What kind of IV are you selling and how far OTM (%from underlying price at time when you open the position) typically are you?
My Awesome Trading
- Thread starter Retief
- Start date
Eploiting overly large ticksize in some OTMs?
Well if ticksize is so large that one tick is like 10 vol points...
How low are your commissions and fees? Do you only use limit orders ? Are combo orders also cheap to trade for you?
Another profitable three weeks. The year-to-date return increased 7.4% since my last post, for a total of 65% YTD, and the Sharpe ratio increased to 2.13.
Regarding the IV I'm selling, I like to sell it as high as possible, at least 70%. Concerning the distance from the underlying, I look at the ATR over the duration the option has until expiration. If there are five days to expiration, I want strikes outside of the ATR measured on a five day basis.
For commissions and fees, I use Interactive Brokers with tiered commissions.
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I'm flat for now. I suspected a market sell-off, so I closed out my positions on Friday, rather than risk a gap down by accepting assignment of the underlying.