 

[destriero]

Running PNL on vol-arb. 11% on net liq. 40% return on haircut. In two days.

 

[Overnight]

Running PNL on vol-arb. 11% on net liq. 40% return on haircut. In two days.

View attachment 300979

That's not enough, Destriheart. We want MEAT!

 

[spy]

40% return on haircut

Thanks for reminding me that this metric is more interesting than people tend to think!

 

[spy]

40% return on haircut

My BP is about 5x the account equity right now... how much room you think there is for improvement there? That is, without taking advantage of any glitchs in PM/TIMS

 

[destriero]

My BP is about 5x the account equity right now... how much room you think there is for improvement there? That is, without taking advantage of any glitchs in PM/TIMS

There are a lot of efficiencies to be had. For example, under both TIMS and SPAN, trading a combo-fly improves haircut by roughly 2/3rds over a natural put or call fly (vertical). It always pays to run the combo/vertical. There are others as well.

 

[stochastix]

Significant spike up today, with the consequent joy of our options.

View attachment 283754

Profit skyrocketing to a new highwater mark of 73K, settling now to 72K.

View attachment 283753

I had to actually close several layers because the bot start hammering with new short entries all the way down, and margins raised momentarily to 1.5M. Now back to 990K.

With the occasion of the platform update, this evening, while following the action on several machines, I also added a cute and simple little visual (colour-coded) gauge (top right of screenshot) to keep better under control of the margins usage, and also to somehow remark that this is the most crucial aspect of this trading approach.

View attachment 283755

But, I still need to find some time to test thoroughly the update, after the massive restyling and revision.

Dollars mean nothing only percent

 

[destriero]

Dollars mean nothing only percent

Obviously you've yet to harness the "layers" sim-edge. Pfft to %-return.