Mel Veteran   Posts: 291 Joined: 12/30/2003 Location: Kensington  User Profile | The proxy for delta is how far ITM you are. Backtests with different amounts (+1, +2, +3) tell you what is the average profitability. What you are ultimately interested in is profit, not delta. You can calculate the number of contracts te same way you do for shares. Given a $ risk and a stop (either based on the position or the underlying, you can divide to get the number of contracts. Harder to deal with is IV, but the IV OT calulates seems pretty good if it is near the money. Use ITM 0 or 1 for your backtesting. To select the "best" contact you need to use the option finder, not do it automatically. Since I trade directly with IB, and don't scale out, I have no advice for monitoring trades or scaling out. [Edited by Mel on 2/15/2020 10:38 PM] | |
