quote:

Originally posted by Shakka Why not just put on a net position of .382 in calls? Is there a calendar spread involved or something? Are you watching Fast Money? I don't get into anything that complicated. Like I said a while back, I use them 1) To be able to short a stock I can't otherwise borrow, 2) to add leverage to a higher-conviction idea (funds usually have mandates and limits on position sizes), 3) to hedge market risk, 4) to turn a low-beta stock into a higher-beta play.

I watch fast money, but I don't use any of their strategies. I'm getting into deltas because I am developing an quantitative option trading model and the deltas are useful for allocation of a position. One step in the algorithm is to bias a stock either call or put. Instead of using SPY, I'm using DIA. My algorithm is telling me DIA should have a put bias. So my position delta will be negative. In the event that the market rises, and my puts lose value, having bought some calls will limit my downside risk. And vice versa. I'm using matrices, systems of equations, and range positions to, 1) determine a bias, 2) allocate a position according to the bias and recommended delta (based on position in the 52 week range). I hate technicals so I'm not using them. This model will work I'm sure of it. I've had limited success already.

quote:

Originally posted by Chairman Meow I watch fast money, but I don't use any of their strategies. I'm getting into deltas because I am developing an quantitative option trading model and the deltas are useful for allocation of a position. One step in the algorithm is to bias a stock either call or put. Instead of using SPY, I'm using DIA. My algorithm is telling me DIA should have a put bias. So my position delta will be negative. In the event that the market rises, and my puts lose value, having bought some calls will limit my downside risk. And vice versa. I'm using matrices, systems of equations, and range positions to, 1) determine a bias, 2) allocate a position according to the bias and recommended delta (based on position in the 52 week range). I hate technicals so I'm not using them. This model will work I'm sure of it. I've had limited success already.

Success beats failure 10 times out of 10! These markets are so volatile that I'm glad to take a profit anywhere I can get it these days.

quote:

Originally posted by Shakka Success beats failure 10 times out of 10! These markets are so volatile that I'm glad to take a profit anywhere I can get it these days.

Do you do any financial modeling? Or do you just trade news and technicals?

quote:

Originally posted by Chairman Meow Do you do any financial modeling? Or do you just trade news and technicals?

I don't build models and I hate looking at them, but I will if I have to. Valuation isn't a primary factor for me so building a model isn't necessarily the best use of my time--I leave that for the analysts to do. I look for good fundamental stories with catalysts and good techicals and try to fit that within my macro view.

Shakka, when is the best time to put in an option order? Or stock for that matter?

___________________

quote:

Posted by Omega_Blue that's it, fuck it i'm quitting ta forever. fuck if i'm gonna get trolled by fucking yukii. dammit!

quote:

Originally posted by yukii Shakka, when is the best time to put in an option order? Or stock for that matter?

What do you mean? If I knew the answer to that I wouldn't be working! Do you mean during market hours? If so it depends on the market on that given day/week. The environment is constantly changing. Trading is more an art than a science. When I have orders I am working them over the course of a day (and I don't necessarily buy or sell all that I want to do in a given day). My trading strategies are usually shorter-term than your average retail investor so I'm much more sensitive to smaller changes in stock prices.

Unless you meant that question differently. In any event, I'm not sure there's a good answer to it.

Well, the first 30 minutes of the day, is kind of weird. I have heard some say it's best to wait 30 minutes to an hour before putting in a market order. Everyday I adjust my option positions according to the changes made during the day, and I have been doing that after the market close. So the order is filled at market open the next day, during that crazy period.

Last edited by Chairman Meow on Jun-16-2010 at 14:42

I have been developing a financial model for years now and am testing on the thinkorswim platform. I want to eventually turn this model into a hedge fund but still have a ways to go as I plan to incorporate FOREX currencies and commodities futures. The stocks portion works great. I have only incorporated options into it only a few months ago and today makes me feel great about the progress I am making.

I have made 1.77% today using only 50% of my capital while the S&P 500 makes only .54%. My bet on NLR - Market Vector Nuclear Energy ETF. I wrote 14 October 2010 $18 put options (bullish) which sold 1 minute after the market open for a total of $1000. By the 4 PM close, my position has more than doubled to $2205. I entered into this position because the stochastic oscillator is very low and the ETF is within only 2% of its 52 week low. I have entered a new trade on top of the existing one to buy 9 October 2010 $20 call options for a total of $900 + commissions, all paid for by writing those put options. I'm using the proceeds I made from writing put options to buy the call options. I had put in a buy order last night but it didn't execute, so I could have made even more money had it been executed.

Funny thing is, NLR only rose by $0.09 or 0.49%.

Did you ever find a way to backtest your models krypt? Surely some nerd out there must have designed a system to make it easy to apply the different variables in your system and see what the result would be..?

Ameritrade has something called "strategydesk" that might be helpful. Unfortunately you need to have an account to use it. http://www.tdameritrade.com/offer/a...-a#strategydesk

Nope, I gave up trying. I'm just testing it on the real market. It's turning out very well. Today, I made 5% on invested capital. That profit was 3% of the total portfolio, and only 60% invested. Finally, I am positive from inception at about 1.3%.

This is an excellent read if everyone has the time.

http://www.scribd.com/doc/34107224/...reignDebtCrisis

Written by Edward Chancellor of GMO Capital (Jeremy Grantham's firm).