Selling naked puts option strategy

I like to sell atm or slightly itm options. Now depending I might sell otm options if I feel the premiums make it worth while and I feel the markets will move faster than what is expected in the near term.
 
I was wondering the same about the results. They are usually pretty good about putting them up, but still no results for October. I almost wonder if they are still in business.
 
thefuturestrader said:
I was wondering the same about the results. They are usually pretty good about putting them up, but still no results for October. I almost wonder if they are still in business.
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They stopped reporting on their own website but you can still find the performance in some hedge fund database. To my surprise they did not do well in Oct and Nov. I have roughly followed my guess of their trading models from Sep to Mid-Nov at a much smaller scale and I had a +10% ROI. That is why I am a little bit surprise to see a net loss for them from Sep to Nov.

BTW, I stumbled on your old post about backtesting trading systems using R. How is that adventure? I personally prefer R over Ninja Trader or Python since it has many statistical/mathematical packages you can use and their TA library is also very rich.
 
Ok I will admit I only read the first 7 or so pages, but can I ask an obvious question? WHY on Earth would you let a losing naked option position get close enough to expiration to get exercised in the first place?

Yes, selling naked puts and calls (ATM) can be profitable, IF volatility is high (at or near 52 week volatility highs), AND the underlying is signaling a buy or short sell (which determines if you are selling puts or calls). In this case you are selling premium (preferably between 30 and 60 days out) and should "buy to close" your position if the underlying moves against you (think of it as a stop loss on a stock), OR the price of the options has dropped to $0.05 OR it is 1 week from expiration OR the volume on that option starts getting thin (you don't want to get stuck with it). I NEVER EVER hold a naked position to expiration....PERIOD. Why even if it is now way OTM? Because there is always the risk that some yahoo will decide to exercise it for some unknown reason.
 
Hey windwine, I haven't been doing a lot of backtesting in R. It's still pretty confusing for me. I tend to use R for looking at the distributions of returns for individual securities or spread trades. Also, for analyzing option information as well. I am still definitely learning how to use R.

Also, I saw those Global Sigma results on a hedge fund database. Very surprising. Another 7% drawdown in October? Looks like they are deviating from their core strategy, if you are still getting good results in your back tests. Too bad, they had such stellar performance for so long.
 
I have clients with GSG. They got caught in October on expiration when the market had a big swing in the morning. Dow moved over 500 points from down to up in a very short time. He sold some calls that morning.
 
thefuturestrader said:
Hey windwine, I haven't been doing a lot of backtesting in R. It's still pretty confusing for me. I tend to use R for looking at the distributions of returns for individual securities or spread trades. Also, for analyzing option information as well. I am still definitely learning how to use R.

Also, I saw those Global Sigma results on a hedge fund database. Very surprising. Another 7% drawdown in October? Looks like they are deviating from their core strategy, if you are still getting good results in your back tests. Too bad, they had such stellar performance for so long.
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I looked at my actual trade log after seeing Robert's post, I guess I was just lucky since I only sold put before that particular event.

BTW, fOptions is a pretty decent package in R for option calculation if you do not trust the Greeks reported by your trading platform and you want to specify whether you want to use the bid or ask or the mid price only.
 
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