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Delta neutral Theta biased trading
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Author Delta neutral Theta biased trading
Redlionviji
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Joined: 22 Oct 2016
Posts: 47

Post: #181   PostPosted: Fri Feb 17, 2017 9:38 am    Post subject: Reply with quote

woww...Great and very correct expecting!!!! Smile
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vohiyaar
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Joined: 17 Feb 2017
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Post: #182   PostPosted: Sat Feb 25, 2017 11:45 am    Post subject: Reply with quote

Hey Alchemist,

First of all congratulations on the successful trading with Delta Neutral Strategies.

I am new on this forum, and found your thread looking for what the group is discussing on Delta Neutral Strategies.

I see that you are selecting in most trade initiations, a Future and either a group of Calls or Puts to balance deltas. This results in selection of Strikes for the options where Deltas are close to 40 for the individual options to balance the delta of 1 of the Future.

Any reason you choose this system vs. selection of 15 delta Call and Put strikes on either side of the market to start with? This gives you a 70% POP trade at initiation. Trade management can be similar with moving unchallenged options towards the market or by adding/laddering positions as market moves to keep delta balanced.

Cheers on further successful trading with Delta Neutral Strategies!
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Alchemist
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Joined: 09 Aug 2010
Posts: 853

Post: #183   PostPosted: Mon Feb 27, 2017 3:32 pm    Post subject: Reply with quote

Opened a fresh strategy for March month this morning. This is the last month when I will update my trades here under this thread.

Trade currently open

BNF Fut shorted at 20750
BNF 20700 PE sold at 368
BNF 20500 PE sold at 289
BNF 20000 PE sold at 145

Cheers
SH
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paa
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Joined: 28 Sep 2010
Posts: 178

Post: #184   PostPosted: Mon Feb 27, 2017 6:13 pm    Post subject: Reply with quote

Dear Alchemist
Can you please add the delta of this trade in your posts and update when you make adjustments?
As per your convenience......

thumbup
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amitagg
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Joined: 01 Oct 2013
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Post: #185   PostPosted: Mon Feb 27, 2017 10:40 pm    Post subject: Reply with quote

[quote="paa"]Dear Alchemist
Can you please add the delta of this trade in your posts and update when you make adjustments?
As per your convenience......

thumbup[/quote

again interjecting

learn to calculate yourself although I must admit I have got the same feeling as yours many a time
many brokergae software has it - you can see individual and overall delta as well of open positions and also add optional trades / adjustments based on cmp to see how adjustments work in live market.

it will help to learn
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Alchemist
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Joined: 09 Aug 2010
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Post: #186   PostPosted: Wed Mar 01, 2017 10:06 am    Post subject: Reply with quote

m profit Positions moved in M2M profit now. Made one adjustment this morning.

Exited 20000 PE at 111 and sold 20500 PE at 234 instead

Trade currently open

BNF Fut shorted at 20750
BNF 20700 PE sold at 368
BNF 20500 PE sold at 289
BNF 20500 PE sold at 234

Positions closed till now

BNF 20000 PE sold at 145, exited at 111 = Profit 34 points

Cheers
SH[/quote]
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Alchemist
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Post: #187   PostPosted: Thu Mar 02, 2017 11:06 am    Post subject: Reply with quote

BNF is bullish now on my charts so made an adjustment today

Booked 20500 PE sold at 224
Sold 20700 PE at 286

Trade currently open

BNF Fut shorted at 20750
BNF 20700 PE sold at 368
BNF 20500 PE sold at 234
BNF 20700 PE sold at 286

Positions closed till now

BNF 20000 PE sold at 145, exited at 111 = Profit 34 points
BNF 20500 PE sold at 289, exited at 224 = Profit 65 points

Cheers
SH
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Alchemist
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Joined: 09 Aug 2010
Posts: 853

Post: #188   PostPosted: Fri Mar 03, 2017 9:33 am    Post subject: Reply with quote

Made some further adjustments yesterday before closing as BNF reversed. Those adjustments were:

Exited 20700 PE at 389
Exited 20500PE at 324
Sold 2 lots 20800 CE at 293

And today morning shorted 1 lot 20200 PE at 214

Trade currently open

BNF Fut shorted at 20750
BNF 20700 PE sold at 286
Sold 2 lots BNF 20800 CE at 293
Sold 1 lot 20200 PE at 214

Positions closed till now

BNF 20000 PE sold at 145, exited at 111 = Profit 34 points
BNF 20500 PE sold at 289, exited at 224 = Profit 65 points
BNF 20700 PE sold at 368, exited at 389 = Loss 31 points
BNF 20500 PE sold at 234, exited at 324 = Loss 90 points


Cheers
SH
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Alchemist
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Joined: 09 Aug 2010
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Post: #189   PostPosted: Fri Mar 03, 2017 12:21 pm    Post subject: Reply with quote

Made one more adjustment, booked 1 lot 20800 CE at 231 now

Trade currently open

BNF Fut shorted at 20750
BNF 20700 PE sold at 286
Sold 1 lots BNF 20800 CE at 293
Sold 1 lot 20200 PE at 214

Positions closed till now

BNF 20000 PE sold at 145, exited at 111 = Profit 34 points
BNF 20500 PE sold at 289, exited at 224 = Profit 65 points
BNF 20700 PE sold at 368, exited at 389 = Loss 31 points
BNF 20500 PE sold at 234, exited at 324 = Loss 90 points
BNF 20800 CE sold at 293, exited at 231 = Profit 62 points

Total profit booked till now = 40 points


Cheers
SH
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Alchemist
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Joined: 09 Aug 2010
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Post: #190   PostPosted: Mon Mar 06, 2017 10:29 am    Post subject: Reply with quote

made some more adjustments today.

