FB earnings strangle

Discussion in 'Options' started by qlai, Oct 22, 2021.

  1. traider


    How is this not overfitting
    #41     Oct 26, 2021
  2. Matt_ORATS

    Matt_ORATS Sponsor

    It could be over fit. If a test is over fit it will likely not perform out of sample.
    What is important is being predictive.
    Fitting historical data with a small set of relevant data and testing out of sample can work.
    It is important to watch for the out of sample tracking the in sample.
    Here are the results of yesterday's signals with exits and below that are today's signals. The program runs starting at 11 am EST.
    UPS was the sole loser out of the seven.


    Again, this is a new test and I'll be tracking these and trading some to get a feel for what slippage assumptions should be added. These are fairly liquid names this early in earnings season and I'm experiencing about $0.10 of mid market slippage or about 0.10%.

    This is the updated out of sample test:

    With the small net loss in the SellStraddle the average is down small to 0.18% from 0.19%.
    The Buy Calendar is up to 1.03% from 0.97% posted earlier in this thread because of the good day today.
    #42     Oct 26, 2021
    morganpbrown likes this.
  3. qlai


    Covered the call

    #43     Oct 27, 2021
  4. qlai


    Covered the put, just don't want to risk a gap down on the stock.

    #44     Oct 27, 2021
  5. Matt_ORATS

    Matt_ORATS Sponsor

    I will put today's results here. If anyone wants to see more, you can ping me.
    There were three winners and one loser from yesterday, GRMN.
    Today there are some long straddles, short straddles, and long calendars.
    #45     Oct 27, 2021
    morganpbrown likes this.
  6. caroy


    Well said.....
    #46     Oct 29, 2021
  7. qlai


    So you agree with the statement? Do you ever sell OTM puts?
    #47     Oct 30, 2021
  8. newwurldmn


    i will give the correct answer to your question:

    Yes. But not to buy a stock cheaply. If I get assigned it means I was wrong.
    #48     Oct 30, 2021
    BlueWaterSailor and qlai like this.
  9. qlai


    Absolutely, I explicitly stated that I didn’t want to take assignment (hence 17 delta) but if I had to, the 300 spot was an acceptable spot given how much bad news was already priced in. Could it have dropped to 250, of course, this is trading, not creative writing.
    #49     Oct 30, 2021
  10. newwurldmn


    the second part of your thesis is an investment fallacy. If the stock falls to 300 it’s because something has happened. Sure if the news today was all that there was, then maybe 300 is a cheap price. But if it goes to 300, it’s likely that there is more news that’s negative (like maybe criminal investigation or fcc regulation).
    #50     Oct 30, 2021
    BlueWaterSailor likes this.