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Delta neutral Theta biased trading
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Author Delta neutral Theta biased trading
Alchemist
Yellow Belt
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Joined: 09 Aug 2010
Posts: 853

Post: #121   PostPosted: Fri Jan 13, 2017 12:24 pm    Post subject: Reply with quote

ok I will continue to update this thread for a few more months ..

Cheers
SH
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Redlionviji
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Joined: 22 Oct 2016
Posts: 47

Post: #122   PostPosted: Fri Jan 13, 2017 1:07 pm    Post subject: I love your trading style.and attitude and your helping mind Reply with quote

ok..Thanks a lot sir... Smile ...how can i get your calls over a long period?ple Tell me sir...and your help needed over the years....iam also want trade with u for a long time...we dnt want miss u...Because all the batsmans and scientists are not equal to sachin&apj kalam...Because his ability and tallent is not come to ec 4 every humans...if any one trying it may take over years,,,same as inthis trading field...Alchemist sir i like to learn...but it may takes over years...we want earn with u....inthis same time...i am also learn with u...ple help me sir...Dnt leave this thread....keep on update...or giving any paid service??...i know nothing get free in this world.... Crying or Very sad Rolling Eyes :
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Alchemist
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Joined: 09 Aug 2010
Posts: 853

Post: #123   PostPosted: Fri Jan 13, 2017 1:52 pm    Post subject: Reply with quote

Long term I want everyone to learn it so that there is no need for me to update the forum.

When to make adjustment is easy .. whenever the sold option delta moves beyond 0.8 and 1.2 range .. so adjust to get the delta back in this range.

Cheers
SH
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Redlionviji
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Joined: 22 Oct 2016
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Post: #124   PostPosted: Fri Jan 13, 2017 2:05 pm    Post subject: I love your trading style.and attitude and your helping mind Reply with quote

Alchemist wrote:
Long term I want everyone to learn it so that there is no need for me to update the forum.

When to make adjustment is easy .. whenever the sold option delta moves beyond 0.8 and 1.2 range .. so adjust to get the delta back in this range.

Cheers
SH
...ok sir thanks a lot...Need some more explanation...How and where to calculate Delta...How to make entry exit,and also adjustment...and another one big events day how to safe hedge 4 our positions for night risks...need some more good explanation about this theory... Rolling Eyes
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Alchemist
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Joined: 09 Aug 2010
Posts: 853

Post: #125   PostPosted: Fri Jan 13, 2017 3:29 pm    Post subject: Reply with quote

BNF closing in green today despite some intraday sell off which means bulls are not as exhausted as I thought... so shorting 2 lots 18600 PE at 86 and carrying.

Open positions currently
Short 1 lot BNF at 17943
Short 2 lots 18900 PE at 232
Short 2 lots 18600 PE at 86

Positions booked
Sold 1 lot BNF 17700 PE at 73, exited at 138 (Dec series) (65 points loss)
Sold 1 lots of 17500 PE at 282 (Jan), exited at 159 (profit 123 points)
Sold 1 lot 17000 PE at 101, booked at 36 (profit 65 points)
Sold 1 lot 17500 PE at 212, booked now at 75 (profit 137 points)
Sold 1 lot 18000 PE at 319, booked at 147 (profit 172 points profit)
Sold 18200 PE at 288. booked at 73 (profit 215 points)
Sold 18300 PE at 282, booked at 115 (profit 167 points)
Sold 18400 PE at 300, booked now at 76 (profit 224 points)
Sold 2 lots of 18700 PE at 223, booked now at 148 ( 75 x 2 = 150 points)

Total Booked profit = 1224 points

Cheers
SH[/quote]
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Alchemist
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Joined: 09 Aug 2010
Posts: 853

Post: #126   PostPosted: Mon Jan 16, 2017 10:27 am    Post subject: Reply with quote

banknifty remains bullish so booking 18900 PE at 137 and selling 19100 PE instead at 226

Open positions currently
Short 1 lot BNF at 17943
Short 2 lots 18600 PE at 86
Short 2 lots 19100 PE at 226

