I tried this today, sort of. I intended to sell the 0DTE, but I goofed and sold the 1DTE straddle at 4730, and bought Jan16 strangle at 4650/4850, for a debit of 1,400 (BPR 12,000). SPX moved up 25 points from where I entered, and I was still able to snag a $200 profit. Time decay of $800 a day really helps the short straddle!
There's no paper trade on Tasty you bozo but there's a couple of softwares out there (in fact only one). Come on you don't need to "paper trade" this, they've just back-tested it right in front of your eyes. You can throw a few spreads to test if you like it lol, it ain't gonna ruin you hahahah
what about buying the 1 week Strangle vs the 30 DTE strangle... I undersatnd the longer dte of the 30 day adds stability, BUT is it worth the extra capital outlay?
Question. They had to close the Long Strangle leg 2 times in 8 months when it became In-the-Money (Slide 2 of 5, 2:54 and Slide 5 of 5, 9:09). What am I missing??). Thats about a 10 to 13K loss each time on the 2 spreads. What am I missing??
So the breakeven for the short straddle when it expires at 4pm (ET), if you receive $1,400 credit for it, is 14 points up or down from where you put on the trade, but before expiration maybe breakeven is 25 points up or down. That's beyond the IVx expected day's range, so I'm thinking abort the trade if the market moves 25+ points. If I roll the short straddle 25 points to re-center in 0DTE it will be a debit, reducing profit potential by 1/3 or 1/2. I can probably roll to re-center in 1DTE for a credit, and still get decent theta for a few hours 'til close. Holding it overnight and hoping SPX doesn't gap too far seems like a crap shoot. How do you calculate hourly theta? theta/24?
I wound up rolling today when SPX traded 15 points above my original short strike. I rolled up 15 points and out to 1DTE, for 4.55 credit. I'm just a babe in the woods here, experimenting to see what works, so will see how it goes.
@@DaveShedd That sounds awesome. I need to understand. Did you roll up and out in one go or two step? And if two steps did that require 4 individual operations? I'm a PDT sinner so I can only do this with Futures and I find that with the /ES it's pretty difficult to obtain a fill sometimes. Especially when attempting to close a *amb position that in profit! 🤔
Lots of questions. 1) Roll = whole trade or just the center 2) Only take profits at 25%? What about managing losses? 3) Close 30DTE only if Strangle is profitable for overnight. Does that mean taking taking a short straddle 1DTE overnight?
1. Roll just the strangle. 2. No stops other then take profits. 3. No positions held overnight, 30 day was exercised to protect from massive outlier move when it happened. 4.Vix 1 day on 0DTE strangle, 30 day on 30DTE strangle.
@@GoldenAura32 afaik watching some more 0DTE videos from tasty they actually roll the whole trade or they roll the short straddle (so you can squeeze a bit more ATM theta)
Dec 5 0 dte 4570/4570 straddle 21.8 credit. Jan 5 (30 day) strangle 4450/4690 (120 wide !!). 40.9 debit. Trade cost 19.1. Tasty buying power $13,900. I believe CVAR roughly 25% of buying power or $3475. When Tom "re-centers" intraday he is rolling. I suppose you can final roll to next day but you have overnight risk which defeats some 0dte features. I think you can keep the strangle (wings) for a trade or two since they may not move much. I might dive into this on XSP or /mes to trial. I trade a lot of 0dte call/put butterflies (bf) and its really expensive to get 120 wide wings and it sucks when they decay. A "normal" 40 wide call bf is 20 ! The min decay 30 day out wings makes this really really attractive and less likely to suffer from a 2-3x move.
Using a 135 pt expected move, for Jan05 I get a 4435p/4700 strangle @ $36 debit, Dec06 4755 atm straddle credits $22.55. OK, I'm $13.50 in the hole. Now what?
It would be nice to know: 1-The width of Diagonal spreads 2- When rolling was it for even money or did you widen the spreads? 3-Explain why holding until EOD is bad, is it Gamma risk?
