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  1. Today
  2. Stanislav

    Free RV Real-Time Tool (with Chartaffair data)

    @Christof+, yes, old little programming trick with LongPtr. My version should work on 32-bit versions of Excel too. All my modifications are backward compatible with 32-bit builds, and I didn't change output file format (so it should work on pre-Excel 2019 versions). Probably it's worth checking - if this sheet works fine with your Excel 32-bit version, you can keep only one version on the website.
  3. Christof+

    Free RV Real-Time Tool (with Chartaffair data)

    Nice @Stanislav ! Did actually not think of the LongPtr type (there indeed were a couple of data type issues about which users wrote me about and which I was unable to reproduce). I will add your version as the separate 64-bit version to the download page.
  4. Yesterday
  5. Also.... Many of those calendars are still at half allocation sizing. We closed a few straddles for gains at the end of last week, and given that VIX spiked so did a lot of stock's straddle RV. Entering straddles right after RV spikes typically does turn out so great as RV levels tend to fall over subsequent days and hurt the straddle price (certainly with some exceptions but more times that not RV falls to some degree). XLNX was opened, but its RV level stayed relatively flat on Friday afternoon and its only going to be open for one or two days.
  6. Thanks. That is what I thought. It seems like the calendars have been so cheap on the RV side lately we have cycled into a higher proportion of them which makes sense.
  7. @porgie. Have a look at the performance page since the start of the year. Of the latest 22 trades nine were Hedged Straddles, nine were calendars and four were straddles. So it is approx 50% Calendars and 50% of various straddles.
  8. This will give you the answer. Yowster produces this at the end of every year and is an excellent summary and breakdown of the year. (Last year 54 calendars and 106 strangles/straddles.)
  9. Just a quick question for the more experienced members. I have noticed that the overall official trade profile is pretty heavy on the calendar side currently--7 out of 9 trades. I realize this likely waxes and wanes as the trading opportunities present themselves, but in general is there usually more of a 50-50 balance between the earnings calendars and straddles. Thanks.
  10. Stanislav

    Free RV Real-Time Tool (with Chartaffair data)

    @Christof+, I took a quick look at your free tool - nice idea and implementation! Although TWS API is quite slow to return data history. Here are a few changes to add support for 64-bit Excel (I tried this on Excel 2019 64-bit): 1. Change GetTimeZoneInformation() return type to Long: 2. Change variable types to hold GetTickCount() value to LongPtr in TakeNap(): 3. I also had to type to the Host field on General page. With empty host the ActiveX control did not want to connect to TWS. So I suggest setting this field to by default. 4. Plus I disabled the annoying message that ChartAffair Key is invalid, as it appreared too often. I attached Excel sheet with my modifications - probably would be helpful to someone. Chartaffair Real-Time RV Tool.xlsm
  11. Michael C. Thomsett

