Antoxa
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Everything posted by Antoxa
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Удачи!
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Does this include gamma gains? It feels like you take ATM Straddle at Entry and ATM Straddle at Exit and compare them. Am I wrong?
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@Yowster, is it possible to calculate what would be a gain per $1 of move?
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It would make sense to enter around 2.10-2.15 for Feb9 I believe, which is 9.8-10% RV (assuming stock price is around 21.5).
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You never expect Straddle to grow in price as expiration approaches. The idea here is to not lose too much while you get gains from gamma. So if you can manage to get in for 10% you minimize your chances for downside, it will not drop much lower (if IV stays around 10% at ER), but you give yourself a chance to get gain from IV spike or stock moving (gamma). Around 10% gain is pretty solid expected gain from trade like this.
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Yep. Recent 3 ERs were as follows: Implied/Actual 5.3% / 2.0% 5.3% / 24% 9.1% / 19.9% As you can see last two actual moves were huge. So we can expect IV of current cycle to be elevated as well. It will probably stay around 9-10%.
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It is price of straddle divided by underlying's price. At the moment TEVA is 21.5 It's 21.5 Straddle is 2.20 RV is 2.20 / 21.5 = 0.102 (10.2%) This means that market implies 10.2% move by the expiration (Feb9)
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As far as I understand RV represents IV in a way it can be compared with previous cycles. Straddle price = IV. If you normalize it to stock price you get RV.
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Also is you check last ER trade (the one with also expensive Straddle) in CML, it is not profitable. It is gamma you rely on if you enter this trade in current conditions, I believe.
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TEVA Straddle is pretty expensive nowadays.
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RV is a way to understand if a price of an item you buy is high or low. No matter how many items you buy, you still want the right price.
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It says Long Straddle, but it is a Strangle they test:
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Imagine how I feel after 27%
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How do you decide what is a good price for these positions?
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Closed for 1.80 by GTC order this morning. 27% gain after commissions. Not bad, but could be better (mid is 1.98 already).
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Yes, I agree, but in my case the entire order has been filled instantly. But I had just 10 contracts on order.
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This is exactly my thought. Filled 1.40 instantly with a mid on 1.46. Scary
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Thank you for reply guys! Much appreciated. One more question: how do you set up GTC orders for hedged straddles? Is it one order for both Straddle and Strangle?
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What I'm trying to understand is the best strategy to close winners. At the moment I set up GTC order to catch 15% gain for a long straddle and 25% for the calendar. This works pretty well when IV strikes while I'm not around my computer. However this also limits my profits. What if IV spikes higher then my profit target? What if underlying stock moves dramatically producing 100+% for a straddle while I'm taking just 15%? What is your workaround here?
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The CSX trade is exactly the reason I started to think about commissions I never traded more then 10 contracts before, so commissions were more or less tolerable
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Good to know! TIme to move I suppose.
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Thank you, @izzo70. As I can see they charge 1.25 for Canada. But is it for all trades in Canadian account? Or is it for options traded on Canadian exchange only?
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Guys, I reside in Canada and use ToS platform from TD. Their commission of $1.25 per contract looks a bit too high. Can you suggest any good and less expensive brokerage available in Canada?