1) The only way I was able to afford this trade was to use the 30DTE IVx for the distance OTM for the long straddle, so today my long straddle was 4650/4850 (the Jan16 IVx was +/- 106 points). Yes, 200-wide sounds crazy, and the BPR was $12,000, but it seems to work, if you can afford to put it on. SPX margin rules for a naked straddle require $94,000 margin, so the wide 30DTE long strangle, to me, is just a work-around to get the margin down. Theta decay on the double diagonal of about 10% of BPR per day looks worthwhile to me. 2) SPX traded above the IVx expected move of +/- 18 points today. Rolling up the short straddle was going to be expensive so I just closed the trade at a small profit. It looks like you could roll to the next day for a credit, so maybe I'll try that next time, and try to collect the overnight theta. 3) According to the TT studies, taking profits when available instead of holding to expiration increases POP bigly.
it's unclear on when to roll or close the 30 day strangle wings when your are NOT ITM, please clarify. And how do these closures figure in overall P/L ? It looks like you are only calculating the P and L based upon closing the sold straddle position on daily basis? Please clarify. Thanks.
It would be helpful to include the buying power as part of this analysis. Most investors I know focus on their return on invested capital. In the options world, I think of buying power as invested capital. So the question I have is what does my return on invested capital look like across these two strategies? While the diagonal has a higher win rate and net P&L per day, my quick research shows a much lower return on buying power. A quick comment is made to this effect but I think it’s a really important point to show the data on.
Tom mentioned that this is an expensive trade. My first one cost a $1,400 debit, and used $12,000 in BPR. It is the highest theta of any strategy I've looked at so far though. If you analyze in terms of theta/BPR it might be worthwhile to keep one of these on. It has the potential to harvest 10% of BPR per day in theta decay on a range-bound day.
I’ve watched this vid and the follow up 4 or 5 times now and traded on it today. It worked but I still have a lot of questions. Watching for more content. Appreciate the research!
I think the long strikes should be at the price level of the 1 deviation distance of the O DTE series, instead of at the 1 deviation in the 30 DTE series. They need a decent gamma and delta to be able to protect the shorts a bit in case of large price moves, the 1 deviation in the 30 DTE series doesn't has this and would basically only serve to reduce buying power requirement. But some clarification on this would definitely be nice. From the video I think they just let the losers run, but some clarification on this would be nice too. A follow up on this video is definitely needed, as they claim themselves it's such an important piece of research.
I have the same question. I think the debit reduction for further out strikes is good, but that larger width in the diagonals incurs a larger bp hit, also. I'll be trading these via 1-lot XSP for a while to see what makes sense....
I looked at using the 0DTE IVx for the width of the strangle, but the cost was prohibitive. I used the 30DTE IVx, which made the long strangle 200 points wide! So not much protection, but it did get the SPX margin down from $94,000 for a naked straddle to $12,000 for the double diagonal. For purposes of the test, they let losers run, but I doubt they do that in actual trading. I hope they do a follow-up on how to manage this trade on a trending day. Like how far to let the market run before rolling or closing the trade, when to cut and run, etc.
Based on the comments, this "Market Measures" segment has garnered more than usual viewer interest. Most commenters have questions about how to manage this trade. It'd be helpful to see a follow-up presentation with at least a week's worth of daily management trades.
It'd be good to see examples of how the rolls are done. Also, why wouldn't you ratio-ize the strangle? For Dec04, the 0dte straddle (@4595) credits $21.50, while the 25 delta strangle debits $7.65 (these values per the Dec01 close.) Why not buy 2 or 3 strangles? The credit would cover the cost and the P/L curve looks a lot better...
are you getting buying power of 91k for Dec04, the 0dte straddle (@4595) credits $21.50? I am not sure if I get it right but thats way above most people's account size
@@fuzzyboomboom9742that's why you need options margining like other brokers do. You need to keep only daily risk in account for that trade (calculated by daily CVAR in the full diagonal), no need to have the full price for that long option
This is probably the most important video I've seen from Tasty. I'm paper trading it now, and made over 1k on 10k risked. Seems to work as advertised. Plenty more to test tho.
can you disclose the institutions/exchanges that are requesting your 8 months of 10 min data so we can avoid the organizations that can't find better data sources?
I'll have to look into this one. I have been playing the overnight vol crush by selling a call atm at the close and buying one 7 days out. The iron fly sounds less directional...
