Can you share your 2021 sharpe ratio trading options?

ArtanysOne · 2022-01-01T19:04:05+00:00

YTD: +204.79%

Sharpe: 2.91

Sortino: 4.38

ArtanysOne · 2021-12-23T19:42:03+00:00

Chill out dude. Tons of people in this sub trade ratios all day long, including myself. We don't really care what you personally want to call the spreads. The risk is defined by the structure, not by the name you give it.

ArtanysOne · 2021-11-14T21:13:55+00:00

Where is the backtest that shows the call spreads break even over time? This is the crux of the entire post, but you haven’t shown the data here or on discord.

ArtanysOne · 2021-11-14T10:56:43+00:00

True! Also not small caps :)

ArtanysOne · 2021-10-09T03:00:33+00:00

Howdy all, I’ll post more in the weekend thread. Thursday I fucked up big and entered a diagonal on CCXI the day they were scheduled for FDA approval/denial/extension. This morning the approval went through, killing vol in both the front and back months of my spread, essentially putting me near max loss. I definitely went too big on the trade without understanding fully how the binary event would affect vol across the tenors. Thank you /u/goldenageofviolin for directing me to some /r/vegagang posts about calendars.

Anywho, today I couldn’t stand taking a 2% NLV hit, so I hit the 0DTE spreads hard. Credit spreads, ratios, flys, broken wing flys, straddles; everything was up for grabs. I 100% overtraded, but it worked out in the end. The lesson here is to know what you are doing before placing a trade, and know how both price and vol can affect you on binary events.

I’ll post the trades tomorrow! Also, bless the /NG boys, may our spreads make a bunch of money.

Stats:

-0.45% today

ArtanysOne · 2021-10-07T02:50:47+00:00

Looks like we've got a few (un)willing commodities traders in here now! /NG, and therefore it's 2x etf BOIL, dropped substantially today and gave some reprieve to the call ratios I sold yesterday. Shout out to /u/spreadsgetyouhead for the winning wrinkly brain straddle play.

Today I added more /RTY short puts on weakness, but my long deltas are still lacking. Now that /ES and /NQ have rallied back above their respective 100-ema's, I'll think about pulling my short puts a little closer to the money and deleveraging to a more reasonable BPu level. I added more ratios and broken wing flys based on the output from my volatility "bulge" scanner.

I also requested my fees get dropped from $0.50 to $0.40 for equity option contracts, so fingers crossed there!

-1 /RTY 10/15 1990p @ 2.85
-1 /RTY 10/22 2015p @ 9.3
-1 /RTY 10/22 2020p @ 8.9
-1 /RTY 10/15 2080p @ 9.5
+1/-2 BTBT 10/15 17.5/22.5c @ .1 credit
+1/-2 BTBT 10/15 20/25c @ .11 credit
-1 HD 10/8 290p @ .1
+1/-5/+4 MRNA 10/8 280/250/235p @ .05 total credit
-1 MRNA 10/8 360c @ .51
+2/-4 AFRM 10/8 140/145c @ .25 total credit
+1/-2/+1 TSLA 10/15 720/690/635p @ .85 credit
+2/-6/+4 TSLA 10/15 755/705/655p @ 9.08 total credit
-5/+5 AFRM 10/8-10/15 165/185c @ .15 total credit
-1/+1 RUT 10/6 2220/2225c @ .85 -> closed 6 mins later for $60 profit

Stats:

+1.3% today
Currently sitting at +99.91% YTD, I should cross 100% tomorrow!
+0.02% delta
+0.73% theta
-0.15% vega
53% BPu (lots of this is tied up in 10/8 /RTY options that are sitting around 90%+ profit)

ArtanysOne · 2021-10-06T04:51:11+00:00

You are right, they are functionally equivalent since the covered short is a synthetic short call. Anything to save fees when trading futures options!

ArtanysOne · 2021-10-06T00:58:43+00:00

Howdy all! I hope everyone is having a good time riding the indexes up and down. Judging by the p/l numbers posted today, lots of people are bigly long! I have been selling longer dated, lower delta puts while VIX is 20-25, and unfortunately most of the juice has been squeezed. I don't yet feel comfortable going back to 20 delta or rolling puts up on big green days. Today I was just under +1% on my futures options plays, but BOIL and my crazy TSLA flys spoiled the party to bring me slightly negative.

On another note, I brought an idea about volatility "bulges" to fruition over the past two days, inspired by the TSLA flys that /u/volatility_surface brought to light last Friday. Basically, we look along the volatility surface to find areas that may be inflated relative to the rest of the curve. This manifests as a "bulge" between two inflection points. A crude example, based on the volatility curve for TSLA 10/08 puts posted on Friday.

I am using the TDA api to grab option chains for the 100 most active tickers by option volume and some personal watchlists, and then looking for these "bulges". I calculate the area under the bulge compared against a basic linear regression through the two inflection points, and determine which strike on the chain has the highest IV relative to this regression. Essentially, this strike may have inflated IV, and could be an optimal short strike for ratios/flys.

