Closed straddle strategy

Here also the expiration of my options portfolio came that is the completion of an experiment.
Now I can sum up the full result and analyze the effect.
The portfolio kept one and a half months and had 3 modifications:

• Initial formation of a call spread in the form of "straddle."
• At renewal of a trend closing of the left leg and transition to a long stake
• Change to a bull call spread.

I described the first two points in the previous post (here the reference: https://vk.com/wall-103610476_242? w=page-103610476_53705610). I will dwell on the last a little:
After the closing of the left leg (sale of fetters options), I had a clean equivalent of Long. Considering that I work with options, but not with the primary market, a sin was not to seize all additional opportunities to maximize income. And I made decisions to begin to sell stakes "out of money," thereby forming "a bull call spread."
Eventually, at me the call spread 15000-17250 turned out. In such look, the position came to expiration.
I will tell at once, the sale of the option I well "cut off" to myself profit as sold a stake too close to money in the growing market. Of course, it was covered with other option, but the current variation took away a lot of money when the price of the option began to grow with a growth of the price (At the market in 17350, the option sold by me became "on money", so its price grew as much as possible. Here schedule of a teta.


Apparently, the market was closed to its maximum values. And it left to me in kopek.
Morals: it is impossible to underestimate the force of a trend and to form very narrow spreads.

Anyway, I consider that I the idea well worked myself. Both options were executed and made profit on "a long position."


As a result, the profitability of all portfolio in 1.5 months made 25.13% that in itself is quite good.

I think that about new year I will leave work with options so far, it is too much another matters, plus it will be necessary to analyze all mistakes once again. All best!

Option spread SBRF

Hi, everybody!
I think it is time, to sum up, the intermediate results on option spread which I opened approximately a month ago.
The spread consisted of two bought options. At the same time all options of one strike, but a different type. Such spread is usually called long straddle.
Structure of an options portfolio:

Long  Call - SBRF-12.16M141216CA 15000
Long  Put- SBRF-12.16M141216PA 15000

The general idea was following. The future for stocks of Sberbank about the beginning of year technically strongly rose, having updated the maxima. The paper showing new Huy against the background of a decrease in the revenue suggests an idea that technical correction has to follow strong growth.
So the daily chart of SBRF at the time of opening of straddle looked:

Considering that the Russian market quite high, and the probability of the continuation of a rally is also present, to open an uncovered short position it was too risky.
Just the long spread of volatility very well is suitable for such situation.

The position profile on an expiration in spread looks as follows:



По горизонтали отложены цены базового актива. Тут видно, что пока фьючерс находится в диапазоне стоимость опионов перекрывает прирост их доходности, иными словами позиция оценивается ниже нуля. Для того, чтобы доходность перекрыла премию по опционам, базовый актив должен либо продолжить рост, либо начать падать.

Вот что происходило дальше:


Apparently, from the chart, the price derated twice, and indicators of sensitivity changed respectively:

Apparently, the delta jumped from-60 to +90. It created floating profit in the spread. But as I did not use a delta hedge in work, with each return to a strike profit on the monetary option was nullified.
Initially, I did not plan to hedge the delta, and I not especially worry about it. Just now I know as it is correct to do it and further I will surely watch the delta of a position closely. I will use most likely a contour for maintenance it about zero.
Besides the delta, the long spread still has one crucial risk - it is Teta, time disintegration of the option. As all my options bought, time works for me, and every day they lose the temporary cost. Considering what in approach to the expiration of the tet amplifies, now its profile looks as follows:


Time here is shown by the movement from the red line to dark blue. Apparently, it not linearly influences my spread.
As before an expiration, there were only about 2 weeks, and the probability of leaving in the left leg promptly decreases, the decision to close risk on tet was made, having sold out.
As a result at present, my spread passed a position on the option call into ordinary Long.
The current risk profile looks as follows:

Short results on a portfolio of options (in a month):

•  Calls up to: 84%


• total income: 4.02 %

Following actions:

• The Call will be held either before an expiration, or to the purpose on profitability (RR=3)


• I will monitor changes of the delta from now on and in time to hedge it to a contour not to lose profit.

Short sell covered puts

I continue to expand my options portfolio, and at the same time, I'm testing the strategy of recruiting a position in the stock market through derivatives.
The bottom line is selling out-of-the-money puts to keep the position before expiration. If the option goes into money, then I get the underlying asset at prices that are acceptable to me, and if the option burns, then I earn a premium on which I sell the new options of the next expiration just as out of the money.
In implementing this strategy, three problems arise in the Russian market:
1) On options, there is little liquidity. For this reason, the majority of shares that are currently traded at reasonable prices just cannot be written out an alternative.
2) Options for forts are marginal. This means that the variation margin is calculated on each clearing, and does not remain "paper." For such options, more collateral is required, and therefore higher financial risks.
3) Forts are traded options for stock futures, not the shares themselves. This also adds the risk of recalculation of the variation margin. But you should pay attention to this when the expiration dates of futures and options are very different.

Dealt with risks. Now it is necessary to choose the issuer whom I will trade. As I already wrote above, the choice is tiny. I stopped at papers of Gazprom (GZZ6). The company is actively underestimated and is lager about MICEX to the index. Considering that the share was traded in quite narrow range at meager relative prices, the yield on dividends makes about 12-13% (not precisely). Proceeding from these calculations, it is possible to gather a position in the amounts of 134-136 rub for the common stock.
Here also short options will be useful. Having sold to fetters with a strike 13500 we will provide ourselves or a premium to the option, or an award + with a position in the primary asset
. Generally, I and made. Data on the transaction are given below.