Very intriguing trade. I would love to try it, but I got lost on the rolling bit. Maybe an example video by someone using the Tasty platform would clear this up. Meanwhile, I will attempt to set one up and see if I can figure it out.
If you do work it out Lawrence then please update your comment, because I for one don't understand the rolling aspect either 🙃 The basic idea is to sell the guts and buy the wings and given that in this variation the wings are 30 days out I suppose that it would be a similar trade to a PMCC but with with two PMCCs back to back. Or is that analogy bonkers?
Its not VIX, its option IV. The platform shows the yellow bar which is the IV expected mvoe. You can also calculate it by the options DTE IV% and then take the current stock price, multiply the IV to get the +/- of the stock move
@@fuzzyboomboom9742 Thx for that. I actually have been going back and forth thinking on this all last night. I wonder what a double Diagnonal would like like as you are winning on both sides. Whats cool is that your Gamma risk becomes non-existant and you don't have to worry about assignment because you have your long there. I almost wonder if its worht using a longer dated option like 60 days out. Your daily theta decay on the long is even lower.
Been playing with these this week. For the most part they have done extremely well, especially when closing the short positions at 10% credit received. Now I want to try them on individual stocks on Fridays when 0DTEs are available for them.
@@Rodrigo-ji8xx These trades have been going very well, overall, but I'm doing them a bit different from what Tasty shows. My profits were being killed by the theta decay of the long options, so I'm buying 2SD 0DTE wings, roughly 5 deltas and selling 0DTE ATM straddles. I budget between $50-100 for the wings and let them die at the end of the day. Price of admission for playing. I look to profit $100 for every straddle I sell. I was doing percentages but find fixed dollar amounts work better for these 0DTE trades. I will buy back the guts when I can profit $100 and redeploy at the current ATM strikes. I will trade these all day and will make between $500-1000 on a 1 lot on a good sideways day with no price movement. If there has been a large price move and I had to roll and invert too far, I will buy 2SD wings the next day and roll the short trade into the next day. These defensive trades, in themselves, can be very profitable as long as price stays within the inversion. I have not yet been tested all the way to my long strikes, and so I am interested to learn how well I can defend against greater than 2SD price movements. But so far these wide 0DTE iron flies have been absolutely amazing. I work nights and can only day trade these things a couple days a week, but I've already made over $4000 on these SPX trades this year.
Closing the short positions (Straddle) at 10% and then placing a new Straddle or leaving it for the day and making use of the 30 day wings the next day - presumably, yes?
I get get 21.50 credit for the 0 DTE Straddle. Fine. But when I try a 25 Delta 30 day Strangle I get $242.40 with the strikes being 4510/4700 . Am I doing something wrong?
No. You missing the point that at the end of the day at the max profit price (market closes exactly at the price where you did short the straddle) you will pocket the entire $21.50 from the straddle while losing just couple dollars on the strangle. It's not an "expensive trade" if at the end of the day you get to keep the strangle Premium back
I may have missed it, but it is critically important that if you are going to close one of the longs to take profit (rather than roll), you need to close the short first! Especially in a smaller account.
Imagine hedging the 0DTE straddle directional risk almost completely by buying 2 60DTE (or longer) strangles. You would have almost 0 directional risk and still have positive theta. Hell. Imagine buying 2 longer term straddles. You"ll have 100 delta in any direction from the start. So you'll be completely delta hedged even if you hold the 0dte straddle till expiration. You can even make money from the long straddle's gamma increasing their deltas.
I planned on doing the 0/30 DTE double diagonal today, but did the 1DTE/30 DTE by mistake. It worked almost as well, but theta wasn't quite as high. If you follow the guideline of exiting at 25% profit it will still be a day trade. I'm not sure if rolling is counted as a day trade?
I don't understand what is meant by rolling at 25% profit when you have a 0DTE short straddle in play. If the sold straddle bleeds out enough that you're profitable by 25%, the trade is done, the day is probably nearing the close -- there is nothing to roll. I am certainly not going to roll at 3pm.