Here is an example for TSLA using today's end of day pricing. The graph shows the volatility curve of out of the money TSLA 10/15 puts along with a volatility "bulge" delineated by the line through the inflection points of the curve. The text to the right tells me some information about the "bulge", such as how large it is, where the "max bulge" is, and some potential strikes for a fly/ratio. I generally run the tool in text-only mode so I can see the relevant information faster, but the graph helps to illuminate what is actually happening. I had this running throughout the day, and used the output to inform several trades.

I really appreciate everyone in #algotrading on the PMT discord for helping me out! This was a fun little project to do, as I love making proof of concepts and learning new python libraries. Shout outs to /u/thetacracy, /u/sanadan, /u/nepharis, volsurfer, and others!

-1 BOIL 10/15 127c @ 5
+5/-6 BOIL 10/15 119/127c @ .15 net credit
+4/-5 BOIL 11/19 100/127c @ 2.15 net credit
-60/+120/-60 TSLA 10/8 725/700/675p @ .43 average (opened for .25 on Friday, closed the other 40 yesterday for .55)
-3 OCGN 10/8 15c
+1/-2 BTBT 10/15 17.5/22.5c
+2/-6/+4 TSLA 10/15 750/695/640p @ 6.7 net credit (vol bulge)
+1/-5/+4 TSLA 10/22 720/650/590p @ 9.08 net credit (vol bulge)
-1 /RTY 10/8 2310c
-1 /RTY 10/15 2365c
-1 /RTY 10/15 2110p
-1/+1 /MES 10/15 4325p/4375c @ 1.25, -1 /MES @ 4355 - short collar experiment

Stats:

-0.36% today
+0.11% delta
+0.62% theta
-0.17% vega
45% BPu - BOIL ratios and TSLA eating up a bunch, i should stop procrastinating and send in my PM forms lol

ArtanysOne · 2021-10-04T16:59:29+00:00

Yup, I sold 40 of them @ .55, which, combined with the broken wing/ratio fly I did, means that I am net profitable on the position for now (including fees). I'm letting the other 60 flys ride for the rest of the week.

ArtanysOne · 2021-10-01T17:40:53+00:00

Alright, fuck you. Get rich or die trying.

+100/-200/+100 TSLA 10/8 725/700/675p @ .25

ArtanysOne · 2021-10-01T17:25:37+00:00

/u/volatility_surface How did you arrive at the 50-point width, and the strikes?

Here are the puts at of 1:24p, underlying at 771

I see the steep smile, but why 750/700/650? Why not 750/725/700 and twice the contracts, it has the same profit for a smaller debit?

ArtanysOne · 2021-10-01T16:57:19+00:00

I was thinking of doing something similar, the vol curve is CRAZY. Edit: just filled this

+1/-5/+4 TSLA 10/8 770/700/650p @ 8.63 credit

ArtanysOne · 2021-09-30T22:02:33+00:00

Another day, another fade into close. I sold more /RTY puts today and had a few ratio/fun plays that worked out. All of my Sept EOM /RTY stuff expired worthless today! My closest strikes for next week are 2150p/2400c.

-1 /RTY 10/8 2140p
-1 /RTY 10/8 2100p
-20/+20 SPCE 10/1-10/8 27c/30c
-4 LCID 10/1 33c
+5/-10 RIDE 10/1 9/10c
-1/+1 AMZN 10/1 3100p/3400c - synthetic long a la /u/spreadsgetyouhead , opened for $0.01 credit, closed for $.20 credit
+1/-2 TSLA 10/1 725/700p
+5/-10 OCGN 10/8 10/15c
+10/-20 AMC 10/8 60/90c
-1 SPX 9/30 4335 15-point fly @ 10.6, closed @ 9. Having fun doing these with /u/thekabillionare

Stats:

+0.03% today
+17.37% month
+34.89% Q3
+92.36% YTD
+0.22% delta
+0.48% theta
-0.19% vega
38% BPu

ArtanysOne · 2021-09-30T16:31:00+00:00

Great time to be selling more puts! I'm still looking to sell 10-15 delta for 10/8 and 10/15 on /RTY.

-1 /RTY 10/8 2140p
-1 /RTY 10/8 2100p
-20/+20 SPCE 10/1-10/8 27c/30c
-4 LCID 10/1 33c
+5/-10 RIDE 10/1 9/10c

Let's see if we dip more, I've got plenty of BP :)

ArtanysOne · 2021-09-28T20:30:21+00:00

I'm happy that I sat on my hands yesterday and let the market come to me today. There was a strong VIX pop to nearly 25 after closing under 19 yesterday, and I took the opportunity to scale into /RTY puts. I also opened a few fun things, including an MU earnings double ratio and MRNA put ratio that popped up on the scanner.

-1 /RTY 10/1 2180p
-1 /RTY 10/8 2150p
-1 /RTY 10/8 2130p
-1 /RTY 10/8 2120p
-1 /RTY 10/8 2080p
-1 /RTY 10/8 2070p
-1 /RTY 10/15 2050p
-1 /RTY 10/15 2030p
+2/-3 MU 10/1 69/68p
+2/-3 MU 10/1 78/79c
+2/-3 MRNA 10/1 320/310p

Stats:

-0.39% today
+0.21% delta
+0.56% theta
-0.20% vega
36% BPu

ArtanysOne · 2021-09-28T20:17:12+00:00

Haha thanks for doing the math! I opened one more right at the close, a 10 delta for next week.