    Estimating Delta for Calls or Puts

    Delta describes how option premium reacts to movement in the underlying security. Like a stock’s Beta, the option’s Delta is going to vary based on specific factors, notably the moneyness of the option. The farther out of the money and the longer the time to expiration, the less premium should be expected to react to underlying price changes. A change in time value may be offset by opposite movement in extrinsic value for in-the-money contracts, and out-of-the-money options are likely to under-react to changes in the underlying. Putting this another way, the option’s volatility reacts to the underlying’s historical volatility depending on moneyness and time to expiration. This is easily overlooked in the uncertain assumptions that traders can make about volatility itself. There is nothing clear or certain about option premium behavior, and this simply is a reality that must be accepted. Delta – notated with the Greek letter Δ – is used to identify this often confusing relationship. It ranges between 1.0 and -01.0. The call is always a positive value from 1.0 to 0 and the put is a negative value between 0 and -1.0. An approximation of Delta can be shown in the table. This estimate, or rule of thumb, is useful in demonstrating the workings of Delta, which naturally varies with every underlying and its character. As with all such indicators, it is most valuable when used as a comparative tool. To arrive at Delta, divide the derivation (ð) of the option (O) by the derivation (ð) f the underlying (S): Δ = ðO ÷ ðS You may assume that Delta will move by 0.5 points for each movement in the underlying. A 2-point upward move in the underlying should create a one-point change in Delta: 2 * 0.5 = 1.0 For a put, the same change is negative, so a two-point upward move creates a one-point decline: 2 * -0.5 = -1.0 As expiration becomes closer, Delta will tend to escalate for ATM or near-ATM positions. These general “rules” for Delta are applicable for long options. They are opposite for short options, however. Duplicating the previous chart but showing Delta changes likely to be seen for short options produces the opposite outcomes: Delta helps determine the number of open positions required to hedge a position in the underlying security. When the two sides are the same, they are at position Delta, also called a hedge ratio. This can also be defined in a somewhat different manner: Delta is a measure of the dollar change in an option resulting from a dollar change in the value of the underlying asset. It is an extremely useful option-pricing statistic, being a prerequisite for the determination of an option hedge ratio. (Strong, Robert A. & Dickinson, Amy (Jan/Feb 1994). Forecasting better hedge ratios. Financial Analysts Journal, 5(1), 70) For example, if an ATM option shows Delta of 0.5, it means there is a 50% chance it will end up ATM and a 50% chance it will move to OTM. When looked at in this manner, Delta is a moneyness probability proxy. This means you need two ATM options to hedge an underlying position. In other words, two long options will act as hedges one short position with maximum Delta of 1.0: 2 * 0.5 – 1.0 This creates a “Delta neutral” situation that can be altered by changing the number of underlying positions, either long or short. For ex ample, going from two long calls to three Delta positive sets of 1.5 instead of the exact 1-to-1 hedge, sets up: 3 * 0.5 = 1.5 This also works with puts when setting up a Delta negative, bearish position in options, involving either short calls or long puts. With the Delta range between zero and one, the relationship is shown as: Δp = Δc - 1 Delta is much more than just a test comparing option premium to the underlying. It also is used to set up specific hedging strategies. The most popular is the Delta spread, where a Delta neutral position is set up like the one described above, but to hedge this, the trader also buys or sells options proportionate to the Delta neutral position. In this strategy, positive and negative Deltas are offset so that over the entire range of positions, Delta becomes zero. A trader entering a Delta spread expects to realize a profit if the underlying security does not stray very far in its range of price. The most advantageous timing of a Delta spread is when the underlying is range-bound in a consolidation pattern. But losses are also possible, potentially large losses, if the underlying moves far above or below the middle price range. This usually is set up as a calendar spread involving short-term short positions offset by longer-term long positions. Small price movements will not cause losses but will also inhibit even small profits from developing. The strategy relies on the short position losing time value and either expiring or being closed at a profit, and then hoping the long option becomes profitable or breaks even as well. There is more to Delta than just comparing option to the underlying. It is most valuable when compared between two or more different underlying securities and their options, as one of many tools for picking the most favorable positions given assumptions about volatility levels. Michael C. Thomsett is a widely published author with over 80 business and investing books, including the best-selling Getting Started in Options, coming out in its 10th edition later this year. He also wrote the recently released The Mathematics of Options. Thomsett is a frequent speaker at trade shows and blogs on his website at Thomsett Guide as well as on Seeking Alpha, LinkedIn, Twitter and Facebook.
  12. Last week
  13. I added live cattle to the system this week. On the signals sheet it is "LC". The ticker to trade it is "LE". I'm not sure yet what fills will be like.
  14. Earlier
  15. Kim

    tastytrade review (Tom Sosnoff)

    They did it again! tastytrade brings the convicted criminal Karen the SuperTrader to their show again. She is using the fees she collected from her clients to travel the world while her victims still recovering from the millions of losses she caused. Instead of admitting they were wrong to bring her to the show to to promote her, they are doubling and tripling down on a losing trade.
  16. In one of the other boards, someone posted an image from Think Or Swim. It basically shows the real world prices for options trades (not the mid prices). Does anyone know if there is a way to view this info using Interactive Brokers?
  17. cwelsh

    Welcome to Anchor Trades

    Step 3 is the weekly rolls, and there are existing threads on it, most of which are in the subscription forums:
  18. cwelsh

    Leveraged Anchor is Boosting Performance

    You missed the comment in the next paragraph that "assumed we paid for the hedge from selling short each week." So instead of the loss on the short puts, that's actually a gain of the $12,800. The purpose of the example was just to show the difference in levered performance ignoring the short put position.
  19. EdSeba

    Leveraged Anchor is Boosting Performance

    Sorry, I'm trying to figure this out out and most likely I'm missing something. Can you provide some clarity as to how is the constructed portfolio showing a balance of $100,963 when the spot at expiry is still 266.92? Mu calculations show the below. What am I missing? Payout PnL Long 8 June 21, 2019 265 Puts $0 -$12,800 Short 3 May 25, 2018 286.5 Puts -$5,874 -$4,872 Long 4 June 21 2019 150 Calls $46,768 -$256 Long 100 shares of SPY $26,692 $0 Left over cash $14,486 $0 TOTAL $82,072 -$17,928
  20. Michael C. Thomsett

    Are Covered Calls a ‘Sure Thing?’

