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Delta neutral Theta biased trading |
Redlionviji White Belt
Joined: 22 Oct 2016 Posts: 47
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Post: #181 Posted: Fri Feb 17, 2017 9:38 am Post subject: |
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woww...Great and very correct expecting!!!! |
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vohiyaar White Belt
Joined: 17 Feb 2017 Posts: 1
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Post: #182 Posted: Sat Feb 25, 2017 11:45 am Post subject: |
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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 Yellow Belt
Joined: 09 Aug 2010 Posts: 853
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Post: #183 Posted: Mon Feb 27, 2017 3:32 pm Post subject: |
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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 White Belt
Joined: 28 Sep 2010 Posts: 178
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Post: #184 Posted: Mon Feb 27, 2017 6:13 pm Post subject: |
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Dear Alchemist
Can you please add the delta of this trade in your posts and update when you make adjustments?
As per your convenience......
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amitagg Black Belt
Joined: 01 Oct 2013 Posts: 4559
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Post: #185 Posted: Mon Feb 27, 2017 10:40 pm Post subject: |
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[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......
[/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 Yellow Belt
Joined: 09 Aug 2010 Posts: 853
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Post: #186 Posted: Wed Mar 01, 2017 10:06 am Post subject: |
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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 Yellow Belt
Joined: 09 Aug 2010 Posts: 853
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Post: #187 Posted: Thu Mar 02, 2017 11:06 am Post subject: |
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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 Yellow Belt
Joined: 09 Aug 2010 Posts: 853
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Post: #188 Posted: Fri Mar 03, 2017 9:33 am Post subject: |
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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 Yellow Belt
Joined: 09 Aug 2010 Posts: 853
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Post: #189 Posted: Fri Mar 03, 2017 12:21 pm Post subject: |
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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 Yellow Belt
Joined: 09 Aug 2010 Posts: 853
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Post: #190 Posted: Mon Mar 06, 2017 10:29 am Post subject: |
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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 Yellow Belt
Joined: 09 Aug 2010 Posts: 853
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Post: #191 Posted: Thu Mar 09, 2017 10:10 am Post subject: |
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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 White Belt
Joined: 30 Jan 2016 Posts: 18
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Post: #192 Posted: Thu Mar 09, 2017 12:07 pm Post subject: |
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Yes, option price rising and so India VIX, thus opposing the theta time decay.. |
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Alchemist Yellow Belt
Joined: 09 Aug 2010 Posts: 853
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Post: #193 Posted: Thu Mar 09, 2017 1:51 pm Post subject: |
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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 Yellow Belt
Joined: 09 Aug 2010 Posts: 853
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Post: #194 Posted: Thu Mar 09, 2017 4:14 pm Post subject: |
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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 Yellow Belt
Joined: 09 Aug 2010 Posts: 853
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Post: #195 Posted: Fri Mar 10, 2017 9:26 am Post subject: |
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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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