Yowster 9,267 Report post Posted December 29, 2018 As I’ve done the past few years, I’ve broken down the Steady Options 2018 trade performance by trade type. Numbers were taken directly from the data in the Performance screen. Here’s are this year’s stats along with some comments from my perspective. Where applicable, I added totals from prior years for comparison... Pre-Earnings Calendars 40 Trades – 31 win, 9 loss (78% win) – Average Gain +9.61% 2017: 31 trades (84% win) – Average Gain +13.81% 2016: 44 trades (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: Average gain% down from prior years, largely because of 2 really big losers caused by large stock price movement away from calendar strike. Not really surprising given the bigger market swings this year. Without those big losers the average gain was right in line with prior years (we avoided big losers in prior years). Win rate comparable to prior years,. and very high. Pre-Earnings Straddles/Strangles 72 Trades - 60 win, 12 loss (83% win) – Average Gain +5.40% Breaking down further by hedged and non-hedged: Hedged – 49 win, 10 loss (83% win), average gain +4.66% Non-Hedged – 11 win, 2 loss (85% win), average gain +8.76% 2017: 77 trades (79% win) – Average Gain +5.02% 2016: 18 trades (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: Highest average gain percentage ever. Highest percentage of winning trades ever. Very low risk trades as it takes RV levels going much lower than prior cycles for these trades to be significant losers (only 4 of 72 trades had losses over -10%). Trade count down slightly from last year due to periods of elevated market volatility. These are riskier trades to open when IV is very high, as the risk for significant straddle price decline due to falling IV can really hurt trades. Index trades (RUT, SPX, TLT) 22 Trades – 19 win, 3 loss (86% win) – Average Gain +15.35%. 2017: 9 Trades (89% win) – Average Gain +19.72% 2016: 27 Trades (67% win) – Average Gain +3.01% Comments: RUT Broken Wing Condor: 3 win, 0 loss, average gain +10.00% SPX Butterfly: 7 win, 2 loss, average gain +17.08% TLT Butterfly: 9 win, 1 loss, average gain +15.41% Typically longer duration trades, can be open for 30+ days. Gain percentage down slightly from last year, due to 2 large losses. As with the calendars, this is not surprising given some of the bigger market swings. VIX-based trades 15 trades – 6 win, 9 loss (40% win) – Average Loss -10.89% 2017: 16 trades (75% win) – Average Gain +9.25% 2016: 16 trades (56% win) – Average Gain +1.34% Comments: Typical trade was for VIX to decline after spikes, but with larger and more sustained spikes this year there were many losing trades. Two 100% losses really hurt the overall average. Reverse Iron Condor (RIC) trades 7 trades – 7 win, 0 loss (100% win) – Average Gain +30.96% Comments: Started using the RIC trade later in the year during times when VIX was high (20+). Trades were designed to take advantage of larger price swings for stocks that was somewhat common during these elevated VIX times. When the stock prices moved, we saw some great gains. Going forward into January/February earnings cycles, will look to use RICs as alternative to straddles if VIX is still high – because although RICs hurt to IV decline, they are hurt by a lesser degree than straddles. However, downside of RICs compared to hedged straddles is that you need the stock price to move to make a profit. Other Trades 5 other trades than had an average loss of -5.35%. Nothing significant to note regarding them. Summary 2018 was unlike prior years for significant chunks of time. Prior years had low volatility and any VIX spike above 20 quickly reverted back down. 2018 had VIX near 20 for about 5 months of the year (7 months were much like prior years). Despite the increase in volatility, 78% of all SO trades were winners with an average gain of 7.07%. The biggest take away from this year is that certain trade types are better for certain market volatility conditions – hedged straddles and calendars are great to put on when volatility is low but they are riskier when volatility is elevated. When volatility is elevated, other trades like RICs and butterfly are less risky to put on during these times. SO is a great community, where members share ideas that benefit all of us and we all continue to learn more and more. Looking forward to continued success in 2019. 7 12 3 Share this post Link to post Share on other sites
