The above is the result of back test of SPY using delta neutral strategy.
- Weekly option open on Monday
- Premium collected around $0.15
- Close on the last day market close
- Loss is calculated base on the different of the 1 SD and closing price
- Strategy used is Delta neutral (Strangle or IC with $2 wide spread )
- The 17 trades resulted in a net loss
- Undefined risk or wide spread protection will result in higher loss
- Winrate 82% but the 3 trades loss can wipe out the profit
- Commission will result in a bigger loss
Even with stop loss for every trade or use 1 SD IC with maximum $1 loss spread will result in a loss and the commission will wipe out that profit. This option system is not workable in long run.
This four chart is what I used to forecast for weekly option play.
Each chart tell a story…
Attached are the slides, links and notes for March Optionkaki’s sharing session
- Using TOS analyze tab
- Ichimoku Basics
- Trading Option Spreads
Green ISP had been giving me lots of problem recently, it render me unable to put in option’s order or even close existing orders. Contacted both TOS and Green ISP and both finger point to each other’s infrastructure.
Decided to change ISP during the recent IT Show in Singapore 16-19 Mar 2017 and chose Orange ISP company after evaluating the price, performance, track record and feedback from other Option traders.
Next month I will crossover to the Orange ISP.
This is my weekly options, Weekly Option watchlist.
Update: Realise some unable to import into their watchlist. Use the cut and paste method or use this code http://tos.mx/Ki0XGF
Extracted some pointers from the above book
What I find option to be interesting is that it offer me second chance to be right again with adjustment strategy.