OmniTrader Upgrade Forums
OptionTrader
Short Strangles
9 replies, 1998 viewings
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OmniTrader Upgrade Forums
OptionTrader
Short Strangles
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Last Activity 12/1/2022 8:14 AM 9 replies, 1998 viewings |
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Richard Moss New User Posts: 4 Joined: 6/29/2020 Location: Cape Town, South Africa  User Profile |
I am trying to setup OmniTrader to backtest selling a strangle with a fixed number of Days To Expiration (DTE) (e.g. 45 DTE) with strikes that are 1 Standard Deviation either side of the Spot Price. My initial test will be to close the trade at approximately 50% of the initial DTE and initiate a new strangle as above (i.e. rinse and repeat). Any guidance would be greatly appreciated. | ||
| LSJ Legend  Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL User Profile |
Here are some excerpts on short strangles. Here is the entire presentation: https://www.tastytrade.com/tt/learn/strangle?_sp=10e694c7-5b11-4a8f-be26-13d6e32b3646.1593693592966 [Edited by LSJ on 7/2/2020 8:07 AM]  Attached file : strangle1.jpg (134KB - 624 downloads) Attached file : strangle_002.jpg (147KB - 688 downloads) | ||
| Richard Moss New User Posts: 4 Joined: 6/29/2020 Location: Cape Town, South Africa User Profile |
Thanks for the response, I trade options through the TastyTrade platform and I am impressed by their approach but would like to "fact check" their studies by running my own tests on OmniTrader. I would ultimately like to setup a mechanical system on OmniTrader to trade Short Strangles including training up a GA to find opportunities and trade them. Is this even possible using Omnitrader or VisualTrader? | ||
| LSJ Legend Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL User Profile |
I will take another look experimenting with OT. | ||
| LSJ Legend Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL User Profile |
PEP looked good and gives a 72%POP and 1.83 credit for 49 days. Hmmm. [Edited by LSJ on 7/3/2020 8:06 AM] Attached file : os.jpg (20KB - 514 downloads) | ||
| Richard Moss New User Posts: 4 Joined: 6/29/2020 Location: Cape Town, South Africa User Profile |
Thanks that's a great starting point. What does Volume >= 75% mean? (% of what?) Do you look at IV Rank at all when identifying Short Strangles? Seems to work well as you tend to get better IV contraction if you start with an IV Rank around 50 and above? (TT ideas not mine). Richard | ||
| LSJ Legend Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL User Profile |
V >= 75% is in the fundamental criteria and is that the stock's V is greater than 75% of the universe. I want to trade very liquid stocks. High IV definitely. I don't try to sell premium on anything that isn't relatively high IV. I'm not an expert but selling premium with low volatility is a losing proposition and I completely avoid it. I am cautious about unlimited risk trades. Even high probability trades have the potential to clean out an account. I prefer the iron condor and then to get a little more juice out of it widen out the spread on the puts and calls. Then at least you have a defined risk. I have been using TT and other software for options but will dig a little deeper into OT. The OS flexibility is great. | ||
| Richard Moss New User Posts: 4 Joined: 6/29/2020 Location: Cape Town, South Africa User Profile |
TT nowadays seems to use IV Rank over IV Percentile, but the outliers in the recent market move tend to understate the current level of IV when using IV Rank. https://www.tastytrade.com/tt/shows/the-skinny-on-options-math/episodes/difference-between-iv-rank-and-iv-percentile-03-13-2014?_sp=2ffa3d19-711a-4d63-b64f-f1efb3882534.1593974836086 | ||
| LSJ Legend Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL User Profile |
Seems pretty clear that using the IV percentile is preferable. I think the TT research is good and accepting that you want to sell hi IV the task is to find good candidates. Another one on stock IV that is good: https://www.tastytrade.com/tt/shows/market-measures/episodes/single-stock-implied-volatility-vs-the-vix-06-28-2018 I like using OT to find option candidates primarily by running strats on custom OS lists but then doing the options analysis in TT where I can really assess the IV. | ||
| aztrix Veteran  Posts: 116 Joined: 6/16/2004 Location: Sydney, NSW, Australia User Profile |
Great to see other followers of the Tasty way on here, I only discovered it as a result of IB (Interactive Brokers) stuffing me around and sabotaging my options trading by withdrawing my permission to trade options while I had ±$88,000 of open options trades on … a blessing in disguise if ever there was one as it turns out The learning resources on TastyTrade along with the quantitative analysis to back their options trading strategies and methods is truly a breath of fresh air … Being a long time fan of technical analysis and charting, I have been surprised by how little I look at technical setups or the charts now and love the simplicity and mechanical nature of TastyTrade, keeps me very grounded. Like a few of the comments I have seen, I do wish OptionTrader was more flexible and would allow me to identify high IV, IVR & IV% opportunities aswell as better support for the Greeks, not to mention expected moves, BPR, etc.. I have tried setting up tradeplans for 0DTE, 7DTE, 21DTE, 45DTE, etc. but it just plain doesn't work … not as far as I can figure out anyway. Please let me know if you've had any success configuring OT/OS to facilitate the Tasty way? Cheers Bruce -- |
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