Minimum holding period hedging questions

Discussion in 'Options' started by deltaf0rce, Dec 20, 2020.

  1. deltaf0rce


    Anyone who is held to holding periods understands this issue. I have to hold any position for 30 days except broad indices, etfs on the list, options on said indices, also allowed is spot currency. Futures absolutely not permitted. If you trade an option on a single name it needs to pre clear as well and the term needs to be 30 days as well. Essentially creating a synthetic call and no better.

    so I’m looking for suggestions on hedging. My best idea for now is beta hedging using indices, I can’t think of any more effective way. TD calculates your beta which is helpful

    also of note is I have portfolio margin

    appreciate any thought.
  2. newwurldmn


    When I had a 30 day holding period limitation, I would only do cash secured puts and boosters on indices.

    you don’t want margin calls. Plus it’s likely your firm is monitoring your activity and you don’t want them to know if you have undue financial risk.
    eternaldelight and deltaf0rce like this.
  3. deltaf0rce


    what I’m essentially trying to do is get long a name, and for risk management have a backdoor way to stop it out. Thought some synthetics on the spy for instance may offer that when done on beta

    FYI They definitely watch, I held a single name once for less than the holding period and I got an email on it.

    Believe me, I gave them plenty of ammo in March and April for them to reach out to me and they did not. I probably traded 500x on the spx and tlt. Never got a margin call or a compliance call.
  4. deltaf0rce


    An update if anyone following:

    this morning I traded a random diversified basket of 7 names on paper trade with PM. I left about 50% net liquidity available on the portfolio because single names offer no PnL relief for PM margin

    I got short requisite amount of SPY delta (2x ATM Puts Feb) on portfolio beta per TD TOS. Since I had no ability to trade futures otherwise would have used SPX

    Made money on the hedge so I had more delta than I needed but it did work.

    was able to perfectly release my margin by selling synthetic puts and got my margin back.

    Needs some tightening up on the hedge ratio but mechanically speaking we seem to be in business.
    Last edited: Dec 21, 2020
  5. deltaf0rce


    Also I only needed about 25% of net liquidity to execute this but that’s obviously variable depending on the beta of the basket.