I would really appreciate a book by tasty on all the research done so far on 0DTE. It is much more convenient to look up the knowledge when you needed compared to finding and rewatching the relevant video from the 0dte series
1. They need to put a trade example in here from setup to close out with clear explanations at each step. (Mike get your White Board and explain this, 2. Is this a Diagonal, Straddle or Strangle? (Title of slide 3 is "Short Term Diagonal". Then it looks like they look at results for a "0/30 Diagonal". Then the present the winning percentages for a "Straddle"... WTF! I must have missed something! 3. Does the Trade use the expected move of the VIX, Straddle, or Strangle? 4. I'm not even calling this a strategy because this was poorly written, poorly explained, a combination of both or it's completely possible I'm dumb, which is totally possible and I'm ready to accept that in which case I'll return all of the tuition Stanford paid for my Graduate Fellowship in engineering!
I would prefer the researcher to present the Market Measures. And there should be some main researcher to review the language used so they are consistent. Tom just reads and doesn't think about what he is reading. Like "Rolled Winners" is 2.1 trades/day (Slide 3). How do you roll 2.1/day? Sounds like "re-center" maybe. Takeaways: "exercised their long legs twice" - huh?
@@growontap 10k CVAR would be if you hold the long legs till expiration, no? You should backtest it as if you close the long legs after each day and do it again next day
My 2 cents ... If you are not a Rolling expert don't even think about this Strategy. The losses on this strategy are massive. You will not be able to recover. I have been trading 0 DTE SPX for almost an year, look at the Historical data for last 1 year. We even had 95 point SPX move days. The Strangle legs mentioned here will NOT protect you on most days. If you are a Rolling expert, this might still work for you.
I tried this today, sort of. I intended to sell the 0DTE, but I goofed and sold the 1DTE straddle at 4730, and bought Jan16 strangle at 4650/4850, for a debit of 1,400 (BPR 12,000). SPX moved up 25 points from where I entered, and I was still able to snag a $200 profit. Time decay of $800 a day really helps the short straddle!
Great find. This deserves some paper trading to test the theory. Paper trading is great, you can only lose your mind.
Lose your mind when you're profitable but it's just paper :)
There's no paper trade on Tasty you bozo but there's a couple of softwares out there (in fact only one). Come on you don't need to "paper trade" this, they've just back-tested it right in front of your eyes. You can throw a few spreads to test if you like it lol, it ain't gonna ruin you hahahah
what about buying the 1 week Strangle vs the 30 DTE strangle... I undersatnd the longer dte of the 30 day adds stability, BUT is it worth the extra capital outlay?
Question. They had to close the Long Strangle leg 2 times in 8 months when it became In-the-Money (Slide 2 of 5, 2:54 and Slide 5 of 5, 9:09). What am I missing??). Thats about a 10 to 13K loss each time on the 2 spreads. What am I missing??
when you are rolling the winners what are you doing? how do you roll the diangle?
So the breakeven for the short straddle when it expires at 4pm (ET), if you receive $1,400 credit for it, is 14 points up or down from where you put on the trade, but before expiration maybe breakeven is 25 points up or down. That's beyond the IVx expected day's range, so I'm thinking abort the trade if the market moves 25+ points. If I roll the short straddle 25 points to re-center in 0DTE it will be a debit, reducing profit potential by 1/3 or 1/2. I can probably roll to re-center in 1DTE for a credit, and still get decent theta for a few hours 'til close. Holding it overnight and hoping SPX doesn't gap too far seems like a crap shoot. How do you calculate hourly theta? theta/24?
I wound up rolling today when SPX traded 15 points above my original short strike. I rolled up 15 points and out to 1DTE, for 4.55 credit. I'm just a babe in the woods here, experimenting to see what works, so will see how it goes.
@@DaveShedd That sounds awesome. I need to understand. Did you roll up and out in one go or two step? And if two steps did that require 4 individual operations? I'm a PDT sinner so I can only do this with Futures and I find that with the /ES it's pretty difficult to obtain a fill sometimes. Especially when attempting to close a *amb position that in profit! 🤔
Best tasty trade video ever 🤘🏻thank you guys 👏🏻
Lots of questions.
1) Roll = whole trade or just the center
2) Only take profits at 25%? What about managing losses?
3) Close 30DTE only if Strangle is profitable for overnight. Does that mean taking taking a short straddle 1DTE overnight?
I have the same doubt about the rolls
Also VIX implied move distance on the strangle is the daily move or the 30 day implied move?
