Raleigh Durham Trading Group

Discussion in 'General Discussion' started by Elli, Apr 3, 2017.

  1. Elli

    Elli Active Member

    I recently read a forum post that included a link to a Raleigh Durham Trading Group presentation about Andrew Falde's Net Zero delta neutral strategy, but now I can't find it. Can someone tell me where it is?

  2. Ryan Simmen

    Ryan Simmen Well-Known Member

    Carsten5000 likes this.
  3. Chuck

    Chuck Guest

    Ryan, did you code and run a back test on the delta:theta exits yet?

    Elli, where is the forum post you reference? I wasn't able to find it.
  4. Ryan Simmen

    Ryan Simmen Well-Known Member

    Yes, see the link I provided above.
    Chuck likes this.
  5. DavidF

    DavidF Well-Known Member

    Hi Ryan, good job with the presentation (amazed you started with options in March 16, quick learner).

    If I´m understanding Andrew Falde´s 60-40-20 correctly you could do the same with an M3 structure or many of the other trades we use, the main difference is you never adjust the orginal butterfly structure, you close the whole fly and open a new one with a predefined minimal DTE (e..g 70 days) once the short leg is greater than a predefined % from delta. 40. I like the idea behind it but wonder if slippage would hurt you moving the whole structure every time you adjust. I know Andrew F. is very meticulous with assessing fair price so I guess he has that aspect covered,
  6. Ryan Simmen

    Ryan Simmen Well-Known Member

    Slippage and commissions certainly should be taken into consideration. However when entering over 90 DTE the average days in trade is usually above 20 so it may not have a significant impact.
  7. Ryan Simmen

    Ryan Simmen Well-Known Member

    The audio was a little soft in our recording so we've enhanced it to make it louder. The new version is posted here on YouTube.

    Last edited: Apr 4, 2017
    Chuck likes this.
  8. Elli

    Elli Active Member

    Thank you Ryan. I appreciate the great back testing.
    Hi Chuck, I couldn't find it again either, but now Ryan has provided the links above so no need to keep looking for the post.

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