Suryameet's Strategy - Trading Diary

copypasteaee

Humbled by Markets
#11
Check when the original strategy designer was doing this strategy, how much points he got selling the straddle? This strategy won't work in present conditions as Straddle is just off 220 RS. I didn't read the strategy, my idea is you are selling a straddle and making it covered call or put by buying or selling a future above a reference point. Correct me if I am wrong.
 

copypasteaee

Humbled by Markets
#12
Hmm that's also new thread. Assuming you got 220 point in selling straddle. And you lose 20 points every time you reverse nifty. I am ignoring slipagges, brokerage and taxes here. If you shift stance of nifty more than 11 times in month you will end up in losses.
 

copypasteaee

Humbled by Markets
#13
Mother of all loses shall come soon for option sellers. Can't say exactly when but it is eventual when ever one selling options to earn money then this will surely happen in near future.
 
#14
I am convinced that this strategy is workable. In case of a sudden crash, you stand to make a lot of money. However -

It is neither delta nor theta which is the problem. Viol if creases suddenly can reduce profits or make a small loss only. The biggest problem here is the bobble.

If BN bobbles up and down your pivot point several times, you are in deep trouble.

Copipasteaee, you said-

Hmm that's also new thread. Assuming you got 220 point in selling straddle. And you lose 20 points every time you reverse nifty. I am ignoring slipagges, brokerage and taxes here. If you shift stance of nifty more than 11 times in month you will end up in losses.


No, No, No. It is a lot worse then that. You see, we dare not carry forward the strategy to next day due to gap up losses. This 220 will not reduce much in a day. By end of day, if there is too much bobbing, we are in deep trouble.

ANY IDEAS ON HOW TO REDUCE BOBBING???
 
#15
June 30, 2017

Dear Aces,
I had promised to give trade details, but I made a lot of errors in trading, some mistakes. So not giving details as it would be confusing. But will give them hereafter. Thanks

Thanks. Looking forward.
I also find a lot of merit in this strategy. However , I am not sure - if Suryameet is / did continue it further.
There might be a few tweaks we need to work on. Being a sceptic and believer of no free lunch, feel need to understand this much better.
Lets work together on this.
 
#16
I am tweaking the strategy somewhat. These are the changes.

i) Earlier I would have a 10 point band, with flip over from both sides. Say the band was 23000 and 23010. As long as BN was withing the band, no problem. Let us say BN crosses upper level of 23010. I would buy BN. This would put me long 1BN. If it again crosses 23010 and returns within the band, I would take no action. Only when it crosses the lower level (23000) and goes to the other side, I would sell 2 BN, and my position would be short 1 BN. Now, if it crosses the upper level of 23010, I would buy 2 BN and my position would be long 1 BN. In effect, I lost 10 points either way. Bobbing would kill me.

ii) Now I am changing my strategy. The band is 40 points wide, say 22980 (Lower Level) and 23020 (upper level). As long as I am in band, do nothing. Say it crosses upper level of 23020 and goes above. Then I buy 1BN. Now say it returns back to the band. When it drops to 23010 (ie upper level minus 10), I sell 1 BN and my position is zero. If it crosses 23020 again, I buy 1 BN. If it re-enters the band and reaches 23010 (Upper Level - 10), I sell 1BN again and am in zero position. Only when it crosses the lower level of 22980 will I sell one more BN and be 1BN short. Say there is a reversal, and BN rises. I will buy 1BN at 22990 (lower level + 10) and come to zero position. I will buy one more BN at upper level of 23020.

This will not stop bobbing, but will reduce my bobbing cost by half as I am paying penalty only one way.


iii) The band itself is moving. Say the band is 22980 (Lower Level) and 23020 (upper level). Now we are in the band and cross the upper level. This means we buy 1BN. Now say it crosses 23010 (upper level - 10). We sell that 1 BN and have zero position. But the BAND HAS NOW SHIFTED UP by 10. We now consider the band as 22990 (lower level) and 23030 (upper level). Every time we pay a penalty we shift the band - upward if penalty is paid on upper side, downward if paid on lower side.

iv) Rather than selling 1 call and 1 put at ATM, I will sell 2 Calls at ATM + 200, 2 Puts at ATM - 200

That is all for now.

