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Hi /rsm005/
For TOS, please click on 'Gear symbol with Setup' on top right corner. Choose, 'General' tab and 'Display'. Then choose from drop down menu for 'Decimal places for Greeks'.
Regards,
Dilip
Thanks, Ron for sharing your detailed worksheet. I can't express myself in words your generosity in spreading knowledge in this thread.
Based on your worksheet, I have quickly and roughly found the following. (I will look at Acc Balance later.) % Drawdown No of trades
8 4
10 8
12 3
13 1
15 5
17 1
25 1
40 1 -> Could have exited with profit at 55% premium earlier. All other above-listed
drawdowns hit 50% premium later
They are not mutually exclusive eg one with 40% drawdown also has some of the other drawdowns.
From the above, I can conclude that it is safe to have drawdown limit of 25% as you would have hit it only twice for exiting at 50% premium. For 55% premium, you would hit it only once.
Does my analysis make any sense to you or anyone else?
By the way, you mentioned you now trade short at 6 delta. Any reason for this? Better premium for sure but how about drawdowns?
Regards,
Dilip
At the risk of butting in, it may be a little easier to use the Scanner in the spreadsheet to find similar results. Granted, it isn't set up to grab the data by contract month, but by using the Min/Max DTE you can grab what ever contract(s) that fall in that range for the day you are scanning (you don't have to try to figure out that for Nov 4 that the contract with a DTE closest to 100 is ESG6).
Also, if you drop your Min Val to $10, increase your Max Delta to 50 and drop your Min ROI to 0% and you'll get the entire chain of OTM options. Do the same, but increase your Max Delta to 100 and you get the entire option chain.
It probably doesn't make much difference. If there is a report coming out or the trend looks to be changing then I would get out at 40% drop rather than waiting for 50%.
Yes your analysis makes sense. But most of that research was done on an uptrending market. A market more like the current one that is trading with more volatility might give you a different answer.
6 delta on the short gives a better ROI. 5 delta on short is a little safer of a massive drop. (1.50 delta on longs)
For ES, to prevent blowing up on a day like 8/24/15, you want a short that is 5.00 to < 8.00. You want a net delta that is 2.00 to < 3.50. You want DTE >90 when entering the position and you need to be out by 60 DTE.
Is it normal to have very low Open Interest for puts on ES at this time of year? I'm looking at positions from 90 - 120 days out and see very little out there.
The option months that don't correspond to the quarterly futures (Mar, Jun, Sep, Dec) will always have less OI. Yes volume and OI is lower at this time of year.
If you do try to trade the April options I would definitely only trade the most used ones like 1650, 1600, 1375.
I have been catching up on last couple of months postings, now that I have caught up, I have a follow up with the posting #5101 (page 511) where you have compared naked option selling Vs spread selling. In that posting, the loss with spread option strategy on 08/25/15 is -366 and overall loss is around -101,000 (brings ROI for the year to 47%). I am not sure how this compares to postings #5021 and #5023 (on page 503) where same spread settings (5 delta short and 2, 1.5 deltas long), gives 145 profit and did not cause margin call. With this observation, the recent posting (5101) should be okay with 08/24 and 08/25 massive drops, and should be profitable and not causing margin calls. right?
I just want to make sure I am not missing anything.