1. Roll just the strangle.
2. No stops other then take profits.
3. No positions held overnight, 30 day was exercised to protect from massive outlier move when it happened.
4.Vix 1 day on 0DTE strangle, 30 day on 30DTE strangle.
@@GoldenAura32 afaik watching some more 0DTE videos from tasty they actually roll the whole trade or they roll the short straddle (so you can squeeze a bit more ATM theta)
When to roll the strangle centre? Roll both legs?
What are you rolling to? Next day? Rolling up or down? And what do you do with losers? Do you roll these as well?
No reply ☹️
Dec 5 0 dte 4570/4570 straddle 21.8 credit. Jan 5 (30 day) strangle 4450/4690 (120 wide !!). 40.9 debit. Trade cost 19.1. Tasty buying power $13,900. I believe CVAR roughly 25% of buying power or $3475. When Tom "re-centers" intraday he is rolling. I suppose you can final roll to next day but you have overnight risk which defeats some 0dte features. I think you can keep the strangle (wings) for a trade or two since they may not move much. I might dive into this on XSP or /mes to trial. I trade a lot of 0dte call/put butterflies (bf) and its really expensive to get 120 wide wings and it sucks when they decay. A "normal" 40 wide call bf is 20 ! The min decay 30 day out wings makes this really really attractive and less likely to suffer from a 2-3x move.
Using a 135 pt expected move, for Jan05 I get a 4435p/4700 strangle @ $36 debit, Dec06 4755 atm straddle credits $22.55. OK, I'm $13.50 in the hole. Now what?
It would be nice to know: 1-The width of Diagonal spreads 2- When rolling was it for even money or did you widen the spreads? 3-Explain why holding until EOD is bad, is it Gamma risk?
1) The only way I was able to afford this trade was to use the 30DTE IVx for the distance OTM for the long straddle, so today my long straddle was 4650/4850 (the Jan16 IVx was +/- 106 points). Yes, 200-wide sounds crazy, and the BPR was $12,000, but it seems to work, if you can afford to put it on. SPX margin rules for a naked straddle require $94,000 margin, so the wide 30DTE long strangle, to me, is just a work-around to get the margin down. Theta decay on the double diagonal of about 10% of BPR per day looks worthwhile to me.
2) SPX traded above the IVx expected move of +/- 18 points today. Rolling up the short straddle was going to be expensive so I just closed the trade at a small profit. It looks like you could roll to the next day for a credit, so maybe I'll try that next time, and try to collect the overnight theta.
3) According to the TT studies, taking profits when available instead of holding to expiration increases POP bigly.
it's unclear on when to roll or close the 30 day strangle wings when your are NOT ITM, please clarify. And how do these closures figure in overall P/L ? It looks like you are only
calculating the P and L based upon closing the sold straddle position on daily basis? Please clarify. Thanks.
not a 30 day strangle, strangle also 0dte, right?
@@fuzzyboomboom9742 No! Definitely a 30 day strangle.
It would be helpful to include the buying power as part of this analysis. Most investors I know focus on their return on invested capital. In the options world, I think of buying power as invested capital. So the question I have is what does my return on invested capital look like across these two strategies? While the diagonal has a higher win rate and net P&L per day, my quick research shows a much lower return on buying power. A quick comment is made to this effect but I think it’s a really important point to show the data on.
Tom mentioned that this is an expensive trade. My first one cost a $1,400 debit, and used $12,000 in BPR. It is the highest theta of any strategy I've looked at so far though. If you analyze in terms of theta/BPR it might be worthwhile to keep one of these on. It has the potential to harvest 10% of BPR per day in theta decay on a range-bound day.
Rolling the straddles or the whole diagonals?????
so by rolling winners, does that mean you close the winning straddle and open a new ATM straddle at that time? Pardon the newbie question.
I’ve watched this vid and the follow up 4 or 5 times now and traded on it today. It worked but I still have a lot of questions. Watching for more content. Appreciate the research!
Can you outline the Trade Setup& Structure - What did you buy & Sell? Strikes etc & Exit Plan. Thanks
Do you keep all the legs together at all times?
@@jgfunkI haven’t continued with this trade. It’s just too expensive.
