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Delta neutral Theta biased trading |
Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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Post: #136  Posted: Fri Jan 20, 2017 1:26 pm Post subject: |
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Finally BNF has tuned mildly bearish again so exited 19200 PE at 325 and selling 2 lost 19000 PE instead at 145
Open positions currently
Short 1 lot BNF at 17943
Short 2 lots 18900 PE at 145
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
Short 1 lots 19200 PE at 187, exited at 325 = 138 points loss
Short 1 lot 19200 PE at 175, exited at 325 = 150 points loss
Total Booked profit = 1363 points
Cheers
SH |
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pkholla
Black Belt
Joined: 04 Nov 2010
Posts: 2890
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| Post: #137 Posted: Fri Jan 20, 2017 3:07 pm Post subject: Pls clarify |
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Alchemist: Some clarification needed about your fascinating trade-concept!
You shift upwards to higher strike put when BNF is bullish and downwards to lower strike put when BNF is bearish
1 Is it because options ATM lose their TP faster than deep in the money options?
So you tend to hold on to / switch over to strikes NEARER the CMP?
2 Any other reason? eg delta?
3 More than 1 reason?
Cheers, Prakash Holla |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #138 Posted: Fri Jan 20, 2017 4:08 pm Post subject: Re: Pls clarify |
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| pkholla wrote: | Alchemist: Some clarification needed about your fascinating trade-concept!
You shift upwards to higher strike put when BNF is bullish and downwards to lower strike put when BNF is bearish
1 Is it because options ATM lose their TP faster than deep in the money options?
So you tend to hold on to / switch over to strikes NEARER the CMP?
2 Any other reason? eg delta?
3 More than 1 reason?
Cheers, Prakash Holla |
pkholla - its all about keeping the overall delta in -0.2 to +0.2 range... upper band or lower band depending on what my trade bias is.
Currently my BNF future is short so that has a constant delta of minus 1 (minus as its a bearish position). So I need to short puts (which is bullish leg) which will provide me a positive delta to adjust against the negative delta of BNF future.
So now if I am bullish ... I need to short enough puts that gives me a positive delta of 1 to 1.2 so that my net delta stays between 0 and +0.2 once adjusted against -1 delta of BNF futures.
Similarly if I am bearish - I need to short enough puts that gives me a positive delta of anything between 0.8 to 1 so that my net delta stays between -0.2 & 0
If I am absolutely neutral, I sell enough puts to give me exactly a delta of +1 which negates the -1 delta of futures so that overall my delta is zero.
Delta of puts depends on the strike price and implied volatility and its dynamic so changes everyday. ATM delta is usually 0.5, ITM delta is between 0.5 & 1 (depending on how much ITM it is) and OTM delta is between 0 and 0.5 (depending on how OTM it is).
I was holding 2 lots of 19200 PE when they were ATM (so overall delta 0.5+0.5 =1 ) which is acceptable.
However today BNF fell so 19200 PE became ITM and hence delta went above 0.5 (and hence combined delta of more than +1.2). This meant that suddenly my overall delta became positive which is great if I am bullish but as I said I am mildly bearish so I need to adjust the delta again.
Therefore I sold 18900 PE which was ATM (and hence 0.5 x 2 = +1 delta).
I know its a bit complicated but in simplistic term, if BNF fell from here, my 2 lots of 19200 PE would have lost more than what my 1 lot shorted BNF would have gained hence the adjustment was required. By selling 2 lots of ATM puts now, these 2 lots of ATM puts would give me less loss if BNF falls as compared to what 19200PE would have given me.
If BNF continues to fall and if 18900 PE also become ITM, I will book loss and sell 18500 PE again for example. Remember whatever I am losing in shorted puts, I am gaining in BNF future.
I will be fine if BNF falls or goes up 1% everyday till expiry, I can only lose if BNF gaps up or down 2% or 3% or more suddenly.
Cheers
SH |
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pkholla
Black Belt
Joined: 04 Nov 2010
Posts: 2890
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| Post: #139 Posted: Fri Jan 20, 2017 7:06 pm Post subject: |
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Alchemist: no need to reply
Thanks for the abs. clear explanation
Cheers, Prakash Holla |
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chetan83
Brown Belt
Joined: 19 Feb 2010
Posts: 2036
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| Post: #140 Posted: Sat Jan 21, 2017 12:25 am Post subject: |
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I have to learn Greek now  |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #141 Posted: Mon Jan 23, 2017 9:16 am Post subject: |
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| chetan83 wrote: | | I have to learn Greek now |
Yes - for making money you need to learn something like everyone else.
Or alternatively, just follow this thread and trades
Cheers
SH |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #142 Posted: Mon Jan 23, 2017 9:32 am Post subject: |
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Current positions exited and strategy for January 2017 closed with 464 points profit.
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
Short 1 lots 19200 PE at 187, exited at 325 = 138 points loss
Short 1 lot 19200 PE at 175, exited at 325 = 150 points loss
Short 1 lot BNF at 17943, exited at 18772 = Loss 829 points
Short 2 lots 18900 PE at 145, exited at 180 = Loss 70 points
Total Booked profit = 464 points
Cheers
SH |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #143 Posted: Mon Jan 23, 2017 3:20 pm Post subject: |
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| Alchemist wrote: | A quick summary of results of all trades taken in this thread since Sep 16
Sep trade : BNF profit booked 596 points
Oct trade : BNF profit booked 465 points
Nov trade : BNF 50 points profit (800 points if I include puts bought)
Dec 2 trades : BNF 90 points profit (just held for one day) & Nifty 365 points profit
Currently Jan trade in BNF is running with around 300+ points profit.. still holding for more.
