RWM ok to hold longer than a day?

wxytrader said:
oh so it does. I don't use it frequently. Still faced with all the same problems of not knowing future volatility or delta. You could use orats or market chameleon for delta.
More...
Nobody, not even ORATS, can know the future volatility... :)
It's always just an estimate, a prediction.
But one can simulate some values and see how the result would look like.
That's exactly what such simulation tools are intended for.

And: I am not using any options greeks in my such constructs, instead I'm using just the PnL chart as it tells me already everything.

And: I think you want to use the said Wheel strategy, but it's not my objective. I'm just doing a simple CC plus some LPs. Voila! That's all. But as said the LPs (except the initial protective one) require some careful planning/handling/timing.... More on this later....
 
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Quanto said:
Actually you have replied to an old draft of my posting. I had later deleted that passage.
And you are really doing eveything the hard way. I said CC, but you go and use instead a CSP .
You are really a crazy person, man! :)
I'll now design a construct consisting of a CC + LPs in optioncreator and post it then here, by using the data from YahooFinance. I have even intraday 15-minute snapshot data of it from TDA. Will see...
More...


I ran it with TSLA and got great results as long as I got assigned, and sold shares at the assignment strike +1...thus eliminating realized losses.

I manually added in the premium for the sold calls based on the current weeklys that are the equivalent otm. What's great is even the worst week last year where tsla dropped from 254 to 210, you could still get .15 cents for 255 calls. (you currently get .15 for Jan5 290 calls)

Funds allocated $11,750.00
Total Premium $24,848.00
Total Realized losses $0.00
Total $24,848.00
Total Spread loss/fees -$437.25
Net Income $28,365.75
Monthly income $2,331.43

I will have to double check this when I have more time because I have tinkered with the spreadsheet so much I might have screwed up...heading to the pub. :)

P.S you could be selling ATM puts at the same time to average down.

P.S.S I didn't say you could predicts future IV, but you could calculate future delta.
 
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Here's my manual solution:

Using YahooFinance options data (see posted screenshots)
Also snapshot data from TDA is available for verification..

https://optioncreator.com/stu00e7
Ticker: SAVE
Code: 
DateTime:   2023-12-29-Fr about at 15:30 to 16:00 EST
ATM_IV_Avg: 242

Step 1: Open the position. The first LP is the protector.
  LS: Q=1 S=16.48
  SC: Q=1 ED=2024-01-19 (DTE=21) K=16.50 Pr=3.60
  LP: Q=2 ED=2024-01-05 (DTE=7)  K=11.50 Pr=0.25     [ATTN: need to repeat this LP before its expiration!]
  --> Initial Result:
        CB    = -13.40
        MaxPL =   3.10 (+23.13 %)
        MinPL =  -1.90 (-14.18 %)

Step 2: Iteratively attempt to improve the PnL chart by buying more LPs if & when they become dirt cheap.
  Monitor the Puts between K=11.50 and K=16.50 and buy cheap 1+ Puts with higher K (towards the SC.K) to improve the PnL chart (watch the change).
  Remember: due to time-decay etc. all OTM options become cheaper towards the expiration date, finally even reaching 0.
  This step can be done multiple times.
  Ie. you design & engineer your own PnL chart, incl. the leverage.
  There is much potential for big profits possible by using more LPs,
  makes much sense especially for EventTrading (ie. when a big event is expected to occur before expiration).

  Example: disable LP.K=11.50 by setting its Q=0, and activate LP.K=14 by setting its Q=2, and watch the PnL chart.

  Of course one has todo also some manual calcs due to the fact that the initial LP has a DTE of only 7
  whereas 21 is needed, see comment above for repeating/refreshing it.
  ATTN: I used DTE=21 for all even when real DTE is 7, b/c this tool does not handle different DTEs well.
        But it does not matter b/c we enter the Premiums, not IVs.