Positions booked
Sold 1 lot BNF 17700 PE at 73, exited at 138 (Dec series) (65 points loss)
Sold 1 lots of 17500 PE at 282 (Jan), exited at 159 (profit 123 points)
Sold 1 lot 17000 PE at 101, booked at 36 (profit 65 points)
Sold 1 lot 17500 PE at 212, booked now at 75 (profit 137 points)
Sold 1 lot 18000 PE at 319, booked at 147 (profit 172 points profit)
Sold 18200 PE at 288. booked at 73 (profit 215 points)
Sold 18300 PE at 282, booked at 115 (profit 167 points)
Sold 18400 PE at 300, booked now at 76 (profit 224 points)
Sold 2 lots of 18700 PE at 223, booked now at 148 ( 75 x 2 = 150 points)
Short 2 lots 18900 PE at 232, booked now at 137 = profit 95 x 2 = 190 points

Total Booked profit = 1414 points

Cheers
SH
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Alchemist
Yellow Belt
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Joined: 09 Aug 2010
Posts: 853

Post: #127   PostPosted: Mon Jan 16, 2017 1:44 pm    Post subject: Reply with quote

BNF dream runs continue ..because its running up so fast I have to keep making adjustments to keep th edelta bullish.

So now booking 2 lots 18600 PE at 41 and selling 19000 PE at 128 instead.

Open positions currently
Short 1 lot BNF at 17943
Short 2 lots 19100 PE at 226
Short 2 lots 19000 PE at 128

Positions booked
Sold 1 lot BNF 17700 PE at 73, exited at 138 (Dec series) (65 points loss)
Sold 1 lots of 17500 PE at 282 (Jan), exited at 159 (profit 123 points)
Sold 1 lot 17000 PE at 101, booked at 36 (profit 65 points)
Sold 1 lot 17500 PE at 212, booked now at 75 (profit 137 points)
Sold 1 lot 18000 PE at 319, booked at 147 (profit 172 points profit)
Sold 18200 PE at 288. booked at 73 (profit 215 points)
Sold 18300 PE at 282, booked at 115 (profit 167 points)
Sold 18400 PE at 300, booked now at 76 (profit 224 points)
Sold 2 lots of 18700 PE at 223, booked now at 148 ( 75 x 2 = 150 points)
Short 2 lots 18900 PE at 232, booked now at 137 = profit 95 x 2 = 190 points
Short 2 lots 18600 PE at 86, booked now at 41 = 90 points profit

Total Booked profit = 1504 points

Cheers
SH[/quote]


Last edited by Alchemist on Mon Jan 16, 2017 3:30 pm; edited 1 time in total
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pkholla
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Joined: 04 Nov 2010
Posts: 2890

Post: #128   PostPosted: Mon Jan 16, 2017 2:17 pm    Post subject: ? Reply with quote

Dream run indeed! ......... WOW!
Prakash Holla
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Alchemist
Yellow Belt
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Joined: 09 Aug 2010
Posts: 853

Post: #129   PostPosted: Tue Jan 17, 2017 9:26 am    Post subject: Reply with quote

BNF continues to show strength so booking both lots of 19100 PE as well as 19000 PE now at 148 and 110 respectively and selling 2 lots of 19200 PE at 187

Open positions currently
Short 1 lot BNF at 17943
Short 2 lots 19200 PE at 187


Positions booked
Sold 1 lot BNF 17700 PE at 73, exited at 138 (Dec series) (65 points loss)
Sold 1 lots of 17500 PE at 282 (Jan), exited at 159 (profit 123 points)
Sold 1 lot 17000 PE at 101, booked at 36 (profit 65 points)
Sold 1 lot 17500 PE at 212, booked now at 75 (profit 137 points)
Sold 1 lot 18000 PE at 319, booked at 147 (profit 172 points profit)
Sold 18200 PE at 288. booked at 73 (profit 215 points)
Sold 18300 PE at 282, booked at 115 (profit 167 points)
Sold 18400 PE at 300, booked now at 76 (profit 224 points)
Sold 2 lots of 18700 PE at 223, booked now at 148 ( 75 x 2 = 150 points)
Short 2 lots 18900 PE at 232, booked now at 137 = profit 95 x 2 = 190 points
Short 2 lots 18600 PE at 86, booked now at 41 = 90 points profit
Short 2 lots 19100 PE at 226, booked now at 148 = 156 points profit
Short 2 lots 19000 PE at 128, booked now at 110 = 36 points profit

