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Delta neutral Theta biased trading |
Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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Post: #151  Posted: Tue Jan 31, 2017 2:09 pm Post subject: |
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Time to adjust delta before tomorrow's budget day which may be volatile.
I am selling 19600 PE at 392
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 19600 PE (23rd Feb) at 392
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[/quote] |
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pmg123
White Belt
Joined: 14 Nov 2009
Posts: 25
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| Post: #152 Posted: Tue Jan 31, 2017 3:53 pm Post subject: RE: |
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hello Alche,
long time hope you remember me, we had interacted earlier.
Observing this strategy for last few days, you are demonstrating the power of Theta very well, both realized and unrealized profit together this was -ve for last few days and around 12.15 today it went it to the +ve for few minutes, with lot more days to go, this will return minimum 200+ points profit in coming days, I am sure.
Great job, Alche, keep it up!
Request if you could please elaborate this strategy in terms of how best to decide the right strike price to select, (i agree it is all about delta) but like for example certain times you select weekly option and at other times you select monthly so what is the trigger/logic we take this decision, also it is important to keep buffer capital to exit current position / initiate new position right ? any thumb rule ? though we call this delta neutral it helps to be slightly biased either bullish/bearish right ?? and it is important we observe certain SUP/RES levels for this strategy right ? what would / how do we identify those levels.
Appreciate your support,
Thanks!!! |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #153 Posted: Wed Feb 01, 2017 1:23 pm Post subject: |
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FM speech is over and BNF remains bullish so time to adjust the delta again. Selling 2 more lot of 19800 PE at 295
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 19600 PE (23rd Feb) at 392
Sold 2 lots 19800 PE (23rd Feb) at 295
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[/quote][/quote]
Last edited by Alchemist on Wed Feb 01, 2017 1:26 pm; edited 1 time in total |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #154 Posted: Wed Feb 01, 2017 1:25 pm Post subject: |
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| Alchemist wrote: | FM speech is over and BNF remains bullish so time to adjust the delta again. Selling 2 more lot of 19800 PE at 295
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 19600 PE (23rd Feb) at 392
Sold 2 lots 19800 PE (23rd Feb) at 295
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 |
[/quote][/quote] |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #155 Posted: Thu Feb 02, 2017 9:26 am Post subject: |
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booking 1 lot of 19600 PE now at 171 and selling 2 lots 20000 PE at 324
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 2 lots 19800 PE (23rd Feb) at 295
Sold 2 lots 20000 PE at 324
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
Sold 19600 PE (23rd Feb) at 392, exited at 171 = 221 points profit
Total profit booked till now = 361 points
Cheers
SH |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #156 Posted: Thu Feb 02, 2017 1:07 pm Post subject: |
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Selling 2 more lots of 20000 PE at 160 (9th Feb)
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 2 lots 19800 PE (23rd Feb) at 295
Sold 2 lots 20000 PE at 324
Sold 2 lots 20000 PE at 160 (9th Feb)
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
Sold 19600 PE (23rd Feb) at 392, exited at 171 = 221 points profit
Total profit booked till now = 361 points
Cheers
SH[/quote] |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #157 Posted: Thu Feb 02, 2017 3:39 pm Post subject: |
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19400 CE (2nd Feb) settled at 617 today as BNF spot settled at 20017 so booked 529 points loss.
I also booked profit in 19800 PE exited at 200
Positions currently open
Buy BNF (feb) at 19057
Sold 19000 CE (23rd Feb) at 445
Sold 19500 CE (23rd Feb) at 225
Sold 2 lots 20000 PE at 324
Sold 2 lots 20000 PE at 160 (9th Feb)
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
Sold 19600 PE (23rd Feb) at 392, exited at 171 = 221 points profit
Sold 19400 CE (2nd feb) at 88, exited at 617 = 529 points loss
Sold 2 lots 19800 PE (23rd Feb) at 295, exited at 200 = 190 points profit
Total profit booked till now = 22 points
Cheers
SH[/quote][/quote] |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #158 Posted: Fri Feb 03, 2017 2:26 pm Post subject: |
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Booking 20000 PE of 23rd Feb expiry 195 and selling 2 lots 20200 PE (23rd Feb) at 271
Positions currently open
Buy BNF (feb) at 19057
Sold 19000 CE (23rd Feb) at 445
Sold 19500 CE (23rd Feb) at 225
Sold 2 lots 20000 PE at 160 (9th Feb)
Sold 2 lots 20200 PE at 271
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
Sold 19600 PE (23rd Feb) at 392, exited at 171 = 221 points profit
Sold 19400 CE (2nd feb) at 88, exited at 617 = 529 points loss
Sold 2 lots 19800 PE (23rd Feb) at 295, exited at 200 = 190 points profit
Sold 2 lots 20000 PE at 324, exited at 195 = 258 points profit
Total profit booked till now = 290 points
Cheers
SH |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #159 Posted: Fri Feb 03, 2017 8:00 pm Post subject: Re: RE: |
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| pmg123 wrote: | hello Alche,
long time hope you remember me, we had interacted earlier.
