SteadyOptions 2014 Half Year Report: 95.3% ROI

[Kim 7,512]

In the first 6 months of 2014, SteadyOptions produced non-compounded ROI of 95.3% (based on fixed $1,000 allocation per trade). The return on the whole account is 57.2% (based on 10% per trade allocation).

We closed 84 trades. Winning ratio was 65% and average return per trade 7%. The biggest loser was 31.8% and only 5 traders have lost more than 20%. We had 6 consecutive winning months in 2014.

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.

Click here to view the article

[Yowster 8,014]

Its always interesting to break down the trades further by trade type, so I took the data in the performance page and summarized by trade type:

• Individual Company calendars - 22 wins, 5 losses, avg gain 17.31%
• Individual Company straddles/strangles - 24 wins, 16 losses, avg gain 2.22%
• RUT/SPY/SPX trades - 9 wins, 8 losses, avg gain 1.82% (I would have included VIX trades here, but the original trades have been rolled/adjusted and are not in the performance tab yet).

[Yowster 8,014]

As some additional statistical breakdown to my prior post, I wanted to see if I could split up the straddles/strangles into some sub-sections given that there are more of these trades than the others.  I looked at IV charts on ivolatility.com and broke things into the following 3 sections:

1. Low IV stocks where IV usually stays below 20% with little or no pronounced IV spike heading into earnings.  Kim sometimes refers to these as gamma plays.
   
   4 wins, 7 losses, average loss -1.76%
    
2. Higher IV stocks where IV is usually at or above 20% most of the time and spike to 30% or above as earnings approach
   
   4 wins, 2, losses, average gain +0.17%  (as an aside, I think the total number of trades in this category is lower because we tend to use calendars for many of these type of companies).
    
3. Middle IV stocks where IV is typically in the upper teens to low 20%'s, they typically have IV spikes heading into earnings but the IV usually stays below 30% on the spikes.
   
   16 wins, 7 losses, average gain +4.66%

[Kim 7,512]

Thank you Yowster, this is helpful.

 

Are you using 30 days IV on the charts? Also, could you give some examples of the 3 sections stocks?

[Yowster 8,014]

Thank you Yowster, this is helpful.

 

Are you using 30 days IV on the charts? Also, could you give some examples of the 3 sections stocks?

 

 I'm using the "IV Index Mean" data in the standard ivolatility.com charts - I believe they are using some sort of averaging of the IV's across the different option series.  

• for lower IV stocks I used XOM, COST, WMT, MON, WFC, TGT, HD
• for higher IV stocks it was RL, EBAY, WFM, EXPE, DG
• all the others were the middle IV stocks

To break them up into the sections, I did a quick "eyeball" of the charts and not a rigorous data analysis.  For those stocks on the borderline that could have been placed in either the low or middle sections I primarily looked at the pre-earnings IV spike - if it was a sawtooth pattern across multiple earnings periods then I put the stock in the middle tier, if there was no repeatable sawtooth pattern I put the stock in the low tier.

Edited July 4, 2014 by Yowster