Total Booked profit = 1696 points

Cheers
SH


Last edited by Alchemist on Tue Jan 17, 2017 12:36 pm; edited 1 time in total
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shankaar10
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Joined: 01 Apr 2012
Posts: 2739

Post: #130   PostPosted: Tue Jan 17, 2017 10:04 am    Post subject: Reply with quote

alchemist,

landed up in your thread yesterday and your are doing great job..

this morning when i looked at your position when total pe delta was at of -1.52 and started thinking how come strategy is delta neutral then your exit mail came great job..

quite intresting strategy good going..

cheers
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Alchemist
Yellow Belt
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Joined: 09 Aug 2010
Posts: 853

Post: #131   PostPosted: Tue Jan 17, 2017 12:41 pm    Post subject: Reply with quote

BNF sells off intraday so time to make an adjustment to capture any further downmove.

Exiting 1 lot 19200 PE at 280 now and selling 1 lot 18900 PE at 127 instead.

Open positions currently
Short 1 lot BNF at 17943
Short 1 lots 19200 PE at 187
Short 1 lot 18900 PE at 127


Positions booked
Sold 1 lot BNF 17700 PE at 73, exited at 138 (Dec series) (65 points loss)
Sold 1 lots of 17500 PE at 282 (Jan), exited at 159 (profit 123 points)
Sold 1 lot 17000 PE at 101, booked at 36 (profit 65 points)
Sold 1 lot 17500 PE at 212, booked now at 75 (profit 137 points)
Sold 1 lot 18000 PE at 319, booked at 147 (profit 172 points profit)
Sold 18200 PE at 288. booked at 73 (profit 215 points)
Sold 18300 PE at 282, booked at 115 (profit 167 points)
Sold 18400 PE at 300, booked now at 76 (profit 224 points)
Sold 2 lots of 18700 PE at 223, booked now at 148 ( 75 x 2 = 150 points)
Short 2 lots 18900 PE at 232, booked now at 137 = profit 95 x 2 = 190 points
Short 2 lots 18600 PE at 86, booked now at 41 = 90 points profit
Short 2 lots 19100 PE at 226, booked now at 148 = 156 points profit
Short 2 lots 19000 PE at 128, booked now at 110 = 36 points profit
Short 1 lot 19200 PE at 182, booked at 280 = 98 points loss

Total Booked profit = 1598 points

Cheers
SH[/quote]
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Redlionviji
White Belt
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Joined: 22 Oct 2016
Posts: 47

Post: #132   PostPosted: Tue Jan 17, 2017 2:35 pm    Post subject: I love your trading style.and attitude and your helping mind Reply with quote

Science na Apj kalam,cricket na sachin,kohili,Hedge trades na Alchemist sir....in my experience...we want continue to your updates...we want trade with u...suppose u will not update Very very Bad luck 4 us....Really we miss u...iam only watching your call when u start of this thread.... over all your trades are Really superb and very safe sir!!!....Further updating or not 4 your calls are fully your wish...if u dnt update on your trades we r really unlucky persons....its ok sir...always u keep it up on your excellent trade....95% analysists are Fake and selfish....But some one gives extemely Great calls...but bad luck small traders get that expert only short time period...Again and again small trades are fallen and caught 4 fake tips providers and again again loss his hard earned money in this mkt...its my over all trading exp.... Sad Rolling Eyes
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Alchemist
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Posts: 853

Post: #133   PostPosted: Wed Jan 18, 2017 9:29 am    Post subject: Reply with quote

Exiting 1 lot 18900 PE at 74 now and selling 1 lot 19200 PE at 175 instead.

