tjlocke99

Marco, Thanks. Do you have any other strategies like this? Do you buy into the "trend trading" at all - not day trading trends but more more positions that would be held at least a day? I now think I understand the strategy you laid out except for a few questions: 1. Is the ratio calculated based on end of day prices? Related to that question, when are the trades made, intraday when the ratio goes above/below 1 or at the following open? 2. How do you calculate these ratios and put that graph together? Did you pull EOD prices on VIX and VXX from Yahoo from the last 10 days and then divide them out and then take the 10 day SMA of that ratio? 3. Is the return in green inclusive of going long VXX when the ratio is above 1? Thanks!

are you saying the ratio of the VIX 10d SMA vs the VXV 10d SMA? do you have an easy way to alert you when this occurs? also what is your exit point? thanks!

thanks for replying marco! but i can't even find a site with any of the information to try and test the idea. that is why i was hoping someone could recommend a site. i'm also not talking about a gamma or vega play like the pre-earnings trades here (those don't work for me because i have a full time job and can't monitor the site or fills enough). i'm talking about doing this for a straddle gamma type play. personally, for a part timer, i haven't found an option trade other than the occasional calendar that works for me, but i'm still hunting thanks again.

Any takers on this topic Just wanted to see in case anyone forgot about it Thanks.

Hey SO community! I was wondering if anyone knows of a site that lists pending law suit decisions or upcoming settlements? Also has anyone tried trading this strategy? Here is a good example: http://www.usatoday.com/story/money/business/2013/11/12/starbucks-kraft-foods-bagged-coffee-lawsuit/3510215/ The parent company MDLZ was up approx 2.7 and 2.55% the next days, 11/13 and 11/14. A straddle would have done phenomenal (over 30% return each day). This is a low vol company, so these moves are huge. I looked at the Oct IV and the Nov straddle wasn't priced much higher, indicating there wasn't any vol increase leading to the decision. Perhaps news that a decision will be made on a certain date is not known in advance? Again are there any sites that list upcoming business law suits? Thanks again!

I'd be interested what you find out. I've always hoped for a tool for example, help you find the best calendar strikes and dates, find vol discrepancies, or help you understand skew. Makes me think that those of us who are software development inclined should start a group for developing our own tool(s).

what if you bought the RICs 2 weeks out and used 50% more of them? how would that p&l look? what about doing this with a regular calendar (not a double calendar).

kim what is this ONE software? i google'd it but don't see anything on it?

If you talk to folks who have done this for a while, and even I have experienced they'll tell you something like with calendars: you eat like a mouse but you get crapped on like an elephant. sorry for the language. the bottom line is that you an lose alot quickly that wipes out months of gains, so there is only so much you can allocate to these trades.

Marco, He could use that spreadsheet that calculates std deviation that you have. I don't want to post it because its yours, but that builds a worksheet with historical data on any stock you choose. He could ignore the worksheet on std dev and just use worksheet it builds on the daily open low high close.

So the reverse iron condor is at the short week of the calendar? what about keeping the RIC at the long week, but doubling the # of contracts? Another way you can lose is if IV goes down. The RIC and the calendar are both long vega trades, so if IV collapses you lose. Kim - what is this you reference about doing this on RUT? Are you doing calendars with RICs on RUT? Is there some metric you are looking at that makes these trades attractive? Thanks!

fradav, could you give an example of the legs of this trade with strikes and dates? I'm not understanding how you could lose in a large move? I thought with a RIC large moves wouldn't matter. what does this mean "85% OTM 5 point RIC"? not sure what the 85% means? also does it have to be weeklies? what if the RIC or calendar was actually at a different date? thanks!

Thanks. Did you purchase option data as well? If so then just end of day? That was always a major reason I never wrote any question software/analytics - getting a-hold of alot of historic options data is expensive.

Dustin - what is the tool you reference? Is it a custom database or application you created? Thanks.

I read briefly through the thinkscript documentation. I see there are alerts, but does anyone know you can you can have your script screen a set of stocks by looping through a set of stocks given a set of rules like, price > X, avg daily volume > x, . . . Then do deep analysis in the script based on the results of that that initial screen? Thanks.

thanks samerh. if you don't mind me asking, where did you purchase the data and was it only end of day?

Samerh, What name do you go by? Sam? Mikael and you are rockin' on these scripts! Did you do this analysis somewhat automated through thinkscript? Would you mind sharing your code? I am going to try and learn this language and platform over the next month. Richard

Thanks Mikael! Too much to do, too little time!

Well done Kim. Do you have the ROI segmented anywhere into pre-earnings straddles/strangles/RICs vs all other trades? Thanks.

Mikael, I am blown away by yours post. Its great. I'd like to adjust your Jeff Augen and your strategy to test at larger bar intervals (maybe 1 day even) because I can't really day trade because I'm not in front of my broker's software most of the day. What really blows me away though is that I never new thinkorswim had a scripting language. That is AWESOME! Do you have any more information on this scripting language? Does ToS let you export any data? you could be non-directional by trading the strangle/straddle or Reverse Iron Condor. I am sure Chris Welsh will find this tool VERY useful too.

SO Team, I just to thank you for all the quick and good responses! Much appreciated!

Thank you!

IB's android app doesn't have it (or I can't find it). Thanks! Its not so much the 3G issue. Its also that I am pretty busy at work, except during short breaks. Enough time to walk outside and break out the phone for a few min. I actually don't even get consistent cell reception where I work. Thanks again!

PC - I have read a few articles with a similar sentiment - essentially efficient market theory. HOWEVER, perhaps someone can clarify something for me. I also read folks like Jeff Augen and a few other authors who say that small time traders can have an edge in options because lit is difficult for large institutions to trade large volumes of option shares on anything but the handful of very big underlyings (SPX, SPY, VIX, AAPL). The latter, Augen theory, is one that I had personally put some faith in. BTW, what I am saying isn't entirely pertinent to this conversation, but I personally have been a member from the beginning. Kim probably doesn't remember, but I won the contest to choose the site name In the last 10 months or so I haven't taken a single earnings trade and only entered one IC and one calendar. The reason I continue to pay for this site is because Kim and many of the members are responsive, kind, and honest, and I learn alot from it. Yes this is irrelevant to the portfolio and trade alert issue, but I'd give the site 5 stars just for the knowledge and community aspects. Good luck to all of you.

Thank you for your response. I should have been more specific. I don't want to access my broker's web site from my computer at work. In fact I think something with the firewall blocks it anyway. I need to access this on a smart phone on lunch or on breaks.