Scottsdale tastytrade Meetup June 2015 Meeting

1. Managing Straddles
1

2. 1. Market Measures: 6-24–15 “When to Roll”
Video: http://ontt.tv/1BMm6wd
• Rolling untested side (MM 4-9-15, “Up and Out”)
• Roll untested side to 30, 40, 50 delta
• Optimal roll was 40 delta on tested side
• Additional thoughts…
• What are results when the new position managed at 50%?
• Compare results to include max loss of 2x?

3. 2. Market Measures: 6-4-15
“Straddles | Scaling Out Winners”
Video: http://ontt.tv/1Fwb0Y5
• Closing position size by scaling did not produce better results
• Closing entire position at 25% best return/day

4. 3. Market Measures: 6-9–15 “Exiting Straddles”
Video: http://ontt.tv/1FGPv6Z
• 49% of 1SD straddles never get to 25% credit loss
• .5x credit loss seems to be a good target
• smaller drawn down on quicker exits

5. 4. Market Measures: 6-19–15
“Straddles | Managing Winners and Losers”
Video: http://ontt.tv/1GwbyA1
• Closer stop loss, more likely to close out a position that would
have come back to a winner
• Wider stop loss, less win rate is impacted, but increases the
largest loss and need more winning trades to recoup.
• Strategy with 25% profit target and 1.5x loss was best

6. The Setup
• Feb 2010 - Nov 2014 SPY
• First trading day of month sell ATM Straddle
• Close with tastytrade standard 25% profit
• Add closes of .25 - 2x credit received as loss (.25 increments)
• Split into high and low IVR

7. SPY ATM Straddle
Feb 2010 - Nov 2014 .25, 25% .5, 25% .75, 25% 1, 25% 1.25, 25% 1.5, 25% 1.75, 25% 2, 25% Exp, 25%
Number of trades 58 58 58 58 58 58 58 58 58
Total profit $2,276.50 $4,445.13 $4,806.38 $4,177.38 $3,548.38 $4,911.38 $5,332.25 $5,192.38 $4,781.88
Average return $39.25 $76.64 $82.87 $72.02 $61.18 $84.68 $91.94 $89.52 $82.45
Average # days held 23.41 26.29 27.03 27.28 27.52 28.81 29.00 29.00 29.19
Average profit/day 1.68 2.91 3.07 $2.64 $2.22 $2.94 $3.17 $3.09 $2.82
Percent winners 66% 84% 86% 86% 86% 88% 88% 88% 88%
Expiration 2% 5% 10% 10% 10% 14% 16% 16% 17%
Profit Target 64% 83% 83% 83% 83% 83% 83% 83% 83%
Loss Limit 34% 12% 7% 7% 7% 3% 2% 2% 0%
Max loss -$321.50 -$637.00 -$569.25 -$757.00 -$944.75 -$912.75 -$985.13 -$1,125.00 -$1,535.50

8. IVRank > 50 .25, 25% .5, 25% .75, 25% 1, 25% 1.25, 25% 1.5, 25% 1.75, 25% 2, 25% Exp, 25%
Number of trades 9 9 9 9 9 9 9 9 9
Total profit -$447.25 -$259.88 $476.13 $288.38 $100.63 $1,066.38 $1,066.38 $1,066.38 $1,066.38
Average return -$49.69 -$28.88 $52.90 $32.04 $11.18 $118.49 $118.49 $118.49 $118.49
Average # days held 24.56 27.11 31.22 31.22 31.22 35.56 35.56 35.56 35.56
Average profit/day -2.02 -1.07 1.69 $1.03 $0.36 $3.33 $3.33 $3.33 $3.33
Percent winners 44% 67% 78% 78% 78% 89% 89% 89% 89%
Expiration 11% 11% 33% 33% 33% 44% 44% 44% 44%
Profit Target 33% 56% 56% 56% 56% 56% 56% 56% 56%
Loss Limit 56% 33% 11% 11% 11% 0% 0% 0% 0%
Max loss -$321.50 -$637.00 -$569.25 -$757.00 -$944.75 -$224.00 -$224.00 -$224.00 -$224.00

9. IVRank < 50 .25, 25% .5, 25% .75, 25% 1, 25% 1.25, 25% 1.5, 25% 1.75, 25% 2, 25% Exp, 25%
Number of trades 49 49 49 49 49 49 49 49 49
Total profit $2,723.75 $4,705.00 $4,330.25 $3,889.00 $3,447.75 $3,845.00 $4,265.88 $4,126.00 $3,715.50
Average return $55.59 $96.02 $88.37 $79.37 $70.36 $78.47 $87.06 $84.20 $75.83
Average # days held 23.20 26.14 26.27 26.55 26.84 27.57 27.80 27.80 28.02
Average profit/day 2.40 3.67 3.36 $2.99 $2.62 $2.85 $3.13 $3.03 $2.71
Percent winners 69% 88% 88% 88% 88% 88% 88% 88% 88%
Expiration 0% 4% 6% 6% 6% 8% 10% 10% 12%
Profit Target 69% 88% 88% 88% 88% 88% 88% 88% 88%
Loss Limit 31% 8% 6% 6% 6% 4% 2% 2% 0%
Max loss -$179.75 -$416.00 -$569.25 -$757.00 -$944.75 -$224.00 -$224.00 -$224.00 -$224.00

10. Takeaways/Discussion
• Same as Market Measure 6-19-15! :)
• Do you use GTC orders to exit?
• Split exit targets by IVR?
• Study suggests quicker exit than with strangle

11. Questions?

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