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Could you post a sample real trade that demonstrates the concept? It would
help understand what looks promising for conservative return.
-----Original Message-----
From: mark.keenan@xxxxxxxxxxxxxx [mailto:mark.keenan@xxxxxxxxxxxxxx]
Sent: Friday, December 07, 2001 5:38 AM
To: omega-list@xxxxxxxxxx
Subject: DELTA TRADING
Further to the 'is 1% a week possible' thread a few of you expressed
interest my response on DELTA TRADING.
Firstly to respond to the scathing replies:
I believe that people are too obsessed with Stats and that System report
sheet on Tradestation
It is very difficult to calculate all the stats when options are SPAN
margined in a portfolio - therefore calculating return to satisfy
Tradestation criteria is meaningless.
Those who are interested in delta trading the details are as follows:
1) The capital requirements are massive
2) you need to have very low commissions as options are expensive
The methodology is as follows:
Find point where the market is most likely to move (usually some sort of
extreme oscillator level on a time independent chart)
Buy 100 at the money calls and sell 50 futures (delta is neutral) (possible
to execute a delta neutral trade)
When market moves re-establish delta neutrality by adjusting amount of
futures, or close position out.
If market does not move within three days close position - losing only 3
days time value in options position.
The key to the system is to find a accurate way of finding a market
inflexion point.
Hope this provides some fresh ideas to people - Found out that a lot of
prop desks at Banks use systems along these lines.
Mark
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