When u roll the diagonal, do you roll the whole position or just the 0 DTE ?
I think it's just the straddle. Keep the long legs until end of day or profitable.
I think the long strikes should be at the price level of the 1 deviation distance of the O DTE series, instead of at the 1 deviation in the 30 DTE series. They need a decent gamma and delta to be able to protect the shorts a bit in case of large price moves, the 1 deviation in the 30 DTE series doesn't has this and would basically only serve to reduce buying power requirement. But some clarification on this would definitely be nice. From the video I think they just let the losers run, but some clarification on this would be nice too. A follow up on this video is definitely needed, as they claim themselves it's such an important piece of research.
I have the same question. I think the debit reduction for further out strikes is good, but that larger width in the diagonals incurs a larger bp hit, also. I'll be trading these via 1-lot XSP for a while to see what makes sense....
I looked at using the 0DTE IVx for the width of the strangle, but the cost was prohibitive. I used the 30DTE IVx, which made the long strangle 200 points wide! So not much protection, but it did get the SPX margin down from $94,000 for a naked straddle to $12,000 for the double diagonal. For purposes of the test, they let losers run, but I doubt they do that in actual trading. I hope they do a follow-up on how to manage this trade on a trending day. Like how far to let the market run before rolling or closing the trade, when to cut and run, etc.
Not very clear for me ,how rolling with 25% works. An example can be helpful as I am sure many folks trying to understand this new
concept
Based on the comments, this "Market Measures" segment has garnered more than usual viewer interest. Most commenters have questions about how to manage this trade. It'd be helpful to see a follow-up presentation with at least a week's worth of daily management trades.
I wish tastytrade would put up a forum on their site where members can discuss these market measures studies and any questions they might have.
It'd be good to see examples of how the rolls are done. Also, why wouldn't you ratio-ize the strangle?
For Dec04, the 0dte straddle (@4595) credits $21.50, while the 25 delta strangle debits $7.65 (these values per the Dec01 close.) Why not buy 2 or 3 strangles? The credit would cover the cost and the P/L curve looks a lot better...
are you getting buying power of 91k for Dec04, the 0dte straddle (@4595) credits $21.50? I am not sure if I get it right but thats way above most people's account size
@@osman3404 it's a short straddle - sell the 4595 call, sell the 4595 put, the total credit returned is $21.50, as of now
how do you get only 7.65 for the 30 day strangle?
@@scottlery5421 sorry, I missed that 30 day. 30 day would be Jan02 & 25 delta strangle would cost $42.90. An expensive trade... not for me.
@@fuzzyboomboom9742that's why you need options margining like other brokers do. You need to keep only daily risk in account for that trade (calculated by daily CVAR in the full diagonal), no need to have the full price for that long option
25% of the debit paid or 25% of the extrinsic value of the short options?
This is probably the most important video I've seen from Tasty. I'm paper trading it now, and made over 1k on 10k risked. Seems to work as advertised. Plenty more to test tho.
Are you rolling winners as they say? If so, how?
I'm rolling at 25% profit on the short straddle. Keeping the strangle until EOD, or if it hits breakeven (will sell early if so)@@caiobortoli
@@caiobortoli And how, exactly, do you paper trade this?
can you disclose the institutions/exchanges that are requesting your 8 months of 10 min data so we can avoid the organizations that can't find better data sources?
lol
😂
I'll have to look into this one. I have been playing the overnight vol crush by selling a call atm at the close and buying one 7 days out. The iron fly sounds less directional...
Very intriguing trade. I would love to try it, but I got lost on the rolling bit. Maybe an example video by someone using the Tasty platform would clear this up. Meanwhile, I will attempt to set one up and see if I can figure it out.
If you do work it out Lawrence then please update your comment, because I for one don't understand the rolling aspect either 🙃
The basic idea is to sell the guts and buy the wings and given that in this variation the wings are 30 days out I suppose that it would be a similar trade to a PMCC but with with two PMCCs back to back.
Or is that analogy bonkers?
How you calculate the strike base on VIX expected move ? there is a kind of formula or what ?
How I would dearly love to know the answer to that question. Presumably the VIX is applied (somehow) to the wings and the VIX1D to the Straddle.
