Option Selling during quarterly results

[sanju005ind]

I have results for 1- 5 days. Not much difference. I can post if required. All back testing results.Not optimized anything.

 

[sanju005ind]

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

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 ]

I have done extensive testing. Selling one day before results. Like hdfcbank always releases on weekends. Selling same day when the results are released during market hours. All of these are different scenarios. That is my edge. I gave broad results which when employed without bias people can still make money without much fuss.

 

[sanju005ind]

Sold bajfin 2800 naked put @ 68. I don't mind taking delivery if it goes below 2800.

 

[lemondew]

Lot of hard work to backtest 5 years for 50 odd stocks manually. Did u check data from nse website? Manually figuring out the price then choose strike price and then check option prices. Its lot of work. I knew of this one but never backtested it so thoroughly. Doing this through autmation was very difficult task.

I have results for 1- 5 days. Not much difference. I can post if required. All back testing results.Not optimized anything.

 

[sanju005ind]

Lot of hard work to backtest 5 years for 50 odd stocks manually. Did u check data from nse website? Manually figuring out the price then choose strike price and then check option prices. Its lot of work. I knew of this one but never backtested it so thoroughly. Doing this through autmation was very difficult task.

I have used this website https://opstra.definedge.com/options for backtesting. Paid subscription gives that option. Meanwhile I am developing similar app in Python for my personal use. I have some more ideas which the site does not provide. Hence would like to have an application of my own. I believe this particular strategy can be automated easily.. Hence would like to develop algo for it.

 

[lemondew]

Superb sir they provide results date from 2013.

I have used this website https://opstra.definedge.com/options for backtesting. Paid subscription gives that option. Meanwhile I am developing similar app in Python for my personal use. I have some more ideas which the site does not provide. Hence would like to have an application of my own. I believe this particular strategy can be automated easily.. Hence would like to develop algo for it.

 

[lemondew]

For backtesting I would like to check it with a stop loss so I would also check the high low of the day. So if the sum of premium exceeds a certain value I will just exit with a loss for that trade.For backtesting assuming we only have Open, high, low close for the day, assuming when it hits high for the loosing side it will hit low in winning side if sum of premium exceeds certain value SL hit for me and I close the day with loss. Else I will hold for 1-2 or whatever days for profit. So does the paid website only give EOD result or can I check what I said above as well.

Another way for backtesting
1. Bhavcopy file gives OHLC for every stock for every day. That can be uploaded to a database. Then the results dates for our stocks that if can get it uploaded then we can have it in database. Upload the strike prices steps = 10,20 50 etc for each stock => database ready

2.On day of results for the stocks check open price. Calculate the nearest ATM strike price step. find the combined premium.
3. check if High + low exceeds our limits . if so exit with a SL.
4. If it doesnt then hold till 1 day EOD, 2 day EOD , 5 day EOD and so on

May be in my to do list.

I have used this website https://opstra.definedge.com/options for backtesting. Paid subscription gives that option. Meanwhile I am developing similar app in Python for my personal use. I have some more ideas which the site does not provide. Hence would like to have an application of my own. I believe this particular strategy can be automated easily.. Hence would like to develop algo for it.

 

[sanju005ind]

For backtesting I would like to check it with a stop loss so I would also check the high low of the day. So if the sum of premium exceeds a certain value I will just exit with a loss for that trade.For backtesting assuming we only have Open, high, low close for the day, assuming when it hits high for the loosing side it will hit low in winning side if sum of premium exceeds certain value SL hit for me and I close the day with loss. Else I will hold for 1-2 or whatever days for profit. So does the paid website only give EOD result or can I check what I said above as well.

Another way for backtesting
1. Bhavcopy file gives OHLC for every stock for every day. That can be uploaded to a database. Then the results dates for our stocks that if can get it uploaded then we can have it in database. Upload the strike prices steps = 10,20 50 etc for each stock => database ready

2.On day of results for the stocks check open price. Calculate the nearest ATM strike price step. find the combined premium.
3. check if High + low exceeds our limits . if so exit with a SL.
4. If it doesnt then hold till 1 day EOD, 2 day EOD , 5 day EOD and so on

May be in my to do list.

I have power cut and internet issue today and so i will keep it short. Yes the website has the option of sl as a percentage of total premium collected. Say you collected a premium of 40k.Then you can set sl for 10,20,50 or whatever percentage as sl and exit the same day or next day. Also for entry you can look at the IV percentile and enter. Say i will enter only if iv percentile is greater than 70,80 or 90. FYI for calculating Greeks they don't use black Scholes. They use Merton model.

 

[lemondew]

I will register there for backtesting. Thanks I am glad you posted this thread.

I have power cut and internet issue today and so i will keep it short. Yes the website has the option of sl as a percentage of total premium collected. Say you collected a premium of 40k.Then you can set sl for 10,20,50 or whatever percentage as sl and exit the same day or next day. Also for entry you can look at the IV percentile and enter. Say i will enter only if iv percentile is greater than 70,80 or 90. FYI for calculating Greeks they don't use black Scholes. They use Merton model.

 

[sanju005ind]

TCS Straddle which was initiated on 8th July.