Shared by
Marius
Trade/Risk Management & Review
Trade executed as planned. Mentioning again that this is a trade based on an automated model signal. Will be listing my observations, management, & review.
Overnight markets notable bid up after EOM profit taking. Notable opening month equity inflows that was broad based. Mostly all assets except bonds and gold. These are seen as flight to safety assets. Risk on and buy the dip trade still present.
Set the trade to close at 90% profitability which was achieved 3 hours into the session. From a risk management and execution stand point this is excellent but keeping in mind that the model was designed to hold the trade through the close to capture the whole profit. Still playing it conservatively also seen with my positioning.
I did wait about 15 minutes after the bell and realizing now that these trades should be put on as soon as possible especially if there is a 75% chance heads up and accompanying my personal discretionary analysis.
Will be looking into this as I get more trades in and also consider scaling up size and bumping up risk responsibly.
Execution detail:
| Date/time | Symbol | Side | Price | Position |
|---|---|---|---|---|
| 2021-03-01 09:46:13 | 1 MAR 21 3850 PUT | buy | $5.170 | long |
| 2021-03-01 09:46:13 | 1 MAR 21 3860 PUT | sell | $7.420 | short |
| 2021-03-01 12:36:00 | 1 MAR 21 3850 PUT | sell | $0.3500 | 0 |
| 2021-03-01 12:36:00 | 1 MAR 21 3860 PUT | buy | $0.5500 | 0 |
Comments
Marius
Thanks tonymck66 ! This model was designed for 0DTE pm SPX options (M, W, F).
Additionally it was designed specifically for put credit spread positions, however your question related to alternative option positioning within this model is interesting. I wouldn't be able to answer that question at this point in time but will keep this in mind and may add related notes as future trades develop.
Further info can be researched at the reference below if interested. https://www.investiquant.com/
tonymck66
Awesome, thanks for the response Marius.
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Very interesting trade, congrats on the clean execution! You mentioned that this is an automated model signal based trade - does it only apply to the initial expiry in a new month or can it be applied on any series expiration?
Also, in this instance, was the Put Credit spread the optimal play or would the inverse Call Debit spread have yielded greater profitability? I assume the challenge on the Call side is assessing what is a good short strike to max profit harvest along with upfront expense to enter the trade...is that the case or are there other more meaningful considerations?
Thanks for sharing Marius!