Its not VIX, its option IV. The platform shows the yellow bar which is the IV expected mvoe. You can also calculate it by the options DTE IV% and then take the current stock price, multiply the IV to get the +/- of the stock move
Example trades would really be helpful.
I am curious as to why they are doing Diagonals as opposed to a Calendar with both Options priced the same?
Calendar would require the same strikes for the strangle as for the straddle - much more expensive.
@@fuzzyboomboom9742 Thx for that. I actually have been going back and forth thinking on this all last night. I wonder what a double Diagnonal would like like as you are winning on both sides.
Whats cool is that your Gamma risk becomes non-existant and you don't have to worry about assignment because you have your long there. I almost wonder if its worht using a longer dated option like 60 days out. Your daily theta decay on the long is even lower.
Been playing with these this week. For the most part they have done extremely well, especially when closing the short positions at 10% credit received.
Now I want to try them on individual stocks on Fridays when 0DTEs are available for them.
Hello, friend
How did it go? Could you comment?
@@Rodrigo-ji8xx These trades have been going very well, overall, but I'm doing them a bit different from what Tasty shows.
My profits were being killed by the theta decay of the long options, so I'm buying 2SD 0DTE wings, roughly 5 deltas and selling 0DTE ATM straddles. I budget between $50-100 for the wings and let them die at the end of the day. Price of admission for playing.
I look to profit $100 for every straddle I sell. I was doing percentages but find fixed dollar amounts work better for these 0DTE trades. I will buy back the guts when I can profit $100 and redeploy at the current ATM strikes. I will trade these all day and will make between $500-1000 on a 1 lot on a good sideways day with no price movement.
If there has been a large price move and I had to roll and invert too far, I will buy 2SD wings the next day and roll the short trade into the next day. These defensive trades, in themselves, can be very profitable as long as price stays within the inversion.
I have not yet been tested all the way to my long strikes, and so I am interested to learn how well I can defend against greater than 2SD price movements. But so far these wide 0DTE iron flies have been absolutely amazing.
I work nights and can only day trade these things a couple days a week, but I've already made over $4000 on these SPX trades this year.
Closing the short positions (Straddle) at 10% and then placing a new Straddle or leaving it for the day and making use of the 30 day wings the next day - presumably, yes?
They had a follow up Market Measures on this today in the live show. They will probably cut it out into a stand-alone video soon.
Going to watch this 10x and add it to my notebook
Couldn't you use the strangle to sell more 0dte's against as protection?
You can burn yourself really easy on a strong and fast market move at the end of the day if you are planning to sell more 0dtes
I get get 21.50 credit for the 0 DTE Straddle. Fine. But when I try a 25 Delta 30 day Strangle I get $242.40 with the strikes being 4510/4700 . Am I doing something wrong?
No. You missing the point that at the end of the day at the max profit price (market closes exactly at the price where you did short the straddle) you will pocket the entire $21.50 from the straddle while losing just couple dollars on the strangle. It's not an "expensive trade" if at the end of the day you get to keep the strangle Premium back
As far as the price you getting I'm gonna check my ES futures options and see if there's something wrong for you
yes i realize that. Now I'm getting about $43 for the 30 day strangle, Still seems high@@caiobortoli
This trade is on SPX yes?
@@caiobortoli
@@caiobortoliexcellent explanation! That helped me a lot! Thank you
I may have missed it, but it is critically important that if you are going to close one of the longs to take profit (rather than roll), you need to close the short first! Especially in a smaller account.
roll the straddle at 25% , roll to what ? Roll to next day ? Not clear what you are rolling too on the straddle ? Clarify please.
You're going to have to roll the diagonals, at least one side and often, both sides.
Great analysis.
goooooooooooood content
I tried putting an SPX examaple trade but getting a huge buying power of $47K ... what are you getting?
thank you
I am wondering about even longer term Diagonals such as 60 days.
Imagine hedging the 0DTE straddle directional risk almost completely by buying 2 60DTE (or longer) strangles. You would have almost 0 directional risk and still have positive theta.
Hell. Imagine buying 2 longer term straddles. You"ll have 100 delta in any direction from the start. So you'll be completely delta hedged even if you hold the 0dte straddle till expiration. You can even make money from the long straddle's gamma increasing their deltas.