Open positions currently
Short 1 lot BNF at 17943
Short 1 lots 19200 PE at 187
Short 1 lot 19200 PE at 175



Positions booked
Sold 1 lot BNF 17700 PE at 73, exited at 138 (Dec series) (65 points loss)
Sold 1 lots of 17500 PE at 282 (Jan), exited at 159 (profit 123 points)
Sold 1 lot 17000 PE at 101, booked at 36 (profit 65 points)
Sold 1 lot 17500 PE at 212, booked now at 75 (profit 137 points)
Sold 1 lot 18000 PE at 319, booked at 147 (profit 172 points profit)
Sold 18200 PE at 288. booked at 73 (profit 215 points)
Sold 18300 PE at 282, booked at 115 (profit 167 points)
Sold 18400 PE at 300, booked now at 76 (profit 224 points)
Sold 2 lots of 18700 PE at 223, booked now at 148 ( 75 x 2 = 150 points)
Short 2 lots 18900 PE at 232, booked now at 137 = profit 95 x 2 = 190 points
Short 2 lots 18600 PE at 86, booked now at 41 = 90 points profit
Short 2 lots 19100 PE at 226, booked now at 148 = 156 points profit
Short 2 lots 19000 PE at 128, booked now at 110 = 36 points profit
Short 1 lot 19200 PE at 182, booked at 280 = 98 points loss
Short 1 lot 18900 PE at 127, booked at 74 = 53 points profit

Total Booked profit = 1651 points

Cheers
SH
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jacky75
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Joined: 19 Feb 2012
Posts: 47

Post: #134   PostPosted: Wed Jan 18, 2017 6:16 pm    Post subject: a query Reply with quote

Alchemist wrote:
Exiting 1 lot 18900 PE at 74 now and selling 1 lot 19200 PE at 175 instead.

Open positions currently
Short 1 lot BNF at 17943
Short 1 lots 19200 PE at 187
Short 1 lot 19200 PE at 175



Positions booked
Sold 1 lot BNF 17700 PE at 73, exited at 138 (Dec series) (65 points loss)
Sold 1 lots of 17500 PE at 282 (Jan), exited at 159 (profit 123 points)
Sold 1 lot 17000 PE at 101, booked at 36 (profit 65 points)
Sold 1 lot 17500 PE at 212, booked now at 75 (profit 137 points)
Sold 1 lot 18000 PE at 319, booked at 147 (profit 172 points profit)
Sold 18200 PE at 288. booked at 73 (profit 215 points)
Sold 18300 PE at 282, booked at 115 (profit 167 points)
Sold 18400 PE at 300, booked now at 76 (profit 224 points)
Sold 2 lots of 18700 PE at 223, booked now at 148 ( 75 x 2 = 150 points)
Short 2 lots 18900 PE at 232, booked now at 137 = profit 95 x 2 = 190 points
Short 2 lots 18600 PE at 86, booked now at 41 = 90 points profit
Short 2 lots 19100 PE at 226, booked now at 148 = 156 points profit
Short 2 lots 19000 PE at 128, booked now at 110 = 36 points profit
Short 1 lot 19200 PE at 182, booked at 280 = 98 points loss
Short 1 lot 18900 PE at 127, booked at 74 = 53 points profit

Total Booked profit = 1651 points

Cheers
SH


In this strategy you tend to creat sell position of CE or PE against futures lot. What are challenges; if we creat opposite positions with CE against PE delta neutral; instead of Futures lot.

Like presently BNF is held in loss; if short CE position would have held loss would have reduced. At the same time adjustment may be easy as instead of adjusting against delta neutral 1 each time; if PE delta total has become 0.90 we have another option of adjusting CE delta total to 0.90.

I can think of an extreme situation where volatility goes up like what happend on 9th Nov opening. Where CE & PE both may run into loss simultaneously.

Would appreciate your comment on this.
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Alchemist
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Joined: 09 Aug 2010
Posts: 853

Post: #135   PostPosted: Thu Jan 19, 2017 11:03 am    Post subject: Reply with quote

Hi Jacky - Yes can be done however it would mean continuously adjusting the delta on both legs whereas with one leg being futures I don't need to worry about adjusting the delta there as it is a constant 1

You would want to keep both leg delta close to 1 as any lower delta would mean less profits.

In any case you can definitely try and do it and see if it works for you.

Cheers
SH
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