Observing this strategy for last few days, you are demonstrating the power of Theta very well, both realized and unrealized profit together this was -ve for last few days and around 12.15 today it went it to the +ve for few minutes, with lot more days to go, this will return minimum 200+ points profit in coming days, I am sure.
Great job, Alche, keep it up!
Request if you could please elaborate this strategy in terms of how best to decide the right strike price to select, (i agree it is all about delta) but like for example certain times you select weekly option and at other times you select monthly so what is the trigger/logic we take this decision, also it is important to keep buffer capital to exit current position / initiate new position right ? any thumb rule ? though we call this delta neutral it helps to be slightly biased either bullish/bearish right ?? and it is important we observe certain SUP/RES levels for this strategy right ? what would / how do we identify those levels.
Appreciate your support,
Thanks!!! |
PMG - yeah this month the positions went into M2M loss as banknifty ran up 1000+ points within 2/3 days which is always bad for option writers. I will need to actively manage this position now to turn it into profits.
you are right its good to have some delta and that's why I suggested 0.8 to 1.2 delta of options instead of 1
You can use any strategy to create a view on the mkt (EMA crossovers or weekly pivots or MACD signals) ... in this strategy it is not about being right about the market. It is about keeping your delta close to neutral which will allow the position to become profitable after 2-3 weeks of holding it.
Cheers
SH |
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adg123
White Belt
Joined: 20 Feb 2014
Posts: 8
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| Post: #160 Posted: Tue Feb 07, 2017 9:33 am Post subject: |
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Hi Alche, any update of your trade?
How to choose right strike, I mean near week / far week etc.  |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #161 Posted: Tue Feb 07, 2017 9:45 am Post subject: |
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Booking 20000 PE of 9th Feb expiry at 50 now
Positions currently open
Buy BNF (feb) at 19057
Sold 19000 CE (23rd Feb) at 445
Sold 19500 CE (23rd Feb) at 225
Sold 2 lots 20200 PE at 271
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
Sold 19600 PE (23rd Feb) at 392, exited at 171 = 221 points profit
Sold 19400 CE (2nd feb) at 88, exited at 617 = 529 points loss
Sold 2 lots 19800 PE (23rd Feb) at 295, exited at 200 = 190 points profit
Sold 2 lots 20000 PE at 324, exited at 195 = 258 points profit
Sold 2 lots 20000 PE at 160 (9th Feb), booked at 50 = 220 points profit
Total profit booked till now = 510 points
Cheers
SH |
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pmg123
White Belt
Joined: 14 Nov 2009
Posts: 25
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| Post: #162 Posted: Tue Feb 07, 2017 9:57 am Post subject: Re: RE: |
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| Alchemist wrote: | | pmg123 wrote: | hello Alche,
long time hope you remember me, we had interacted earlier.
Observing this strategy for last few days, you are demonstrating the power of Theta very well, both realized and unrealized profit together this was -ve for last few days and around 12.15 today it went it to the +ve for few minutes, with lot more days to go, this will return minimum 200+ points profit in coming days, I am sure.
Great job, Alche, keep it up!
Request if you could please elaborate this strategy in terms of how best to decide the right strike price to select, (i agree it is all about delta) but like for example certain times you select weekly option and at other times you select monthly so what is the trigger/logic we take this decision, also it is important to keep buffer capital to exit current position / initiate new position right ? any thumb rule ? though we call this delta neutral it helps to be slightly biased either bullish/bearish right ?? and it is important we observe certain SUP/RES levels for this strategy right ? what would / how do we identify those levels.
Appreciate your support,
Thanks!!! |
PMG - yeah this month the positions went into M2M loss as banknifty ran up 1000+ points within 2/3 days which is always bad for option writers. I will need to actively manage this position now to turn it into profits.
you are right its good to have some delta and that's why I suggested 0.8 to 1.2 delta of options instead of 1
You can use any strategy to create a view on the mkt (EMA crossovers or weekly pivots or MACD signals) ... in this strategy it is not about being right about the market. It is about keeping your delta close to neutral which will allow the position to become profitable after 2-3 weeks of holding it.
Cheers
SH |
Thanks buddy!!  |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #163 Posted: Tue Feb 07, 2017 5:55 pm Post subject: |
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So the strategy has already moved in 300+ points notional profit at todays day end i.e I would make 340 odd points profit if I had closed all open positions today before mkt close.
However I am holding for more.
Cheers
SH |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #164 Posted: Tue Feb 07, 2017 6:05 pm Post subject: |
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| adg123 wrote: | Hi Alche, any update of your trade?
How to choose right strike, I mean near week / far week etc. |
That totally depends on your risk appetite and what all options are you holding... I would generally suggest go for last week of the month as that's where you get the highest premium.
Cheers
SH |
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Alchemist
Yellow Belt
Joined: 09 Aug 2010
Posts: 853
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| Post: #165 Posted: Wed Feb 08, 2017 3:57 pm Post subject: |
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The notional profit is 394 now as of today's closing prices.
Holding for more.
Cheers
SH |
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