SAVE_in_optioncreator.png


And here the Yahoo data:
 

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Last edited:
Quanto said:
Here's my manual solution:

Using YahooFinance options data (see posted screenshots)
Also snapshot data from TDA is available for verification..

https://optioncreator.com/stu00e7
Ticker: SAVE
Code: 
DateTime:   2023-12-29-Fr about at 15:30 to 16:00 EST
ATM_IV_Avg: 242

Step 1: Open the position. The first LP is the protector.
  LS: Q=1 S=16.48
  SC: Q=1 ED=2024-01-19 (DTE=21) K=16.50 Pr=3.60
  LP: Q=2 ED=2024-01-05 (DTE=7)  K=11.50 Pr=0.25     [ATTN: need to repeat this LP before its expiration!]
  --> Initial Result:
        CB    = -13.40
        MaxPL =   3.10 (+23.13 %)
        MinPL =  -1.90 (-14.18 %)

Step 2: Iteratively attempt to improve the PnL chart by buying more LPs if & when they become dirt cheap.
  Monitor the Puts between K=11.50 and K=16.50 and buy cheap 1+ Puts with higher K (towards the SC.K) to improve the PnL chart (watch the change).
  Remember: due to time-decay etc. all OTM options become cheaper towards the expiration date, finally even reaching 0.
  This step can be done multiple times.
  Ie. you design & engineer your own PnL chart, incl. the leverage.
  There is much potential for big profits possible by using more LPs,
  makes much sense especially for EventTrading (ie. when a big event is expected to occur before expiration).

  Example: disable LP.K=11.50 by setting its Q=0, and activate LP.K=14 by setting its Q=2, and watch the PnL chart.

  Of course one has todo also some manual calcs due to the fact that the initial LP has a DTE of only 7
  whereas 21 is needed, see comment above for repeating/refreshing it.
  ATTN: I used DTE=21 for all even when real DTE is 7, b/c this tool does not handle different DTEs well.
        But it does not matter b/c we enter the Premiums, not IVs.

View attachment 330703

And here the Yahoo data:
More...

Okay, I'll look over this into a few beers right now.. it looks like you're doing what I'm doing except that I'm just taking the shares and accepting the lower premium for otm calls. Whereas you are going the route of doubling a tripling down on your protective puts
 
Quanto said:
Here's my manual solution:

Using YahooFinance options data (see posted screenshots)
Also snapshot data from TDA is available for verification..

https://optioncreator.com/stu00e7
Ticker: SAVE
Code: 
DateTime:   2023-12-29-Fr about at 15:30 to 16:00 EST
ATM_IV_Avg: 242

Step 1: Open the position. The first LP is the protector.
  LS: Q=1 S=16.48
  SC: Q=1 ED=2024-01-19 (DTE=21) K=16.50 Pr=3.60
  LP: Q=2 ED=2024-01-05 (DTE=7)  K=11.50 Pr=0.25     [ATTN: need to repeat this LP before its expiration!]
  --> Initial Result:
        CB    = -13.40
        MaxPL =   3.10 (+23.13 %)
        MinPL =  -1.90 (-14.18 %)

Step 2: Iteratively attempt to improve the PnL chart by buying more LPs if & when they become dirt cheap.
  Monitor the Puts between K=11.50 and K=16.50 and buy cheap 1+ Puts with higher K (towards the SC.K) to improve the PnL chart (watch the change).
  Remember: due to time-decay etc. all OTM options become cheaper towards the expiration date, finally even reaching 0.
  This step can be done multiple times.
  Ie. you design & engineer your own PnL chart, incl. the leverage.
  There is much potential for big profits possible by using more LPs,
  makes much sense especially for EventTrading (ie. when a big event is expected to occur before expiration).

  Example: disable LP.K=11.50 by setting its Q=0, and activate LP.K=14 by setting its Q=2, and watch the PnL chart.

  Of course one has todo also some manual calcs due to the fact that the initial LP has a DTE of only 7
  whereas 21 is needed, see comment above for repeating/refreshing it.
  ATTN: I used DTE=21 for all even when real DTE is 7, b/c this tool does not handle different DTEs well.
        But it does not matter b/c we enter the Premiums, not IVs.

View attachment 330703

And here the Yahoo data:
More...


How are you managing the long puts when they lose value? I realize you are gong to buy more of them as they get cheaper, but at some point you either have to close them for a loss if otm, or roll them for a cost...not to mention the cost to buy them, so won't that take away from the premium you collected?

Or is the stategy to cap the upside but have unlimited gains to the downside.
 