Your comments will be appreciated.
 

copypasteaee

Humbled by Markets
#17
I am tweaking the strategy somewhat. These are the changes.

i) Earlier I would have a 10 point band, with flip over from both sides. Say the band was 23000 and 23010. As long as BN was withing the band, no problem. Let us say BN crosses upper level of 23010. I would buy BN. This would put me long 1BN. If it again crosses 23010 and returns within the band, I would take no action. Only when it crosses the lower level (23000) and goes to the other side, I would sell 2 BN, and my position would be short 1 BN. Now, if it crosses the upper level of 23010, I would buy 2 BN and my position would be long 1 BN. In effect, I lost 10 points either way. Bobbing would kill me.

ii) Now I am changing my strategy. The band is 40 points wide, say 22980 (Lower Level) and 23020 (upper level). As long as I am in band, do nothing. Say it crosses upper level of 23020 and goes above. Then I buy 1BN. Now say it returns back to the band. When it drops to 23010 (ie upper level minus 10), I sell 1 BN and my position is zero. If it crosses 23020 again, I buy 1 BN. If it re-enters the band and reaches 23010 (Upper Level - 10), I sell 1BN again and am in zero position. Only when it crosses the lower level of 22980 will I sell one more BN and be 1BN short. Say there is a reversal, and BN rises. I will buy 1BN at 22990 (lower level + 10) and come to zero position. I will buy one more BN at upper level of 23020.

This will not stop bobbing, but will reduce my bobbing cost by half as I am paying penalty only one way.


iii) The band itself is moving. Say the band is 22980 (Lower Level) and 23020 (upper level). Now we are in the band and cross the upper level. This means we buy 1BN. Now say it crosses 23010 (upper level - 10). We sell that 1 BN and have zero position. But the BAND HAS NOW SHIFTED UP by 10. We now consider the band as 22990 (lower level) and 23030 (upper level). Every time we pay a penalty we shift the band - upward if penalty is paid on upper side, downward if paid on lower side.

iv) Rather than selling 1 call and 1 put at ATM, I will sell 2 Calls at ATM + 200, 2 Puts at ATM - 200

That is all for now.

Your comments will be appreciated.
These changes will also fail. You can't trade it till premiums improve. Trade it for 2-3 months and you will learn from your experience. P
 
#18
Hello ,

Yes , If you buy at 23010 , you should close the position also at 23010.
If you close it at 23000 you are loosing 10 points unnecessarily.

The key disadvantage in this strategy is the "bobbing".
The way I think we can reduce this : if by having an even wider band.
Why not , Spot + 100 point to Spot - 100 points.
Let NF hover within this range , - we still benefit from time decay.
The upper and lower points can be breakeven points of the short straddle.
In this case , we can/should have the 5-10 point tolerance to avoid high frequency bobbing.

Idea : Within Straddle profit zone , we are good. But once it starts escaping outside the zone , we put a "guard" ie buy / sell future.

Spot + 105 - Buy Future
Spot + 100 - Sell (Close) Future - if already long
Spot - No Long/Short postion
Spot - 100 - Buy Back (Close) Future if already short
Spot - 110 - Sell Future


2. Dynamic Bands :
I thought of this idea myself , last few days. However , I am not sure if this would actually benefit.
In case market starts loving that particular point (becomes support / resistance somehow) , then we can change once. But does not seem likely.

3. Selling OTM ? Why are you doing this.
You get lesser time decay. ATM always has the highest time decay.
And that is exactly what we are looking to capture.

I would be starting trials the coming week , we should get in touch.
Our objective , should be to have minimum number of transactions of Future.
 

intellibitz

Well-Known Member
#19
Interesting.. Good luck!


Hello ,

Yes , If you buy at 23010 , you should close the position also at 23010.
If you close it at 23000 you are loosing 10 points unnecessarily.

The key disadvantage in this strategy is the "bobbing".
The way I think we can reduce this : if by having an even wider band.
Why not , Spot + 100 point to Spot - 100 points.
Let NF hover within this range , - we still benefit from time decay.
The upper and lower points can be breakeven points of the short straddle.
In this case , we can/should have the 5-10 point tolerance to avoid high frequency bobbing.

Idea : Within Straddle profit zone , we are good. But once it starts escaping outside the zone , we put a "guard" ie buy / sell future.

Spot + 105 - Buy Future
Spot + 100 - Sell (Close) Future - if already long
Spot - No Long/Short postion
Spot - 100 - Buy Back (Close) Future if already short
Spot - 110 - Sell Future


2. Dynamic Bands :
I thought of this idea myself , last few days. However , I am not sure if this would actually benefit.
In case market starts loving that particular point (becomes support / resistance somehow) , then we can change once. But does not seem likely.

3. Selling OTM ? Why are you doing this.
You get lesser time decay. ATM always has the highest time decay.
And that is exactly what we are looking to capture.

I would be starting trials the coming week , we should get in touch.
Our objective , should be to have minimum number of transactions of Future.
 

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