Kim 7,958 Report post Posted December 29, 2018 Thank you @Yowsterfor an excellent summary as usual. SO community is very fortunate to have you as a mentor and a contributor. The most important lesson from this year is: be flexible and adapt to market conditions. When some strategies become riskier due to higher volatility, start looking for alternate strategies that fit better the ever changing markets. If anyone still had any doubts, we proved in 2018 that we can make money in all markets. Our learning never stops, and we becoming better and better every year. Happy New Year everyone! Here are links to previous years summaries: 2017 Year End Performance by Trade Type 2016 Year End Performance by Trade Type 2015 Year End Performance by Trade Type 2014 Year End Performance by Trade Type 2013 Year End Performance by Trade Type 5 Share this post Link to post Share on other sites
Lazlo 111 Report post Posted December 30, 2018 4 hours ago, Yowster said: TLT Butterfly: 9 win, 1 loss, average gain +15.41% I'm surprised TLT had 90% success because it certainly didn't feel like that for some periods. I guess upcoming TLT loss will be counted for 2019? I checked my track record for TLT and had similar results with 15% average gain. Unfortunately, I had trouble with position sizing in the beginning phase - so I will be in the reds after closing Jan 18 trade. --- Definitely insightful, thank you @Yowster for sharing. Share this post Link to post Share on other sites
Manish71 28 Report post Posted December 31, 2018 On 12/30/2018 at 12:10 AM, Yowster said: As I’ve done the past few years, I’ve broken down the Steady Options 2018 trade performance by trade type. Numbers were taken directly from the data in the Performance screen. Here’s are this year’s stats along with some comments from my perspective. Where applicable, I added totals from prior years for comparison... Pre-Earnings Calendars 40 Trades – 31 win, 9 loss (78% win) – Average Gain +9.61% 2017: 31 trades (84% win) – Average Gain +13.81% 2016: 44 trades (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: Average gain% down from prior years, largely because of 2 really big losers caused by large stock price movement away from calendar strike. Not really surprising given the bigger market swings this year. Without those big losers the average gain was right in line with prior years (we avoided big losers in prior years). Win rate comparable to prior years,. and very high. Pre-Earnings Straddles/Strangles 72 Trades - 60 win, 12 loss (83% win) – Average Gain +5.40% Breaking down further by hedged and non-hedged: Hedged – 49 win, 10 loss (83% win), average gain +4.66% Non-Hedged – 11 win, 2 loss (85% win), average gain +8.76% 2017: 77 trades (79% win) – Average Gain +5.02% 2016: 18 trades (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: Highest average gain percentage ever. Highest percentage of winning trades ever. Very low risk trades as it takes RV levels going much lower than prior cycles for these trades to be significant losers (only 4 of 72 trades had losses over -10%). Trade count down slightly from last year due to periods of elevated market volatility. These are riskier trades to open when IV is very high, as the risk for significant straddle price decline due to falling IV can really hurt trades. Index trades (RUT, SPX, TLT) 22 Trades – 19 win, 3 loss (86% win) – Average Gain +15.35%. 2017: 9 Trades (89% win) – Average Gain +19.72% 2016: 27 Trades (67% win) – Average Gain +3.01% Comments: RUT Broken Wing Condor: 3 win, 0 loss, average gain +10.00% SPX Butterfly: 7 win, 2 loss, average gain +17.08% TLT Butterfly: 9 win, 1 loss, average gain +15.41% Typically longer duration trades, can be open for 30+ days. Gain percentage down slightly from last year, due to 2 large losses. As with the calendars, this is not surprising given some of the bigger market swings. VIX-based trades 15 trades – 6 win, 9 loss (40% win) – Average Loss -10.89% 2017: 16 trades (75% win) – Average Gain +9.25% 2016: 16 trades (56% win) – Average Gain +1.34% Comments: Typical trade was for VIX to decline after spikes, but with larger and more sustained spikes this year there were many losing trades. Two 100% losses really hurt the overall average. Reverse Iron Condor (RIC) trades 7 trades – 7 win, 0 loss (100% win) – Average Gain +30.96% Comments: Started using the RIC trade later in the year during times when VIX was high (20+). Trades were designed to take advantage of larger price swings for stocks that was somewhat common during these elevated VIX times. When the stock prices moved, we saw some great gains. Going forward into January/February earnings cycles, will look to use RICs as alternative