Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
I haven't because of low volume traded on those options.
The last column on the right shows the monthly ROI if the contract is held until the month above it on the list.
So the Oct 1600 if held and bought back at the prices listed for the Sep 1600 would give you 4.8% ROI. So you sell at 3.95 and buy back 28 days later at 2.10 and use 625 as the IM.
The Sep would give you 4.5% if held until prices for Aug 1600. About the same.
The Aug ROI is only 3.1%. Alot less than the further DTE options.
The ROI column is if you held to expiration. 7.50 RT cost is used.
I did some research using SPAN spreadsheet (thanks Dudetooth and Ron).
I just entered different strikes (from 1590 to 1935) with different deltas (from 3 to 30) for time period of last year big drop (2014.09.19 + 30 days) and put all options under test (IMx3, % and DD%).
The biggest surprise: neither option with delta 3 nor option with delta 30 didn't exceed IMx3 threshold!?
I added a column U (the RT cost is in cell V1. I used 6.00.) showing the Monthly ROI if you exit at 50% on that day. The selected cell in that column is the first day the option settled at or below 50%.
For all of the options with a delta under 19.00 the ROI was in a narrow range of 3.0-3.3. The days held was lowest for the lowest delta option.
So then it makes sense to trade the lower delta options because your ROI is about the same and your days held is less which should increase yearly profit.
I think a more important consideration is the fact that the drawdown % was 41% trading the high delta options vs 24% trading 3 Delta options. This is an example of the market coming back. We all know that in our future is a market that exceeds the 3xIM threshold and I'm not interested in risking > 40% of my account.
Nonetheless, thank you uuu1965 for doing this study.
It was up from 2114.75 on Thu close to 2116.50 at 8:34 am ET on Friday.
It was down from 2116.50 at 8:34 am ET Friday to 2097.75 on Friday close.
The price at the close on Friday 6/12 was 2085.00 (ESu5). The price rose from there to 2116.50 at 8:30 am ET on Friday 6/19. That's +31.50 in 6 1/2 days.
Do you guys usually find that pricing yourself at the midpoint between the bid and ask gets taken or do you have to move it a few points and throw a bone to those blood suckers?