Option Selling during quarterly results

sanju005ind

Investor, Option Writer
#22
They dont have any report.However here I have done it on the whole list. We can Individually take a scrip and do the trade. In Jan Feb I was able to take 14 trades. Others I did not take because it were the end of the month and premiums were low.Also I did not wanted to take front month because of liquidity. I found that those which release results in second week onwards we get volatility crush and theta decay. Let me post an individual stock backtest. Curiously BajFin trade taken a day after results and closed 5 days after report yields better result.

1594641429483.png

1594641454677.png

1594641486385.png

1594641513432.png
 

sanju005ind

Investor, Option Writer
#23
keeping power-cut in mind,

In the backtest, is there some monte-carlo type of output ?
What is the return on say if 1% trades taken, 10% and so on.

bcos result season is squeezed what can one expect if only 10-20% of trades executed.
Personally I prefer to take all those which have winrate above 70%. and capital permits if taking multiple positions.
 

travi

Well-Known Member
#24
Personally I prefer to take all those which have winrate above 70%. and capital permits if taking multiple positions.
By winrate you mean, those stocks that have had a winning ratio of more than 70% in backtest in their given period, ie. 5 yrs ?

My interpretation, since they did well ( 70% win in total trades taken in backtest ) in Backtest, we can execute trade in future.
 

sanju005ind

Investor, Option Writer
#25
By winrate you mean, those stocks that have had a winning ratio of more than 70% in backtest in their given period, ie. 5 yrs ?

My interpretation, since they did well ( 70% win in total trades taken in backtest ) in Backtest, we can execute trade in future.
Yes. Also if you have seen the total. .25 delta strangles have done marginally better than short straddles. In Jan I was able to execute only 14 and I did not lose a single trade with average capital of 3.5 L trading single lot and made 1.6 L in two weeks without a sweat.
 

Schatz

Well-Known Member
#27
Yes. Also if you have seen the total. .25 delta strangles have done marginally better than short straddles. In Jan I was able to execute only 14 and I did not lose a single trade with average capital of 3.5 L trading single lot and made 1.6 L in two weeks without a sweat.
With 3.5 L you would be able to take 1 lot each. Would it make so much for 1 lot trading. Too good.
 

sanju005ind

Investor, Option Writer
#29
With 3.5 L you would be able to take 1 lot each. Would it make so much for 1 lot trading. Too good.
Not entirely. Some things lik bajajfin and hdfc bank would take more. TCS and the likes would take less. I mean in that account i had long term stocks which i pledged. So roughly about 3.5L was available. Stocks appreciated and on top of that these returns help buy more stocks.