ykotowitz

Interested. Margin account on IB.

same here.

I have not done many call ratios. Backtesting suggests that naked calls generally generate superior average (not risk adjusted) profit rates. I am not too concerned about the individual trade risks due to the small investment in each trade and the large number of temporally independent trades. I did a few call ratios where the costs of a naked call were too large. These were not included in the report. I shall try to dig into these trades and report the results.

Re the recent discussions of trading results of TM strategies. I have been trading pre earnings momentum calls for the past 6 months. Mostly 14 days pre earnings (with some 7 and 3 days). The strategy involved buying a 30 or 40 delta call for 14 or 30 day expiry and exiting just pre earnings. I have restricted transactions to cases showing better than 6/2 winning records for the past 2 years with better than 20% average returns. As well, I set exit criteria acording to best results in backtesting, although not always following through-usually to my regret. There were 90 trades during this period, of which 58 were profitable and 32 loses. The average return was about 35% with a large variance . Several trades generated over 200% in profit and almost 100% losses. Because of the risk, positions were relatively small, particularly as market movements lead to positively correlated results between trades over any short period. In total ,over the past 6 months the profitable trades generated $21,400 profit and the losing trades generated $6500 in losses on a total of $43,200 at risk. I am very happy with the performance of the strategy. HOWEVER, the period covered was clearly a bull market, so may not be very repreresentative of the longer term results and risks.

some additional evidence re true death counts:https://www.economist.com/graphic-detail/2020/04/16/tracking-covid-19-excess-deaths-across-countries

Theory appears to be debunked. see:https://www.news-medical.net/news/20200423/Link-between-BCG-and-lower-COVID-19-mortality-disproved-by-new-analysis.aspx

The results appear to be inconsistent with their own back tests. I poited this out to them and am awaiting a response. Will report.

Thanks for the heads up. Look promising, but cheap. so high commissions. Note: ASML best at 3 to 1. PIR spreads very large.

Note: 7 to 0 days is much better at delta =50. (for 2years). delta =30 is best for 1 or 3 years.

Results of backtests are hugely profitable. but seem odd because holding to earnings day is more profitable then exiting 1day prior,even though all earnings reports are BMO. Does anyone have a handle on this?

Thank you. will enter tomorrow.

Earnings date is 2/22 ac. Backtests suggest entering 3 calendar days prior and exiting on earnings date, so will enter on 19th.

I think your calculations for risk return are incorrect. you receive .48+.82 for the shorts less .45 for the longs =.85 credit. the risk is 2.5 (the width of the wings) -.85=1.65. so risk /reward ratio is about 2/1.

The backtests for 8 to 1 is nowhere as good.

No trigger yet.I think there are at least 2 more days to go.

20,000 is preferable from a reporting point of view. If you transact larger amounts than permitted for the 10,000 portfolio, how will you report the results and performance?

The CMLviz trade is 7 day rollover, buy 0 days before earnings, sell 1 day after. The results are very similar for 1day before earnings and sell 2 days after.

Very good point. 'No free lunch'. Obviously, the risk profile of the two trades is quite different. However, it is interesting that for the past 3 years the call strategy would have yielded much higher returns.

if I pursued your strategy: B 235/250 call June 1 @4.92. S June 2 @13.54. Much higher profit on lower investment risk.

Yes =approx 60% after commissions.

You are right. Would have also worked better on my recent trade: . Sold june 9 235/225 bear put @3.95 on June 1, bought it back @0.15 June 2=60% profit. Wold have been higher, had I pursued Cuegis' strategy. Thank you

An alternative strategy for AVGO is Selling a bear one week put 40/20 delta just before earnings and holding for 2 or 3 days post earnings. seems to yield over 90% success rate . with average returns of about 20%. Am trying it today. Will report results in a few days.

Thank you for the analysis. I assume these are the official trades only, so exclude VXX weekly diagonals?

you can buy Xiv instead of shorting

Coming close to breakeven. Do yo have any thoughts on bailing out soon?