Far out trades

Discussion in 'General Discussion' started by Venrcew, Nov 16, 2016.

  1. Teddy

    Teddy Well-Known Member

    Agree with jpresser that it is better going out further out in time. I have backed-tested and do trade this real time on the SPX and spy. The gamma gets kind of big at 50 dte and 70 to 80 dte seems nice. When there is a sudden drop in the market and it is down to say 30-50 days left, it seems that often it is better to take it off or re-position a new trade out in time. I tried this numerous times for data from 2007 and it often does not make much sense to hang in for drops that keep dropping.

    Some people speak negatively regarding, however I have learned a lot doing this. Below is my 7th back testing of the trade assuming a fixed amount of $3 - 3.5K per trade.

    There are certain scenarios where the trade does not do well. In a bear market, I have found it does not do well and the large continuation of drops do hurt. Use of a set of moving averages (assuming they work) does help the trade.

    As time goes forward the power of the long puts deteriorate and pulling them in helps bring in more credit as well as the lower put which provides some protection when moved up. This has the addition effect of reducing the amount of margin.
    Testing on Wave.GIF
     
    Ice101781 and Chuck like this.
  2. DGH

    DGH Administrator

    Thanks for your comments. Tom and I sometimes go "deep and wide" on our private and managed money accounts.
     
  3. Ice101781

    Ice101781 Guest

    How far out in time on the /ES are you going? 120+ days? If so, what's been your experience getting fills near-the-mid in /ES vs. SPX?
     
  4. jpresser

    jpresser Member

    For the space trip trade I have been using the ES for September, December, and March of next year. The December and March are newer trades. The September has the right side up to around 500 dollars, and still has a nice negative delta in it. My RTT trades i have been following the 70 to 80 DTEs, but I think you could use the BWB in the same way you use the unbalanced condor with very similar results. One other thing I tweeked with the Space trip trade is that I am placing my long put spread at around 30 delta, and short spreads at around 5 to 8 delta. You get the trade to transform quickly into having great down side profits and are your risk is really far away. All my RTT have been using the SPX, and space trips with th ES. I am thinking of trying RTT with the ES, but haven't tried this yet. My fills have all been 25 cents above the mid which is the next valid price you can get. The ES for options 5 and above trades at 25 cent increments. I get 25 cents above mid to fill instantly. I have traded these after work, maybe you could do better during regular market hours.
     
    Last edited: Apr 2, 2017
    GreenZone and Ice101781 like this.
  5. Samer11

    Samer11 Active Member

    Hi,

    Thanks for posting this graphic. May I know which kind of strategy this is?
     

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