Option Selling during quarterly results

sanju005ind

Investor, Option Writer
#1
Posting the Backtest Results for Liquid options selling during the quarterly results. the following are the results for the last 5 years. Some of them may be in FnO or may not be in Fno within the 5 years. Two strategies are presented with 1 Lot.
1. ATM (Delta = .5) Short Straddle
2. OTM (Delta = .25) Short Strangle.
 
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sanju005ind

Investor, Option Writer
#4
I personally choose all those with Win% greater then 70 and employ the strategy. Jan I achieved 100% profit. I usually try to take the 50% of the premium credited. April May could not do because all capital was used to buy Stocks for LT portfolio. Good way to earn decent money four times a year ;)
 

lemondew

Well-Known Member
#7
I Dont trade this strategy. But have read a lot on IV crash. People exit immediately after the results when premium crashes. Is 5 days better than exiting immediately after result. Also immediately after results there could be a big move 10-15% and position could be in big loss. The loss can become small or profitable after 5 days. So one needs capital to hold on to these positions for 5 days initial margin and good MTM money for holding despite losses.

1.Enter Short Strangle on the day of the results and close the positions post 5 days of the result. All data is based on EOD closing.
 

sanju005ind

Investor, Option Writer
#8
I Dont trade this strategy. But have read a lot on IV crash. People exit immediately after the results when premium crashes. Is 5 days better than exiting immediately after result. Also immediately after results there could be a big move 10-15% and position could be in big loss. The loss can become small or profitable after 5 days. So one needs capital to hold on to these positions for 5 days initial margin and good MTM money for holding despite losses.
Yes most of the time if the results are during market hours. By the end of the day you will get good enough profit. If after market hours yo need to wait . I have the backtest results for 1 day to 5 day. I have published the 5 day. But when the POP(Probability of profit is 70% why be scared.) Previously I used to book the same day. But kept testing all my positions and they gave big bucks when held 4-7 days. Yes violent move happens like in Jan it happened with IndusInd Bank (check the charts). that day I closed by the end of the day and went naked one side and made huge profits selling calls. Similary Wipro in Jan I will post for wipro how it panned out. in the next post. One can always improvise as the situation unfolds.
 

travi

Well-Known Member
#10
Wipro Jan 14 th 2020. that is how it panned out.

View attachment 43404
Sanju bhai, have you by any chance "Optimized" and got 5 day return as a good period ?
just asking :DD

I mean in live trade you may have held longer which is one scenario, in 2nd scenario letting another leg go but 2nd part we will skip for now unless we can backtest it.
or create rules wherein we can let one leg go etc
[ bcos for short legs delta will work against us when moving in either direction ]
 

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