    Two primary flaws are found in covered calls, and these should be well understood by anyone decided to sell a call. First is the potential lost opportunity risk. If the underlying price rises far above the strike and the call is exercised, shares are called away – often well below current market value. A covered call writer needs to understand this risk and accept it in exchange for consistent income from the position. A second flow is that profits are always limited. The maximum profit is the premium received for selling the call or calls; however, a very real risk of net loss also exists. If the underlying price falls below net basis, a paper loss results. This means a writer has to either realize the loss or wait it out in the hope that price will rebound in the near future. For example, a trader buys 100 shares at $40 and sells a call with a 42.50 strike, expiring in two months. Net premium received is 3 ($300). The net basis is $37 per share (purchase price minus premium received). If the underlying price falls to $32 per share, the trader allows the call to expire worthless, but now has a paper loss of 5 ($500). Should the trader sell shares and cut losses, sell another covered call, or wait it out in the belief the price will turn around? The outcome should compare a limited maximum profit to unlimited possible losses. The risk is no greater than just owning shares, but it remains a risk just the same. A solution is to focus on underlying issues with exceptionally strong fundamentals (high dividend yield, 10 years of increasing dividends per share, annual high/low P/E between 25 and 10, growing revenue and net return, and a level or declining debt to total capitalization ratio). Strong fundamentals reduce volatility in stock prices over time, making covered calls safer than those for stocks with high volatility or erratic swings. But this is a deferred factor, not something seen to have an immediate impact: Fundamentals matter, but it takes time for the market to recognize and fully absorb the improvement in a sector’s fundamentals. When the market is not perfectly efficient, the firm’s market value can differ from its fundamental value. (Zhang, D. (2003). Intangible assets and stock trading strategies. Managerial Finance, 29 (10), 38-56) In other words, markets are inefficient. We hear this said a lot, but many people do not appreciate the meaning of the observation. Covered calls are not sure things and market inefficiency makes covered call writing higher-risk at times than options traders might believe. This is one reason n it makes sense to focus on very short-term expiration cycles. The longer a short option is left open, the greater the risk of unexpected and undesirable price movement. With expiration in one to two weeks at the most, time decay makes profitability more likely than the longer-term option selections. Based on the dollar amount received for selling options, many prefer to go out two or three months (or more). But in comparing short-term and longer-term options on an annualized basis, the shorter-term option yields better net returns. In other words, selling 8 two-week options is more profitable than selling two 8-week options. The dollar value of premium can be deceptive, and the only way to make valid comparisons is to restate returns on the annualized basis. A second advantage in the shorter-term option is rapid time decay, reducing risk exposure and allowing traders to roll trading capital over many times to avoid the unexpected. It also makes sense to avoid holding open covered calls in two conditions. First is quarterly dividend date. If a covered call is open in the days immediately prior to ex-dividend date and the call is in the money, traders can execute a dividend capture strategy, call away your shares, earn a quarterly dividend in one or two days, and then dispose of shares. This means you do not earn the dividend and you lose shares you want to keep. The second date to avoid is the day of quarterly earnings announcements. In case of an earnings surprise, the underlying can move in an unexpected way, often exaggerating the response to the surprise itself and leading to early exercise. In any strategy, even the assumed “sure thing” of a covered call, risk assessment and equally important risk awareness should be taken into account in judging a position. What is your exit strategy with the covered call? One conservative approach is to close a position when a certain percentage of profits are realized; but options traders know that setting goals is easier than following them. It often is too tempting to hold off closing in the hope of more profits tomorrow or next week. No one can know for sure when profits will suddenly turn into losses, so setting a conservative goal and then taking action when that goal is reached, is a wise method for avoiding losses. The lesson worth remembering in this is that there are no sure things in any form of trading. It’s true than covered calls are wonderfully consistent cash cows for traders, but anything can go wrong at any time, so traders need to (a) diversify risk exposure, (b) know the true risks to any strategy, and (c) limit exposure by time to expiration. Know when to take profits and set your rules. Then follow them consistently. Michael C. Thomsett is a widely published author with over 80 business and investing books, including the best-selling Getting Started in Options, coming out in its 10th edition later this year. He also wrote the recently released The Mathematics of Options. Thomsett is a frequent speaker at trade shows and blogs on his websiteat Thomsett Guide as well as on Seeking Alpha, LinkedIn, Twitter and Facebook. Related articles: Uncovering The Covered Call Covered Calls –Does Rolling Forward Mean Higher Risk? Leverage With A Poor Man’s Covered Call 2 Tweaks To Covered Calls And Naked Calls Dangers Of The Covered Call
  21. candreouTrade

