SBatch

I agree with this statement but that just makes it directional not leveraged.

It is simply a directional option spread, this does not make it leveraged. By definition a leveraged position is one that can lose more than the initial amount invested, which is clearly not possible here. We only trade options with this service so I am confused by the comparison to owning the underlying. Directional or not that comparison of options vs. the underlying could be made with regard to all of our trades.

How is a 50/20 Delta call debit spread a "very highly leveraged long position"?

The RV charts that @Djtux posts show the historical price of the Straddle in a trade day to earnings fashion. I know they are limited to the underlying that we discuss here but I believe he may be working on software that will allow a subscriber to obtain this data for any underlying on their own. He can speak better to that.

No, in this case the straddle price is indicative of the closing price of the session prior to the earnings announcement (it is not a moving calculation). Yes, that is their assertion. However, my experience is that OptionSlam is not great with real time data. I've never followed this particular page on a daily basis so it will be interesting to see. In the PEP example they are using a price ($117.80) that is not a recent OHLC price to derive the straddle price so I have no idea why they use it for their calculation.

@Kim @Yowster What are your thoughts here? Would you rather see calendar days or trading days? Here is the example I used previously to support trading days: Let's use AMD as an example as I like to use them for a pre-earnings straddle. If I test for an open 10 days prior to earnings and a close 0 days prior to earnings (as AMD reports AMC) we get very varied results with regard to trading days which should absolutely be the focus here. For example, the back-test for the 10/16 cycle will show 9 trading days. However, if we compare it to the 5/17 cycle we get 7 trading days. This is a massive differential for such a short term trade. We are supposed to be comparing apples to apples but in this simple example one trade is on for over 25% more trading days than the other even though we are attempting to solve for a constant with regard to days before earnings. The two extra trading days is a very large variable because of how much the stock can move and how much IV can rise or fall in those two days.

@Ophir Gottlieb Have you given an additional consideration to my request for allowing trading days rather than calendar days for the backtests? We were having this discussion in another thread regarding the lack of theta decay over the weekend. For example, we were focused on the NKE June 9th strangle which showed essentially zero theta decay over the three day weekend. Vance Harwood has done a study also revealing that theta decay does not occur over the weekend (please see link below). As such, I can't see any reason to have the backtest use calendar days rather than trading days. What are your final thoughts on this topic? Thanks. https://sixfigureinvesting.com/2014/10/option-weekend-decay-and-volatility-annualizing/

Let me interject here in an attempt to diffuse this debate between members arguing what is "fact". Reviewing the posts and video, it is clear everyone is essentially in agreement! The bottom line, which nobody is disputing is that pre-earnings straddles can gain from both a rise in IV (when it is enough to outpace theta) even with no stock movement or a gain from movement in the underlying while the IV helps to mitigate or completely eliminate the theta cost or a combination of both. Larger gains will come from large movement in the underlying although solid gains can and do still occur with a sharp rise in IV with no movement in the underlying. Everyone involved in this debate agrees with these points, so why is it being continually dragged on?

Not yet, waiting until July 1st for tracking purposes.

It can be found on the sign up page: https://cmlviz.com/register/cml-trademachine-49-mo-promotion-so/

It's actually a long Iron Condor with both a long put and call spread, think that's a typo with regard to buying to close rather than selling to close.

Closed the spread for a quick 10% gain.

I have considered that, however that is another constant (theta). In the AMD example, the two extra trading days is a very large variable (rather than a constant that can be accounted for) because of how much the stock can move and how much IV can rise or fall in those two days.

@Ophir Gottlieb I have been trading straddles into earnings to ride the ramp for several years and really like the concept so I was happy to see you add this feature to the TradeMachine. However, I have a concern regarding how the number of days before earnings is being calculated. It seems you are using calendar days. This can be extremely problematic. Let's use AMD as an example as I like to use them for a pre-earnings straddle. If I test for an open 10 days prior to earnings and a close 0 days prior to earnings (as AMD reports AMC) we get very varied results with regard to trading days which should absolutely be the focus here. For example, the back-test for the 10/16 cycle will show 9 trading days. However, if we compare it to the 5/17 cycle we get 7 trading days. This is a massive differential for such a short term trade. We are supposed to be comparing apples to apples but in this simple example one trade is on for over 25% more trading days than the other even though we are attempting to solve for a constant with regard to days before earnings. Can this feature be adjusted to use trading days rather than calendar days?

@Ophir Gottlieb That's good to hear. The issue is in the current extremely low IV environment, the risk/reward is nowhere near the historical. In fact, in TSLA, AMBA and FB, one would be currently looking at a 4:1 risk:reward ratio if these trades were put on the session after earnings. I agree this a very good strategy when volatility is higher which would make the risk:reward much more favorable, but we have to trade the market we have not the one we want. Therefore, have you looked at more of a directional strategy on these underlying? Perhaps debit call verticals and diagonals? With the extremely low IV, it's inexpensive to be a buyer of 30 day premium as opposed to selling low 30 day premium. Thoughts?

I agree this is most definitely not curve fitting, however it seems you are reducing the amount risked to equal that of the stop loss, is that correct? Therefore, it's likely the margin requirement (and true capital at risk as a stop loss is far from guaranteed in the option markets) is probably about four times the amount than is being shown in the P&L calculations, true?

@Ophir Gottlieb What are the Delta's of each leg of the bull put spread? This article and AMBA both stipulate out of the money put spreads, however this is quite ambiguous. Without the Delta's, it's impossible to determine how far away from the money we need to go in order to maintain the winning percentage. Thanks.

I think OptionsHouse has the best platform of all the brokers. It is actually the TradeMonster software as OptionsHouse purchased TradeMonster a few years ago before being acquired by eTrade. I don't think the eTrade aquisition will hurt as the objective was to gain an existing player in the option trading market (similar to Schwab with OptionsXpress).

Yes, I was providing the link to a member that had asked for it.

Looks like they changed their policy, no doubt in reaction to this: https://www.law360.com/articles/652831/e-trade-gets-finra-wells-notice-over-order-routing-tactics http://www.finra.org/newsroom/2016/finra-fines-etrade-900k-best-execution-and-protection-customer-order-information Based on these changes, yes their intermediaries would smart route.

Took a look at this and don't like the risk reward. Looking at the June Week 1 -280/+260 put spread for a $4.00 credit. Risking $1,600 to potentially gain $400 per contract. Not in my wheelhouse.

http://try.tradier.com/steady-o-013/

Yes, those are all held in separate capacity and would all qualify for the $500,000 each.

Total assets held in the same capacity. For example, all individual accounts would be aggregated and held to the $500,000. However, if you also held a joint account that would be considered a separate capacity and would quality for an additional $500,000.

Regardless of which broker you use, you're still protected by SIPC. This gives you $500,000 total protection for securities and cash combined (with a maximum of $250,000 for the cash portion).