General Trading Chat

Had heard (Don't know the truth) that big intraday traders keep .5% SL on NF. So the market on most days finds it difficult to cross that mark. VWAP at 12033 and the high we have made in the recovery is 12084 about 50 points. Generally seen that the range of 50-60 from VWAP offers the blockade.
Wow !!
 

arsh22g

Well-Known Member
Hello, has anyone tried selling delta neutral option legs to profit from passive theta decay? Idea is to not manage the position, but rather build and forget till the market close, and then square-off.
 

travi

Well-Known Member
Hello, has anyone tried selling delta neutral option legs to profit from passive theta decay? Idea is to not manage the position, but rather build and forget till the market close, and then square-off.
Sure, everyday you can see it being done. The catch is, it works best in sideways mkt.
They say it is about 70% of the days.
You need to figure out based on vix, news etc when ur in high probable sideways period.
But blindly believing that you'll get away without the need to manage if need arises then it's a farce.
 

Schatz

Well-Known Member
Hello, has anyone tried selling delta neutral option legs to profit from passive theta decay? Idea is to not manage the position, but rather build and forget till the market close, and then square-off.
life cant be that simple ... its important to understand there r plenty of smart people in the world... if it was so everybody would be doing that .. and in turn it wont exist anymore...

as travi said, if u have to build a system to be selective about days but then there is something called adverse selection ...one day is enough to wipe out many day's profit if u choose not to manage.. however , limited risk strategies with less sensitivity to expiry may achieve a part of that...
 
Had heard (Don't know the truth) that big intraday traders keep .5% SL on NF. So the market on most days finds it difficult to cross that mark. VWAP at 12033 and the high we have made in the recovery is 12084 about 50 points. Generally seen that the range of 50-60 from VWAP offers the blockade.
Today the VWAP is at 12217. So the rally should find the hurdle at 12267-77 range (50-60pts from VWAP)
 

arsh22g

Well-Known Member
Sure, everyday you can see it being done. The catch is, it works best in sideways mkt.
They say it is about 70% of the days.
You need to figure out based on vix, news etc when ur in high probable sideways period.
But blindly believing that you'll get away without the need to manage if need arises then it's a farce.
life cant be that simple ... its important to understand there r plenty of smart people in the world... if it was so everybody would be doing that .. and in turn it wont exist anymore...

as travi said, if u have to build a system to be selective about days but then there is something called adverse selection ...one day is enough to wipe out many day's profit if u choose not to manage.. however , limited risk strategies with less sensitivity to expiry may achieve a part of that...
Thank you for your perspectives. Yes, the system is robust to withstand high movement days, but it is not selecting any particular day based on VIX or other indicators. VIX doesnt lead or lag, so no point in using unless you are arbitraging on theoretical(Black Scholes) vs actual values. Due to lack of options data, I could backtest it just for 6 months.

Have either of you followed options selling, in any shape or form, as a pure strategy?
 

Schatz

Well-Known Member
Thank you for your perspectives. Yes, the system is robust to withstand high movement days, but it is not selecting any particular day based on VIX or other indicators. VIX doesnt lead or lag, so no point in using unless you are arbitraging on theoretical(Black Scholes) vs actual values. Due to lack of options data, I could backtest it just for 6 months.

Have either of you followed options selling, in any shape or form, as a pure strategy?
i sell options on regular basis and i manage it aggressively when called for.. days like today, yesterday ... if u say u would nt manage u r sitting duck on 200+ trend days...
 

arsh22g

Well-Known Member
i sell options on regular basis and i manage it aggressively when called for.. days like today, yesterday ... if u say u would nt manage u r sitting duck on 200+ trend days...
Delta gain > theta decay in about 20%-25% of the trading days. Trend without a substantial intraday movement (exc. gaps) hasnt been a drag till now. Maybe I can increase my lookback period to stress test this.
 

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