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  2. Kim

    Building a Short Strangles Portfolio

    Agree regarding portfolio margin. Personally I still wouldn't be comfortable with 3x leverage in notional value, but that's just me. I also would never be comfortable holding a portfolio of only gamma negative strategies. You never know when the next flash crash will come. Again, matter of personal choice. I will also never tell my followers that my strategy is the only way to consistently be successful and make money. You should trade what works for you and what you feel comfortable with.
  3. Today
  4. Stephan Haller

    Building a Short Strangles Portfolio

    @Kim In most underlyings in the portfolio the P&L the month before was great, since markets didn't move much. The next months would have been pretty good either, since vol was extremely overstated. In a regular margin account it is hard to over leverage on short strangles/straddles. Most people I know (including myself) over leveraged in credit spreads and/or iron condors. Portfolio margin is dangerous for most people. I always advise people who have portfolio margin to check out the CBOE regular margin calculator to see what regular margin would be and then size their positions like in a regular margin account. Portfolio margin is great when you need the extra buying power in an overnight move. Let's assume you had lots of short calls on before the 2016 election night and not much buying power left. With portfolio margin you could have bought the right amount of /ES and lock in your profits.
  5. Kim

    Building a Short Strangles Portfolio

    Thank you @Stephan Haller I'm not sure this is "the worst that can happen", as in Sep.2008 IV was already very high, and you got healthy credits for all straddles. However, don't forget that 20% is a one month loss. We don't know how previous and next trade performed, so we don't know what was the total drawdown. But I agree that the loss is very manageable. And we are in a full agreement that as long as you don't over leverage, the risk is reasonable. The problem is that with naked straddles/strangles, it's very easy to over leverage, especially if you have portfolio margin. In fact, I think very few people would base their position sizing on notional value instead of margin.
  6. mustafaoe

    Selling Short Strangles and Straddles - Does it Work?

    Very good output of the return output. What are the other benefits of ORATS vs. CMLViz. CMLViz looks like to be quite fast but no so real customizable. Am I right? What is the pricing of ORATs?
  7. Seems strange indeed. The source i use is the OCC, and that's where the July 12th is coming from : But you are right that they have disclaimer : "This list is compiled from sources believed reliable, but certain Weeklys could be included in the list or omitted from the list in error. Also, changes in listing decisions by the exchanges may not be immediately known or reflected in the list. You should always check with your brokerage firm or an exchange directly if you have any questions about the availability of any particular Weekly Options Series."
  8. @Djtux, can you pls have a look at the 'Weekly options introduced....' value for AABA - this doesn't seem right?
  9. Stephan Haller

    Building a Short Strangles Portfolio

    @Kim Great question! Here is the answer: https://steemit.com/steemleo/@stehaller/the-worst-that-can-happen-to-a-short-straddle-portfolio
  10. Jesse

    Selling Short Strangles and Straddles - Does it Work?

    Here's the results of the IWM backtest I did using ORATS Wheel:
  11. We're now almost two months into the change to the system where we trade atm spreads instead of going out of the money to get the appropriate delta. Since making the change the system has had 21 trades close as winners out of 31 total opened in July and August. That is probably a bit better than normal (August has been an amazing month) but we're seeing our signals and trade results more accurately track each other.
  12. Kim

    Selling Naked Strangles: The Math

    Take a look at this article where a long time tastytrade follower pretty much confirms our estimates. He is getting to ~15% annual return by applying ~2x leverage, but I'm wondering how much risk does it add.
  13. Kim

    Building a Short Strangles Portfolio

    So basically without leverage you would get around 6-7%, which is in line to my previous estimates here and here. The big question is how much volatility you add by increasing the leverage, and what would be the drawdown with leverage during periods like 2008 and 2011?
  14. Stephan Haller