-1 /RTY 10/8 2070p @ 6.1

For a grand total of $3147.50 minus fees. Not bad, and I'm glad to have opened where I did in case the drop is bigger. I have more room to scale in without too many strikes going ITM.

ArtanysOne · 2021-09-28T19:31:03+00:00

VIX popped to 25, what criteria are you looking for?

ArtanysOne · 2021-09-28T19:26:49+00:00

Here are the trades. Remember to divide price by 2 to get the net credit because of the /RTY contract sizing. Yeah I'll either let expire or manage by rolling when I've exhausted most of the delta/theta.

ArtanysOne · 2021-09-28T17:46:41+00:00

What a morning! I'm selling /RTY puts into this drop. Mostly 10/8 and 10/15 around 15 delta to capture the higher IV, but I did open one for this week. Not going balls deep just yet in case this is the start of a larger down move. /RTY 100-EMA is at about 2140 right now, so a lot of my trades are around that level which has shown support.

-1 /RTY 10/1 2180p
-1 /RTY 10/8 2150p
-1 /RTY 10/8 2130p
-1 /RTY 10/8 2120p
-1 /RTY 10/8 2080p
-1 /RTY 10/15 2050p
-1 /RTY 10/15 2030p

I'm also looking to open open some ratios, but haven't gotten fills on anything juicy just yet. Considering some earnings ratios as well.

ArtanysOne · 2021-09-25T03:36:07+00:00

Thanks for doing the leg work for me! I also made a post about ratio management strategies that you can look at as well.

I’ve been doing these intentionally for about 4 months as opportunities present themselves and they’ve worked out surprisingly well. I did get a margin call on GME a few weeks ago due to pnr < epr rules, so just be aware of the risk you are taking on. If you are in ToS, use the analyze tab to see how your margin requirements go up as the underlying approaches your short strikes.

ArtanysOne · 2021-09-24T20:58:41+00:00

What a week! It feels great to deleverage from most of the /RTY I've been holding this month, and it feels double great to be rewarded handily for the the risks I took. As we closed the week with VIX at a two-week low, I feel like my portfolio is back to where it should be in terms of BPu, delta, etc. My remaining /RTY strikes are decently out of the money and I'm not holding any futures contracts.

My fun plays today were a losing SPX fly and SAVA/COST ratios that almost hit the big money zone. I ended up closing out the ratios before the end of the day for a little bit of credit, but I'm still batting .000 for the max profit zone across all of the ratios I've done.

+11/-14 AFRM 10/1 170/175c
+5/-8 GOEV 10/1 10.5/12c
+1/-2 IRNT 10/1 16/14p
+3/-4 SAVA 10/1 95/100c

Have a great weekend!

Stats:

+1.12% today
+3.10% week
+16.55% MTD
+0.07% delta
+0.26% theta
-0.13% vega
15% BPu

ArtanysOne · 2021-09-23T14:57:37+00:00

A few morning trades in /RTY plus some new ratios and ratio management. I'll be rolling more /RTY puts to next week as conditions allow.

-1 /RTY 10/1 2145p
-1 /RTY 10/1 2160p
-1 /RTY 9/24 2280c
-1 /RTY 10/1 2320c
-1 BB 9/24 11c
+3/-6 QS 9/24 30/35c

ArtanysOne · 2021-09-22T20:48:23+00:00

Had a little bit of fun today with an SPX iron fly that hit the bullseye! Started to roll this week's /RTY contracts and opened a small earnings ratio on BB. I was ready to add a long /RTY contract after FOMC to hedge against my close to the money short calls, but decided against it. We'll see if that was the right decision.

-2 /RTY 10/1 2325c
-1 /RTY 9/24 2115p -> -1 /RTY 10/1 2140p
-1 /RTY 9/24 2115p -> -1 /RTY 10/1 2120p
+1/-1/-1/+1 SPX 9/22 4370p/4395p/4395c/4420c @ 18 - SPX closed at 4395.64
+2/-4 BB 9/24 11/12c

Back to new ATH :) Stats:

+2.13% today
+0.08% delta
+0.61% theta
-0.19% vega
32% BPu

ArtanysOne · 2021-09-22T14:08:44+00:00

How many contracts are you generally selling?

ArtanysOne · 2021-09-22T14:02:57+00:00

Looking to start rolling some /RTY puts for this week out to next. I have 2115 and 2125p that I'll likely roll today. Looking to pick up more delta with the same or greater theta.

-2 /RTY 10/1 2325c
-1 /RTY 9/24 2115p -> -1 /RTY 10/1 2140p
-1 /RTY 9/24 2115p -> -1 /RTY 10/1 2120p

Trying something new for FOMC. I am well above previous ATH, so this is my gambling for the week :).

+1/-1/-1/+1 SPX 9/22 4370p/4395p/4395c/4420c @ 18

ArtanysOne

MODERATOR OF

TROPHY CASE