Exited 20800 CE at 331, Exited 20200 PE at 156
Sold 20400 PE at 210 & 20000 PE at 112 instead.

Trade currently open

BNF Fut shorted at 20750
BNF 20700 PE sold at 286
Sold 20400 PE at 210
Sold 20000 PE at 112


Positions closed till now

BNF 20000 PE sold at 145, exited at 111 = Profit 34 points
BNF 20500 PE sold at 289, exited at 224 = Profit 65 points
BNF 20700 PE sold at 368, exited at 389 = Loss 31 points
BNF 20500 PE sold at 234, exited at 324 = Loss 90 points
BNF 20800 CE sold at 293, exited at 231 = Profit 62 points
Sold 20800 CE at 293, exited at 331 = Loss 38 points
Sold 20200 PE at 214, exited at 156 = Profit 58 points

Total profit booked till now = 60 points


Cheers
SH
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Alchemist
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Post: #191   PostPosted: Thu Mar 09, 2017 10:10 am    Post subject: Reply with quote

Option prices have not fallen at all this week (infact has gone up) given that election results are awaited this weekend.

made some more adjustments yesterday as below

Exited 20700 PE at 333 and sold 9th March 20700 PE at 84 instead.
Bought 20600 PE (March) at 360 and sold 20300 PE at 235

Trade currently open

BNF Fut shorted at 20750

Sold 20400 PE at 210
Sold 20000 PE at 112
Bought 20600 PE at 360
Sold 20300 PE at 235
Sold 20700 PE (9th march) at 84


Positions closed till now

BNF 20000 PE sold at 145, exited at 111 = Profit 34 points
BNF 20500 PE sold at 289, exited at 224 = Profit 65 points
BNF 20700 PE sold at 368, exited at 389 = Loss 31 points
BNF 20500 PE sold at 234, exited at 324 = Loss 90 points
BNF 20800 CE sold at 293, exited at 231 = Profit 62 points
Sold 20800 CE at 293, exited at 331 = Loss 38 points
Sold 20200 PE at 214, exited at 156 = Profit 58 points
BNF 20700 PE sold at 286, exited at 333 = 47 point loss

Total profit booked till now = 13 points


Cheers
SH
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Shlok
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Joined: 30 Jan 2016
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Post: #192   PostPosted: Thu Mar 09, 2017 12:07 pm    Post subject: Reply with quote

Yes, option price rising and so India VIX, thus opposing the theta time decay..
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Alchemist
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Post: #193   PostPosted: Thu Mar 09, 2017 1:51 pm    Post subject: Reply with quote

Shlok wrote:
Yes, option price rising and so India VIX, thus opposing the theta time decay..


Yes Shlok

However if on Tuesday the market closes with either mild gains or losses (ie either 1% up or down), I expect all option prices to fall by 35% to 40% on Tuesday itself.

It will be a gamble to carry sold options for Tuesday however if they are properly hedged, the reward is too good to ignore.

Cheers
SH
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Alchemist
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Post: #194   PostPosted: Thu Mar 09, 2017 4:14 pm    Post subject: Reply with quote

One more adjustment made before mkt close.

9th March 20700 PE at 84 exited at 20 and sold 16th March 20700PE instead for 211

Trade currently open

BNF Fut shorted at 20750

Sold 20400 PE at 210
Sold 20000 PE at 112
Bought 20600 PE at 360
Sold 20300 PE at 235
Sold 20700 PE (16th March) at 211

Positions closed till now

BNF 20000 PE sold at 145, exited at 111 = Profit 34 points
BNF 20500 PE sold at 289, exited at 224 = Profit 65 points
BNF 20700 PE sold at 368, exited at 389 = Loss 31 points
BNF 20500 PE sold at 234, exited at 324 = Loss 90 points
BNF 20800 CE sold at 293, exited at 231 = Profit 62 points
Sold 20800 CE at 293, exited at 331 = Loss 38 points
Sold 20200 PE at 214, exited at 156 = Profit 58 points
BNF 20700 PE sold at 286, exited at 333 = 47 point loss
Sold 20700 PE (9th march) at 84, exited at 20 = 64 points profit

Total profit booked till now = 77 points


Cheers
SH
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Alchemist
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Posts: 853

Post: #195   PostPosted: Fri Mar 10, 2017 9:26 am    Post subject: Reply with quote

Had made one more adjustment yesterday which I forgot to mention.

Had booked 20300PE at 208 and had sold 20500 PE (16 mar) at 183 instead.

Made one adjustment this morning, booked 20000 PE at 89 and sold 20800 PE of 16th mar at 195

Trade currently open

BNF Fut shorted at 20750
Sold 20400 PE at 210
Bought 20600 PE at 360
Sold 20700 PE (16th March) at 211
Sold 20500 PE (16 mar) at 183
Sold 20800 PE (16 mar) at 195

Positions closed till now

BNF 20000 PE sold at 145, exited at 111 = Profit 34 points
BNF 20500 PE sold at 289, exited at 224 = Profit 65 points
BNF 20700 PE sold at 368, exited at 389 = Loss 31 points
BNF 20500 PE sold at 234, exited at 324 = Loss 90 points
BNF 20800 CE sold at 293, exited at 231 = Profit 62 points
Sold 20800 CE at 293, exited at 331 = Loss 38 points
Sold 20200 PE at 214, exited at 156 = Profit 58 points
BNF 20700 PE sold at 286, exited at 333 = 47 point loss
Sold 20700 PE (9th march) at 84, exited at 20 = 64 points profit
Sold 20000 PE at 112, exited at 89 = 23 points profit
Sold 20300 PE at 235, exited at 208 = 27 points profit

Total profit booked till now = 127 points


Cheers
SH
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