2)In morning I had created a short strangle
200 lots 25000 PE sell at 102
200 lots 27000 CE sell at 161
You can sell from below image that if I had waited in this strangle till day end I would have lost around -4.5 L
So lets see what all adjustments did I do logically.
3)After creating strangles the premiums strarted increasing as puts were not decaying and calls were increasing.
So I had kept 100 lots buy on 26500 CE at 400(day high)
My buy got executed at 400 around 12:15 pm & I exited 25000 PE at 75
Thread on system trading and conviction to follow them.
1) On Aug 2016, I had my highest ever loss of 18 L due to illiquidty risk. I had shorted JustDial 500 CE and was in profit at 3.19 pm but at 3.20 pm lost -18 L due to a risk I wasn’t aware at that time.
1) Idea/Hypothesis 2) Specify entry,exit, SL & position size 3) Generate trade log & Backtest Report 4) Test in diff. market condn.
5)Optimise the strategy 6) Evalute the robustness & stress testing 7) Track Real Time performance 8) Deploy
1) Idea( Our Snorlax Strategy)
Options decay with passage of time.
I look at the theta decay curve and wonder that some decay is intraday and some is overnight.
Can I capture the intraday theta decay by creating delta neutral positions ?
1) I had carried overnight 20 lots sell of 8400 PE sell & 9500 CE sell
-1500 8400 PE at 110
-1500 9500 CE at 114
Net Credit was 224 point
In the morn. it was around 265 points due to gap up
MTM - 60 K at 9:20 am
2) Waited for 15 mins & plan was to go long abv 1st 15 min high to defend the position( Gap Strategy)
But market broke 15 min low & losses started to narrow.
At around 11 am ,the trade was at breakeven :)