ykotowitz

Hi Chris, Thanks for your reply. I can see that a spread will limit the gains too much on long dated options. I am confused about the option length. Do you do 180 day (original note) or 90 day (your last response)? ?

Hi Chris I am also curious about the comparison with XIV, or the more conservative ZIV. Also, why a naked put rather than a spread? as you are mainly relying on the negative roll and limited gain?

Does anyone have information on trading via LIVEVOL.? Their platform appears to be very good for analytics and the trades are done through IB, so execution should be ok.

I tried to keep the spacings approximately equal in relation to the share price. In any case, the results would have been very similar for a $5 spacing.

A GENRAL POINT: These trades are not as rigid interms of times of entry as suggested by some of the posts above..(see Augens articles on SFO). Report on AMZN and GOOG Trades. Strategy 1.. (see Augens articles on SFO):On Thursday morning, When the share price is at ( or close to) an option point, Buy weekly fly centered at the relevant share price. Sell shortly before the close on Friday. On Sep. 30, AMZN price was closest to 250 at 10:00 AM, so buy 245/-2*250/255 @1.02. Sell @ 1.20. near close Friday. GOOG: price was closest to 685 at 9:55. Buy 675/-2*685/695 @2.48. Sell @2.67. Both trades were potentially profitable IF you could buy and sell @ midpoint. However, bid/ask spreads were quite wide for all trades, so a considerable slippage was likely, reducing the profit. Strategy 2: On Friday, when share prices are at (or close to) an option point price, SELL the weekly expiring fly centered at the relevant price. Buy back close to expiration, or when the price approaches the next option point. AMZN: at 10:10 SELL 240/-2*245/250 @ 2.80. Buy at the close @1.60 . Could sell earlier @1.15. GOOG: 10:35 SELL 675/-2*685/695 @6.65. Buy at the close @8.50. Could get out @6.50 earlier. Clearly, AMZN trade very profitable, but GOOG very unprofitable, although the loss could be small if you are very nimble.

sorry. The table was transposed in transit. Anyway, both trades would have posted a loss although the share prices did not move very much.

Report on AMZN and GOOG Trade. My understanding of the trade is "Buy Aug. 31 fly centered at ATM on Thurs. morning when the Price of the shares is closest to the relevant ATM. Sell just before the market close on Fri." Neither trade was profitable last week. Time Price Option Option mid price AMZN GOOG AMZN GOOG AMZN GOOG 10:15 240.3 671.5 230/-2*240/250 660/-2*670/680 3.99 2.20 11 243 (high) 4.10 1.95 12 679 (high) 4.00 2.00 13 239.1 (low) 4.17 2.00 14 4.20 2.00 15 4.24 1.65 15:50 4.24 1.90 09:35 243 (low) 675(low) 4.0 1.95 10 3.70 2.10 11 647H 3.05 1.90 12 680H 3.10 2.00 13 3.05 1.95 14 3.20 1.85 15 3.33 1.95 15:50 3.40 2.10

I'll take AMZN and GOOG. A general note. In IB you can chart the trade in some detail, so it is not neccesary to follow it in real time.

There seems to be a significant difference between your numbers.(aside from the time differential). I wonder why?