@@caiobortoli But they'll cost more. So ROI will be lower. I thought the same tho.
@@growontap you can go for verticals instead of just go long call and long put on the back months
@@growontap So what if ROI is lower! It is about income generation son! You are only holding up BP for a few hours!
I'd love to see a study of selling the next day expiration for us peeps that can't day trade to manage the 0 DTE
I planned on doing the 0/30 DTE double diagonal today, but did the 1DTE/30 DTE by mistake. It worked almost as well, but theta wasn't quite as high. If you follow the guideline of exiting at 25% profit it will still be a day trade. I'm not sure if rolling is counted as a day trade?
@@DaveShedd They do or at least TD does. I called them on it and they said. you bought and sold the same day.. Friggin stupid
I don't understand what is meant by rolling at 25% profit when you have a 0DTE short straddle in play. If the sold straddle bleeds out enough that you're profitable by 25%, the trade is done, the day is probably nearing the close -- there is nothing to roll. I am certainly not going to roll at 3pm.
Would the platform (options values) even allow you to roll at 3 p.m.? I would be very interested to know that.
They work really good on earnings plays
It really is similar to earnings play
Great job 👏🏽
I would really appreciate a book by tasty on all the research done so far on 0DTE. It is much more convenient to look up the knowledge when you needed compared to finding and rewatching the relevant video from the 0dte series
Take screenshots and make your own book
Or need an illustration of the deal or ask Mike to explain on the board. Incomprehensible video, I have to figure it out
I'm still getting for a Jan5 25 Delta 30 day Strangle I get $242.40 with the strikes being 4510/4700...not 41 like some are posting
they said go to the expected move on the strangle, not 25 delta.
1. They need to put a trade example in here from setup to close out with clear explanations at each step. (Mike get your White Board and explain this,
2. Is this a Diagonal, Straddle or Strangle? (Title of slide 3 is "Short Term Diagonal". Then it looks like they look at results for a "0/30 Diagonal". Then the present the winning percentages for
a "Straddle"... WTF! I must have missed something!
3. Does the Trade use the expected move of the VIX, Straddle, or Strangle?
4. I'm not even calling this a strategy because this was poorly written, poorly explained, a combination of both or it's completely possible I'm dumb, which is totally possible and I'm ready to
accept that in which case I'll return all of the tuition Stanford paid for my Graduate Fellowship in engineering!
I would prefer the researcher to present the Market Measures. And there should be some main researcher to review the language used so they are consistent. Tom just reads and doesn't think about what he is reading. Like "Rolled Winners" is 2.1 trades/day (Slide 3). How do you roll 2.1/day? Sounds like "re-center" maybe. Takeaways: "exercised their long legs twice" - huh?
Its and 8 month study. And exercised means they closed their positions for a loss? Not sure on that one
Very confusing video
$300 Daily Profit on $3K cvar sounds too good to be true. Might want to double check the homework.
For an 80% POP!!!
Yes, I'm getting 10K including the long legs. Perhaps they're just counting the short legs.
@@growontap 10k CVAR would be if you hold the long legs till expiration, no? You should backtest it as if you close the long legs after each day and do it again next day
Hey
To vague, need to show real trading scenarios to explain the entire concept
Only great if you are the guy collecting all the fees 😂
This is the biggest terror that I feel gets ignored. I had an Aware moment when I realized how much assignment fees bend me over.
@@tchad2012 use an exchange that doesn't charge a ridiculous assignment fee
@@tchad2012 Most brokers don't charge assignment fees these days. Plus, SPX is cash-settled. Nothing is assigned!
@@tchad2012you dont get assigned on SPX options theyre cash settled…
Fees of $10 for $300+ net daily PL? That’s pennies in commissions/fees
Man...Terrible results in 2024 for this trade. It's huge loss everyday. Not one winner.
My 2 cents ... If you are not a Rolling expert don't even think about this Strategy. The losses on this strategy are massive. You will not be able to recover.
I have been trading 0 DTE SPX for almost an year, look at the Historical data for last 1 year. We even had 95 point SPX move days. The Strangle legs mentioned here will NOT protect you on most days.
If you are a Rolling expert, this might still work for you.