    Welcome to Anchor Trades

    Can you add a description for step 3 here too please
  22. candreouTrade

    Welcome to Anchor Trades

    Can you add step 3 description here too please.
  23. Kim

    January 2019 Performance Analysis

    Billionaire Bill Ackman's hedge fund delivered 58% returns in 2019 after making a big investment in Warren Buffett's Berkshire Hathaway I'm wondering how those "smart" investors who pulled money from the fund a year ago feel now? Maybe the same as some of our members who cancelled after our January 2019 drawdown, and missed the 63% recovery in the second half of 2019?
  24. Kim

    Lessons from Bill Ackman's comeback

    Billionaire Bill Ackman's hedge fund delivered 58% returns in 2019 after making a big investment in Warren Buffett's Berkshire Hathaway I'm wondering how those "smart" investors who pulled money from the fund a year ago feel now? Maybe the same as some of our members who cancelled after our January 2019 drawdown, and missed the 63% recovery in the second half of 2019?
  25. Second, we were targeting negative correlation with the broader stock indexes to maximize the diversification benefits for people using this system as part of a broader portfolio. Third, we wanted to make trading the system predictable from a time standpoint. To accomplish these three objectives we built a mechanical trend following system using options on futures contracts that signals every Friday morning. The system is always in the market. To manage risk across all the contracts we use at the money option debit spreads targeting an overall delta based on the variation of the underlying future. We are currently trading 10 underlying commodity and financial futures. Like all trend systems we expected the overall returns to be positive, but the month to month performance to be lumpy with occasional large winning months. In the following table I show the monthly performance of the trend system since July compared to the SocGen Trend Followers Index and the S&P 500.The cumulative return on the Steady Futures portfolio for the 6 month period is 8.5% versus 1.6% for the SocGen Trend Followers Index. Additionally, our returns were non-correlated to the S&P 500 index returns. Trend following systems often perform poorly during stock bull markets. Considering this tendency we are very happy with the performance of the system over this period. Our win rates are in line with expectations. As a reminder, trend systems tend to have low win rates but larger wins than losses. Some successful trend systems have win rates as low as 40%. Changes to the System for 2020 It is important to think about what the sources of the performance difference between our system and the trend followers index are, and whether we are happy with those performance differences. While it is hard to quantify these drivers (we don't know exactly what or how others are trading) we can make some reasonable assumptions based on what we know about trend systems and what some managers say publicly. We've identified two underlying drivers for the performance difference. The first driver is differences in timing and signaling between our system and most trend followers. Most trend followers use various moving average or break out style systems. We generate our signals using statistical forecasting techniques. Additionally, we auto-optimize our model parameters based on trailing market conditions. During long trends we find that we achieve similar returns as other systems. We do find that during some trend reversals or during extreme weekly moves our system will often reverse faster than some of these other systems. Considering this is a feature of our process we are happy with performance differences that are driven by our forecasting process. The second driver of performance difference is lack of diversification across underlying contracts. Due to liquidity issues with some options we reduced our actively traded underlying contracts to 10 by the end of the year. Many large CTAs will trade well over 50 different underlying contracts. One of our goals for 2020 is to add at least 5 more underlying contracts to the system. We believe this additional diversification will improve our risk adjusted return over 2020.
  26. Performance Dissected Check out the Performance page to see the full results. Please note that those results are based on real fills, not hypothetical performance, and exclude commissions, so your actual results will be lower, depending on the broker and number of trades. Please read SteadyOptions 2019 Performance Analysis for full analysis of our 2019 performance. We have extensive discussions about brokers and commissions on the Forum (like this one) and help members to select the best broker. Please refer to How We Calculate Returns? for more details. Our strategies SteadyOptions uses a mix of non-directional strategies: earnings plays, Straddles, Iron Condors, Calendar Spreads, Butterflies etc. We constantly adding new strategies to our arsenal, based on different market conditions. SO model portfolio is not designed for speculative trades although we might do some in the speculative forum. SO is not a get-rich-quick-without-efforts kind of newsletter. I'm a big fan of the "slow and steady" approach. I aim for many singles instead of few homeruns. My first goal is capital preservation instead of doubling your account. Think about the risk first. If you take care of the risk, the profits will come. What's New? We continue expanding the scope of our trades. We are now trading hedged straddles, short term straddles, ratio spreads and more. We launched Steady Momentum and Steady Futures services. We have implemented more improvements to the straddle strategy that reduces