As I’ve done the past few years, I’ve broken down the Steady Options 2016 trade performance by trade type. There are a few open trades but these may not be closed until January – I’ll update this post if any are closed before the end of 2016. Here’s are this year’s stats along with some comments from my perspective. Where applicable, I added totals from prior years for comparison...
44 Trades – 35 win, 9 loss (80% win) – Average Gain +15.07% 2015: 51 trades (80% win) – Average Gain +12.67% 2014: 48 trades (71% win) – Average Gain +13.80% 2013: 24 trades (88% win) – Average Gain +20.60% Comments: Again one of our best performing trade types, as it has been for multiple years. Number of trades comparable to the last few years. Win rate the same, and very high. Average gain up nicely from last year Note that there may be a few non-earnings calendars in here, but I included all company calendar trades in this section. Pre-Earnings Straddles/Strangles
18 Trades - 13 win, 5 loss (72% win) – Average Gain +5.19% 2015: 44 trades (68% win) – Average Gain +2.61% 2014: 74 trades (62% win) – Average Gain +2.54% 2013: 104 trades (57% win) – Average Gain +1.35% Comments: Count of these trades continues to drop year over year, as we’ve gotten more selective. Straddles on very low IV stocks have been eliminated as these were typically the worst performers. Being more selective reflected positively in the average gain, basically doubling from last year. Index trades (RUT, SPY, SPX, TLT)
27 Trades - 18 win, 9 loss (67% win) – Average Gain +3.01% No prior year comparisons as types of trades have changed. But breaking down by sub-category is interesting: RUT Broken Wing Condor: 5 win, 2 loss, average gain +2.81% SPX and RUT Calendars: 3 win, 0 loss, average gain +19.47% SPX Butterfly: 10 win, 5 loss, average gain +0.62% (many individual trade gains in the 20%-30% range, but the average was severely dragged down by 3 big losing trades of -100%, -98% and -60%) Other (SPY/TLT combo and SPX back ratio): 0 win, 2 loss, average loss -8.90% VIX-based trades
16 trades - 9 win, 7 loss (56% win) – Average Gain +1.34% No prior year comparisons as types of trades have changed. But breaking down by sub-category is interesting: VXX Diagonals: 6 win, 2 loss, average gain +20.34% VIX Strangle: 2 win, 4 loss, average loss -11.92% (I view this trade as primarily an overall portfolio hedge trade to protect during big market downturns so losses on these trades is not a really bad thing). VIX Risk Reversal: 1 win, 0 loss, average gain +4.00% (another trade that I view primarily as an overall portfolio hedge to protect during big market downturns). VIX Calendar: 0 win, 1 loss, average loss -73.70% Individual Stock RICs
22 Trades – 9 win, 13 loss (41% win) – Average Loss -14.36% Comments: These were hold through earnings trades on stocks that typically have big moves during earnings using weekly options expiring the same week as earnings. Some huge losses on late in the week earnings reports where stock move was uncommonly small. I think we've pretty much stopped these trades. (IMO risk/reward profile is not great as you stand to lose a lot more on minimal stock price move than you stand to gain from bigger moves beyond your strikes. For hold through earnings trades, IMO, taking the opposite approach and using calendars on stocks that typically stay within the implied move offers a better risk/reward).
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