Leaderboard

Hey guys, I am answering a bunch of questions at once here, so take your time perusing this post. 1. Earnings timing: If you want your strategy to use options that expire AFTER earnings, even if you are closing the position before earnings using the custom earnings handling make sure: Rollover >= Open Days Before Earnings Examples: Open Days Before Earnings Rollover Expiration Time 10 7 Select an expiry that expires before earnings 7 7 Select an expiry that expires after earnings 29 30 Select an expiry that expires after earnings So, in a meaningful example, let's pretend we wanted to open a strategy 7 days before earnings AND we want the options to have expirations AFTER earnings. We stat with this: And we make our rollover is 7 days or more, so this is ok: This will buy a monthly straddle and sell a weekly straddle but both expirations chosen will be AFTER earnings. If, instead, you wanted the short straddle to expire BEFORE earnings, then you could make the rollover 6 days or make the "open position days before earngins" 8 days. 2. Rolling options before the they expire An example here is selling a put spread with 30 day options but rolling it every 7 days (or whatever). There is a way to test it, however it requires a trick. Here it is the custom strategy: What we have done here is entered a credit spread with 30 options (for example) and then added a 7 day option with a trivial delta (to keep the price low). Then we have 'checked the box that reads "Close all legs with front month options". This will force the 30 day option spreads to close with the 7 day option, and then it will all roll again. If you use this as a proxy for your back-test, note your commissions and adjust them a little. We used a 5-lot credit spread and only a 1-lot weekly option to reduce the unintended commissions. Since you are testing a spread, this will have no impact on your "amount risked" and since it's a very cheap option (1 delta) it should have very little effect on your return %. This is a bit of trick here, but it works extremely well. 3. Days before earnings and after earnings We use TRADING days up to 7 days. So: Earnings Day Day Before Day After Monday Friday Tuesday Tuesday Monday Wednesday Wednesday Tuesday Thursday Thursday Wednesday Friday Friday Thursday Monday Also, "0 Days Before Earnings" and "0 Days After Earnings" are the same day OK, that's it! Happy Sunday to tall!