risk and enhances returns. We started using the CMLviz Trade Machine to find and backtest some of our trades. This is an excellent tool that already produced few nice winners for us. What makes SO different? We use a total portfolio approach for performance reporting. This approach reflects the growth of the entire account, not just what was at risk. We balance the portfolio in terms of options Greeks. SteadyOptions provides a complete portfolio solution. We trade a variety of non-directional strategies balancing each other. You can allocate 60-70% of your options account to our strategies and still sleep well at night. Our performance is based on real fills. Each trade alert comes with screenshot of our broker fills. We put our money where our mouth is. Our performance reporting is completely transparent. All trades are listed on the performance page, with the exact entry/exit dates and P/L percentage. It is not a coincidence that SteadyOptions is ranked #1 out of 723 Newsletters on Investimonials, a financial product review site. Read all our reviews here. The reviewers especially mention our honesty and transparency, and also tremendous value of our trading community. We place a lot of emphasis on options education. There is a dedicated forum where every trade is discussed before the trade is placed. We discuss different strategies and potential trades. Unlike most other services that just send the trade alerts, our members understand the rationale behind the trades and not just blindly follow the alerts. SO actually helps members to become better traders. Other services In addition to SteadyOptions, we offer the following services: Anchor Trades - Stocks/ETFs hedged with options for conservative long term investors. Anchor Trades produced 38.4% gain in 2019, beating its benchmark by 7.0%. Steady Momentum - puts writing on equity indexes and ETF’s. Steady Momentum produced 19.1% gain in 2019, beating our benchmark by 5.5%. PureVolatility - Volatility products like VXX and UVXY. PureVolatility produced 28.3% gain in 2019. Steady Futures - a systematic trendfollowing strategy utilizing futures options. Steady Futures produced 8.6% gain in the second half of 2019 (launched in July 2019). We offer a 5 products bundle (SteadyOptions, Steady Momentum, Anchor Trades, PureVolatility and Steady Futures) for $745 per quarter or $2,495 per year. This represents up to 50% discount compared to individual services rates and you will be grandfathered at this rate as long as you keep your subscription active. Details on the subscription page. More bundles are available - click here for details. Subscribing to all services provides excellent diversification since those services have low correlation, and you also get the ONE software for free for 12 months with the yearly bundle. We also offer Managed Accounts for Anchor Trades and Steady Momentum. Summary 2019 was another excellent year for our members. All our services delivered excellent returns. SteadyOptions is now 8 years old. We’ve come a long way since we started. We are featured on Top 100 Options Blogs by commodityhq, Top 10 Option Trading Blogs by Options trading IQ, Top 40 Options Trading Blogs, Top 15 Trading Forums, Expertido Best Options Trading Blogs and more. I see the community as the best part of our service. I believe we have the best and most engaged options trading community in the world. We now have members from over 50 counties. Our members posted over 125,000 posts in the last 8 years. Those facts show you the tremendous added value of our trading community. I want to thank each of you who’ve joined us and supported us. We continue to strive to be the best community of options traders and continuously improve and enhance our services. Let me finish with my favorite quote from Michael Covel: "Profits come in bunches. The trick when going sideways between home runs is not to lose too much in between." If you are not a member and interested to join, you can click here to join our winning team. When you join SteadyOptions, we will share with you all we know about options. We will never try to sell you any additional "proprietary systems", training, webinars etc. All our "secrets" are included in your monthly fee. Happy Trading from SO team!
  27. Alan

    Techniques for Growing a Small Account

    Kim, I have been downloading old posts by you to help my son learn about options. Do you know if the ebook mentioned in your post is still available?
  28. Kim

    Anchor 2019 Performance Analysis

    Thank you @cwelshGreat job! I want you to read this sentence one more time: The strategy outperformed the S&P 500 in 2019 by 7.2% while being hedged. We all like to make money, but at the same time, not losing when the markets go down. This is why many people hedge. Well, there is a catch: hedging reduces your returns. Hedging costs money. Except for the Anchor strategy, it didn't: not only hedging did not cost us money, but the strategy actually OUTPERFORMED the S&P by 5%. Of course Anchor does not perform equally well under all market conditions - no strategy does. If S&P was up only 10%, the Anchor would likely slightly underperform (this where Steady Momentum would likely perform better). And the tradeoff was being slightly less hedged. But I believe most retail investors and fund managers would be extremely happy to get those numbers on a hedged strategy.
  29. Kim

    Momentum 2019 Performance Analysis

    Thank you @Jessegreat job! I think your statement "SMPW performed as expected." is a bit modest. If PUTW historically outperforms the markets with less volatility, and SMPM outperformed the PUTW by 5.5%, I would consider it an outstanding result.
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