John J Veteran   Posts: 272 Joined: 8/3/2010 Location: Leduc, AB  User Profile | It doesn't make much sense to put on delta neutral trades with put options and long e-minis in conjunction with long stock positions. I have requested for quite some time now that N develops a delta neutral trading module. Basically, with delta neutral strategies you're only interested in movement in the underlying as direction is irrelevant. Once the position has moved a certain percentage or $ value, a decision needs to be made whether to close the trade or re-adjust the position in order to stay delta neutral. I realize that N may be hesitant to develop such a module as it wouldn't be based on entry signals (N's bread and butter). However, signals could definitely be used to determine whether to close the trade or re-adjust (as mentioned above). Here are my two cents regarding the ongoing development of the ATM system, specifically in conjunction with option trade management. As most members in here are aware of, option strategies per se have not yet been implemented, only option tradeplans. A signal produced by a strategy is nothing but a binary determination (the signal is either 100% bullish/bearish or nothing at all). With options on the other hand, the option spread you pick depends on HOW bullish/bearish/neutral you happen to be, and a signal doesn't provide such info (for instance it doesn't make any sense at all to have signals trigger neutral option trades, only whenever a certain condition occurs). What's the workaround? Let's say I'm employing a single strategy for signal generation. The market state should obviously govern what option tradeplan to use, which means I have to make several versions of the same strategy (i.e for a very bullish market state I may want to use long calls in the tradeplan and for a less bullish one I may want to use a vertical call spread instead). There is definitely room for improvement in this area... [Edited by John J on 2/17/2018 3:52 PM] | |
