No more overnight activity , sell strangles/straddles

T

tradelosses

AFIK, the ES/NQ has not had an overnight swing of more than 1.5% since June 2022 . It stays within a .5% range from 6:00 PM (when afterhours trading stops) and 7:30 (market open).

If there is data like CPI, then instead of 7:30, it would be 6:30.

This is in part due to the overnight drift effect no longer working, even though there is a bear market. Market no longer move overnight like they did in 2007-2020 or even before that.

The strategy is as simple as selling a straddle/strangles on short-dated futures 6:00 PM and closing them at 6:30 (if there is data) or 7:30 (at market open).
 
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Overnight activity ----> Asian and European sessions

You need to do more homework.


When Trump was the president, ES NQ moved significantly during the Asian session due to the US/China trade war thing.
Since then, ES NQ hardly moves during the Asian session.

ES NQ could move quite a decent amount during the European session.
A good example would be on 3 Nov 2022.
 
tradelosses said:
AFIK, the ES/NQ has not had an overnight swing of more than 1.5% since June 2022 . It stays within a .5% range from 6:00 PM (when afterhours trading stops) and 7:30 (market open).

If there is data like CPI, then instead of 7:30, it would be 6:30.

This is in part due to the overnight drift effect no longer working, even though there is a bear market. Market no longer move overnight like they did in 2007-2020 or even before that.

The strategy is as simple as selling a straddle/strangles on short-dated futures 6:00 PM and closing them at 6:30 (if there is data) or 7:30 (at market open).
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Tested already, it does not work going walk forward or out-of-sample, or at least not good working at all.
 
tradelosses said:
AFIK, the ES/NQ has not had an overnight swing of more than 1.5% since June 2022 . It stays within a .5% range from 6:00 PM (when afterhours trading stops) and 7:30 (market open).

If there is data like CPI, then instead of 7:30, it would be 6:30.

This is in part due to the overnight drift effect no longer working, even though there is a bear market. Market no longer move overnight like they did in 2007-2020 or even before that.

The strategy is as simple as selling a straddle/strangles on short-dated futures 6:00 PM and closing them at 6:30 (if there is data) or 7:30 (at market open).
More...

You’re going to buy to close after major news? GL with that. Why not short into the weekend and buy on Sunday night? Short a micro contract straddle today at the close and you can start testing this weekend.
 
destriero said:
You’re going to buy to close after major news? GL with that. Why not short into the weekend and buy on Sunday night? Short a micro contract straddle today at the close and you can start testing this weekend.
More...

Markets have gap risk on Sundays. You sell the straddle on the weekdays after the market close, usually an hour (after major companies have reported earnings). And cover the position before the open at either 7:30 AM or 6:30 (depending if there is news). The CPI is always released an hour before the open, so you would want to cover before then.
 
tradelosses said:
Markets have gap risk on Sundays. You sell the straddle on the weekdays after the market close, usually an hour (after major companies have reported earnings). And cover the position before the open at either 7:30 AM or 6:30 (depending if there is news). The CPI is always released an hour before the open, so you would want to cover before then.
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lol you're going to cover before the CPI? To whom? The magical vol-fairy that's going to hand you vol-edge before the biggest number of the month is released?
 
Vol as synthetic time.

I can tell in three seconds who actually trades this sht and who doesn't. The long vol-switch (D1, D2 calendars) always diverges into an event (CPI, earnings for stocks) as the mkt arrives at a premium move per tenor for the number in question.

So if the street thinks CPI is worth 60 ES on the reaction then vols have to ramp as the premium at fixed delta is stationary. The only variable is vol. This is simplified, but bloody fck, c'mon.
 
tradelosses said:
AFIK, the ES/NQ has not had an overnight swing of more than 1.5% since June 2022 . It stays within a .5% range from 6:00 PM (when afterhours trading stops) and 7:30 (market open).

If there is data like CPI, then instead of 7:30, it would be 6:30.

This is in part due to the overnight drift effect no longer working, even though there is a bear market. Market no longer move overnight like they did in 2007-2020 or even before that.

The strategy is as simple as selling a straddle/strangles on short-dated futures 6:00 PM and closing them at 6:30 (if there is data) or 7:30 (at market open).
More...
I'm wondering if this be correlated to less volatility during the day compared to earlier in the year, or if there is not less volatility during the day session, that more of the day session volatility is isolated to news releases and more immediate subsequent activity, and the rest being less as well.
 
destriero said:
Vol as synthetic time.

I can tell in three seconds who actually trades this sht and who doesn't. The long vol-switch (D1, D2 calendars) always diverges into an event (CPI, earnings for stocks) as the mkt arrives at a premium move per tenor for the number in question.

So if the street thinks CPI is worth 60 ES on the reaction then vols have to ramp as the premium at fixed delta is stationary. The only variable is vol. This is simplified, but bloody fck, c'mon.
More...

What is a D2 calendar?
 
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