to straddles if VIX is still high – because although RICs hurt to IV decline, they are hurt by a lesser degree than straddles. However, downside of RICs compared to hedged straddles is that you need the stock price to move to make a profit. Other Trades 5 other trades than had an average loss of -5.35%. Nothing significant to note regarding them. Summary 2018 was unlike prior years for significant chunks of time. Prior years had low volatility and any VIX spike above 20 quickly reverted back down. 2018 had VIX near 20 for about 5 months of the year (7 months were much like prior years). Despite the increase in volatility, 78% of all SO trades were winners with an average gain of 7.07%. The biggest take away from this year is that certain trade types are better for certain market volatility conditions – hedged straddles and calendars are great to put on when volatility is low but they are riskier when volatility is elevated. When volatility is elevated, other trades like RICs and butterfly are less risky to put on during these times. SO is a great community, where members share ideas that benefit all of us and we all continue to learn more and more. Looking forward to continued success in 2019. Hi Kim, Yowster, I joined SO mid November so missed pre earnings calendar trades. Are we again to focus on those as well as pre earnings straddles and strangles, once earnings season starts in January since these are the most popular of SO trades ? Also will you have a different expectation from these trades in January since volatility has already spiked in the last two weeks ? Thanks. Share this post Link to post Share on other sites
FrankTheTank 839 Report post Posted December 31, 2018 Thank you both for everything you do. I think I joined right when the calendar trades started blowing up (GS, HD, etc.) but I kept my positions small enough that I was able to bounce back and should end the year profitable. Its great seeing you switch to different types of trades depending on market conditions and remain flexible. If there is one thing I have learned trading its that there is no "magic strategy" that works in all market conditions and one has to constantly adapt. 1 Share this post Link to post Share on other sites
Kim 7,958 Report post Posted December 31, 2018 2 hours ago, Manish71 said: Hi Kim, Yowster, I joined SO mid November so missed pre earnings calendar trades. Are we again to focus on those as well as pre earnings straddles and strangles, once earnings season starts in January since these are the most popular of SO trades ? Also will you have a different expectation from these trades in January since volatility has already spiked in the last two weeks ? Thanks. We will continue trading what's working and be flexible. The important thing is to make money, isn't it? 1 3 Share this post Link to post Share on other sites
zxcv64 773 Report post Posted December 31, 2018 (edited) @Kim @Yowster It's great to see the flexibility and adaptability of the SO system, esp with regards to us now using more RIC's, due to the high volatility background. I have a polite request - we have great guides written on how we trade Straddle etc like the one below. Is it possible that there could be one written on RIC's, esp focusing on things like : - under what conditions we would choose these - what is the entry criteria, in terms of price paid (as a percentage of the 'width'), deltas - what timescales are recommended (how long to DTE) and when we would expect to close by - what types of stocks are more suited to RIC's (low vol ones? high vol ones? ) - would RIC's be recommended on indexes (SPX) - any earnings consideration to be taken into account? I believe Yowster has already dropped a lot of information in various posts, but a 'user guide' would collate everything in one place and clarify things. ) Edited December 31, 2018 by zxcv64 Share this post Link to post Share on other sites
FrankTheTank 839 Report post Posted June 16, 2019 Just for fun I tried to plot out the different SO trades (grouped generally by type) from 2017-2019. I realize this is not completely accurate as pre-pre calendars are lumped together with all calendars. For me this is helpful because it shows you how important position sizing is for each strategy type. For my account and risk tolerance I may be tempted to scale up the straddle trades to 125% while scaling down the calendars to about 25-50%. May just skip the flies and ICs completely as I don't really need them in my portfolio (I do those on my own). Share this post Link to post Share on other sites