Every month has been a profitable month till now, thats the magic of delta neutral strategy.
Cheers
SH |
Jan trade closed today with 464 points profit ... that's 5 months now continuous profit 
I will open a new strategy for Feb after expiry now at the end of this week.
Cheers
SH |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #144 Posted: Tue Jan 24, 2017 11:56 am Post subject: |
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Opening a new strategy now for Feb
Positions opens
Buy BNF (feb) at 19057
Sold 19400 CE (2nd feb) at 88
Sold 19000 CE (23rd Feb) at 445
Sold 19500 CE (23rd Feb) at 225
Cheers
SH |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #145 Posted: Wed Jan 25, 2017 12:22 pm Post subject: |
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BNF remains bullish so adding one more bearish leg 19000 PE (2nd Feb) at 121
Positions opens
Buy BNF (feb) at 19057
Sold 19400 CE (2nd feb) at 88
Sold 19000 CE (23rd Feb) at 445
Sold 19500 CE (23rd Feb) at 225
Sold 19000 PE (2nd Feb) at 121
Cheers
SH |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #146 Posted: Wed Jan 25, 2017 2:47 pm Post subject: |
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BNF remains bullish so exiting 19000 PE at 71 and selling 19300 PE instead at 172
Positions currently open
Buy BNF (feb) at 19057
Sold 19400 CE (2nd feb) at 88
Sold 19000 CE (23rd Feb) at 445
Sold 19500 CE (23rd Feb) at 225
Sold 19300 PE (2nd Feb) at 172
Positions already booked
Sold 19000 PE (2nd Feb) at 121, booked at 71 = 50 points profit
Cheers
SH |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #147 Posted: Wed Jan 25, 2017 3:20 pm Post subject: |
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BNF is a raging bull now ...unexpected 500+ points intraday rally ...so more adjustments.
Exiting 19300 PE at 129 and selling 19400 PE (Feb) at 314 instead.
Positions currently open
Buy BNF (feb) at 19057
Sold 19400 CE (2nd feb) at 88
Sold 19000 CE (23rd Feb) at 445
Sold 19500 CE (23rd Feb) at 225
Sold 19400 PE (23rd Feb) at 314
Positions already booked
Sold 19000 PE (2nd Feb) at 121, booked at 71 = 50 points profit
Sold 19300 PE (2nd Feb) at 172, booked at 129 = 43 points profit
Total profit booked till now = 93 points
Cheers
SH[/quote] |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #148 Posted: Fri Jan 27, 2017 9:41 am Post subject: |
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BNF continues to be bullish so time to add more long legs in case BNF continues to rally until budget. So buying 19500 CE (2nd Feb) at 294 and selling 20000 CE (2nd Feb) at 111
Exiting 19300 PE at 129 and selling 19400 PE (Feb) at 314 instead.
Positions currently open
Buy BNF (feb) at 19057
Sold 19400 CE (2nd feb) at 88
Sold 19000 CE (23rd Feb) at 445
Sold 19500 CE (23rd Feb) at 225
Sold 19400 PE (23rd Feb) at 314
Buy 19500 CE (2nd Feb) at 294
Sell 20000 CE (2nd Feb) at 111
Positions already booked
Sold 19000 PE (2nd Feb) at 121, booked at 71 = 50 points profit
Sold 19300 PE (2nd Feb) at 172, booked at 129 = 43 points profit
Total profit booked till now = 93 points
Cheers
SH[/quote][/quote] |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #149 Posted: Fri Jan 27, 2017 1:18 pm Post subject: |
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Bought 19700 CE at 259 (2nd Feb) to add more longs and booking profit in 19400 PE sold at 314 now at 256
Positions currently open
Buy BNF (feb) at 19057
Sold 19400 CE (2nd feb) at 88
Sold 19000 CE (23rd Feb) at 445
Sold 19500 CE (23rd Feb) at 225
Buy 19500 CE (2nd Feb) at 294
Sell 20000 CE (2nd Feb) at 111
Bought 19700 CE (2nd Feb) at 259
Positions already booked
Sold 19000 PE (2nd Feb) at 121, booked at 71 = 50 points profit
Sold 19300 PE (2nd Feb) at 172, booked at 129 = 43 points profit
Sold 19400 PE (23rd Feb) at 314, booked at 256 = 58 points profit
Total profit booked till now = 151 points
Cheers
SH |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #150 Posted: Mon Jan 30, 2017 9:56 am Post subject: |
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Exiting 19500 CE and 19700 CE at 330 and 236 respectivey. Also exiting 20000 CE at 135
Positions currently open
Buy BNF (feb) at 19057
Sold 19400 CE (2nd feb) at 88
Sold 19000 CE (23rd Feb) at 445
Sold 19500 CE (23rd Feb) at 225
Positions already booked
Sold 19000 PE (2nd Feb) at 121, booked at 71 = 50 points profit
Sold 19300 PE (2nd Feb) at 172, booked at 129 = 43 points profit
Sold 19400 PE (23rd Feb) at 314, booked at 256 = 58 points profit
Buy 19500 CE (2nd Feb) at 294, booked at 330 = 36 points profit
Sell 20000 CE (2nd Feb) at 111, booked at 135 = 24 points loss
Bought 19700 CE (2nd Feb) at 259, booked at 236 = 23 points loss
Total profit booked till now = 140 points
Cheers
SH |
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