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wxytrader said:
How are you managing the long puts when they lose value? I realize you are gong to buy more of them as they get cheaper, but at some point you either have to close them for a loss if otm, or roll them for a cost...not to mention the cost to buy them, so won't that take away from the premium you collected?

Or is the stategy to cap the upside but have unlimited gains to the downside.
More...
When LPs lose value: you do normally nothing with them, remember they were cheap buys. But still you could even buy more now even much cheaper, ie. averaging down etc. :)

You have to orient/focus yourself on the PnL chart. It shows all scenarios/outcomes, and you know in advance about it.
IMO: forget about all the Options Greeks (like Delta etc), and watch instead just the PnL chart.

LPs in profit you do close with a profit (or (auto-)exercise if you have enough cash (or LongStock) to serve it), and those in loss you of course just let expire worthless (nothing else to do with them).

Yes, the upside is capped (a property of CC), but you can (later wenn it gets cheaper) improve it by buying some OTM cheap Calls with K >= SC.K K > S.
Downside: it's not unlimited profit (unfortunately :)) b/c at stock price 0 the profit stops rising anymore, unfortunately... :)
But, as said: you have it in your hand to design the leverage you wish to have, by varying the LPs and their Qtys... It's IMO a very powerful mechanism...

You could also lock the right side at PL=0 or so (by buying more LPs), and so concentrate yourself then to the left side only.
Meaning: you make either a big profit or zero, but no loss.
 
Last edited:
Quanto said:
Here's my manual solution:

Using YahooFinance options data (see posted screenshots)
Also snapshot data from TDA is available for verification..

https://optioncreator.com/stu00e7
Ticker: SAVE
Code: 
DateTime:   2023-12-29-Fr about at 15:30 to 16:00 EST
ATM_IV_Avg: 242

Step 1: Open the position. The first LP is the protector.
  LS: Q=1 S=16.48
  SC: Q=1 ED=2024-01-19 (DTE=21) K=16.50 Pr=3.60
  LP: Q=2 ED=2024-01-05 (DTE=7)  K=11.50 Pr=0.25     [ATTN: need to repeat this LP before its expiration!]
  --> Initial Result:
        CB    = -13.40
        MaxPL =   3.10 (+23.13 %)
        MinPL =  -1.90 (-14.18 %)

Step 2: Iteratively attempt to improve the PnL chart by buying more LPs if & when they become dirt cheap.
  Monitor the Puts between K=11.50 and K=16.50 and buy cheap 1+ Puts with higher K (towards the SC.K) to improve the PnL chart (watch the change).
  Remember: due to time-decay etc. all OTM options become cheaper towards the expiration date, finally even reaching 0.
  This step can be done multiple times.
  Ie. you design & engineer your own PnL chart, incl. the leverage.
  There is much potential for big profits possible by using more LPs,
  makes much sense especially for EventTrading (ie. when a big event is expected to occur before expiration).

  Example: disable LP.K=11.50 by setting its Q=0, and activate LP.K=14 by setting its Q=2, and watch the PnL chart.

  Of course one has todo also some manual calcs due to the fact that the initial LP has a DTE of only 7
  whereas 21 is needed, see comment above for repeating/refreshing it.
  ATTN: I used DTE=21 for all even when real DTE is 7, b/c this tool does not handle different DTEs well.
        But it does not matter b/c we enter the Premiums, not IVs.

View attachment 330703

And here the Yahoo data:
More...


I've been setting it up various ways but the problem is the expected move 21 dte is about 9, so roughly high of 20 and low of 12...so you are smack in the middle of the loss zone. This is why I prefer to sell calls versus buy puts because they have priced in just right to f you up.

It looks like running the wheel daily last year would have returned well for SAVE if you ignored the break evens.
 
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wxytrader said:
I've been setting it up various ways but the problem is the expected move 21 dte is about 9, so roughly high of 20 and low of 12...so you are smack in the middle of the loss zone. This is why I prefer to sell calls versus buy puts because they have priced in just right to f you up.

It looks like running the wheel daily last year would have returned well for SAVE if you ignored the break evens.
More...
Sorry, I really don't understand what you mean. Are you maybe drunk? :)
Try it again please, but handle just 1 issue at a time.
 
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