    Building a Short Strangles Portfolio

    @Kim Of course, there are times when IWM makes a big down move and TLT makes a big move in the other direction. We have seen this lately, but you can get it under control by adding a short delta/short premium position in SPY, IWM, or QQQ when vol pops. IWM's correlation to SPY is 0.63 and TLT's correlation to SPY is -0.32. So long term they aren't this much negatively correlated. The easiest underlying to trade for short straddles is FXE, but you also get paid the least premium. I have been trading a short straddle/30 delta short strangle portfolio for almost 5 years now. But I have always made some adjustments to the strategy (like switching from a static profit target like 50% of max. to a dynamic profit target like 16 delta strangle credit). In very low IV I add classic put diagonals in SPY or put calendar spreads in SPX and I also cut down my size. When IVR goes above 50% I ramp up my trade size and I also add short delta/short premium positions like aggressive short delta strangles or call ratio spreads in SPY, QQQ, or IWM to hedge my vega risk and balance my deltas. I also mechanically roll the untested side when one of my short strikes, or in case of straddles, my break even gets hit. When we hit 21 DTE I usually close and reestablish delta neutral or a little bit directional if it fits my overall deltas. Except for 2016, when I went crazy and shorted the Trump rally way too big, I averaged about 15-16%. As long as I stick to the rules, it works. But a big ego and thinking that you know something always ends bad. I'm still learning and I hope, it never ends. You need to look at every losing trade to become a better trader.
  15. Yesterday
  16. Kim

    Building a Short Strangles Portfolio

    @Stephan HallerThank you for another great article! I like the idea of non correlated instruments. In this case, my biggest concern probably is regarding IWM and TLT. Since they have a pretty strong inverse correlation, wouldn't a strong down move in IWM cause a strong up move in TLT, causing both strangles to be losers? Also, what are your live results trading this portfolio? For how long have you been trading it?
  17. Stephan Haller

    Selling Short Strangles and Straddles - Does it Work?

    @Kim I adjusted for buying power, when I did the study. 3 contracts IWM, 1 and later in the year 2 contracts in GLD, 2 contracts in TLT, 3 contracts in XLE.
  18. Kim

    Selling Short Strangles and Straddles - Does it Work?

    Thank you @Jesse. What would happen to annual volatility and max drawdown if you increase the leverage to 2x? 3x? And what was the result for 2018? Can you confirm it was positive?
  19. Kim

    Selling Short Strangles and Straddles - Does it Work?

    $3,767 total for 2012-2017? When you say "Adjust for buying power", that means equal notional per underlying? What is the total notional?
  20. Stephan Haller

    Selling Short Strangles and Straddles - Does it Work?

    IWM (30 delta short strangles) is my only losing position for the year so far, but I'm close to break even.
  21. mustafaoe

    Selling Short Strangles and Straddles - Does it Work?

    It looks good for the year 2008 but just checked for the last 12 months it does not look very good just selling shorts
  22. Stephan Haller

    Selling Short Strangles and Straddles - Does it Work?

    @Sam Chen Well, when you start out 45 - 60 DTE and close at 21 DTE, there aren't more trades possible. If have done studies from 2012 - 2017 for my books. GLD, IWM, TLT, XLE. In IWM short straddles in 2013 you would have made $746.50 per one lot. In GLD you would have lost $1,285 per one lot. In TLT you would have made $567 per one lot. In XLE you would have made $465.50 per one lot. But if you adjust every underlying for buying power reduction/notional you would have made $3,767 combined.
  23. Sam Chen

    Selling Short Strangles and Straddles - Does it Work?

    @Stephan Haller I see. I am just a bit surprised that the total number of trade is so small within a year. In case I am wrong, what is the number of trade that is taken in your backtest? I believe in the year of 2007 and 2008 this strategy beats the SPY return. I am curious to see if this is still the case when SPY has a very good return. For example, SPY has 29.6% return for the year of 2013.
  24. Stephan Haller

    Selling Short Strangles and Straddles - Does it Work?

    @Jesse Could you also backtest at which notional you blow up?
  25. Stephan Haller

    Selling Short Strangles and Straddles - Does it Work?

    @Sam Chen I never trade weekly options. Just regular expirations around 45 DTE.
  26. Stephan Haller

    Selling Short Strangles and Straddles - Does it Work?

    @Kim @Jesse 2008 is finished: - Win rate 84.6% - average P/L per trade $47.31 - total profit per one lot $615 - biggest loss $959.50 per one lot But I did this study manually. I just started a trade in the first trading day of 2007 and then closed when 25% of max profit was reached or at 21 DTE. I immediately put on a new one after closing. Always 45-60 DTE. I was only using regular expiration.
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