We Studied 15 Years of 0DTEs Results To See If There Was a Better Way
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- Опубликовано: 13 авг 2024
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Great content by the research team but this one needs a redo. Very confused discussion mixing DTE and days before management. Where is Julia when we need her?
It's pretty weird. This stuff is always discussed in terms of DTE. Wonder whose idea it was to bring in 'Days Before Management'.
@@LevelofClarity DTE is the full term of the trade and DBM is the amount of days before you touch the trade as in close out or roll into a new 45DTE.
Thanks again for doing the DD for us. I hate back testing more than watching paint dry, and you guys do it for us!
Those charts say that 30dte is almost v roughly equal to 45dte at open. Your p&l is basically flat those first 15 days. You're better off doing 30dte and managing after 10-15 days.
Hell yeah! Thanks for pointing this out. I'm wondering if the half point is a good rule of thumb.
Looks instead like between 25-30 days (before management/15-20 DTE) is most optimal.
Part 2 needed with more details & clarity and examples?❤
I've been mostly doing weeklies, sometimes 2 weeks out, but funny thing just today I was looking farther out, 6-7 weeks, wondering if I could reduce the chaos and simply take advantage of theta decay more efficiently that way. Then I ran across this video. :)
Excellent work Gents n thanks very much for doing the work and sharing it!! Much appreciated.
Does anyone know the book title Tom is talking about in this video?
Found it...
Edit: 'The Unlucky Investor's Guide to Options Trading' - Julia Spina
Thanks for putting all of this together with the slides.
the x-axis doesn't make any sense "Days before Management".....does zero represent the expiration day or the day you manage it (21st day)? it would also make more sense to start the x-axis at 45 rather than starting at zero.
@@rsbmg they should call it "days held" or "days held before management" and the charts show that its better to manage at 28 days rather than manage at 21 days
This is perfect especially for people like me who are switching between different expiration dates. Thank you!
So, basically gamma risk. Only way to ride it closer to expiration is if you can adjust and be as delta neutral as possible, which of course gets harder.
Great video. I wonder in the study presented in this video, what exactly is the "manage at xxx DTE" action used in the study? I am sure it is clearly defined otherwise there won't be any number. But the definition is not shown in the video.
Great video. I've been afraid to leave till expiration since taking 2 losses in SPX at the end, one of which was in the last 30 mins--I went for a run, got back after market close and was 800 bux poorer. Most expensive run on two feet.
but you just said on another video that we should readjust delta on average every 4 days (you showed that this is the best time to do so), so how exactly do you hold it for 21 days without touching the strangle ?
I remember that nickel buy back, it was awesome and no one else had it, lol.
Do all the 45 dte with 21 day management recommendations in this video apply to all options? What about credit spreads?
hey, super cool graphs!
What would maybe help is a vertical line at 21dte. That's here 24 days before management, right?
Also, for SPY, it seems managing at 21-17dte is optimal, so being a few days late isn't that bad statistically. Again thanks so much for the market measures!
I agree looks like around 19dte for spy
Guys this looks to me like the first 15 days in a 45 dte contract does nothing to make $ for your account as risk rises. AT 15-days p&l starts raise as risk start to flatten out then at 30 both raise at a constrain rate. So, the trade is on at 15 and close at 30.
Show us your P&L Tastylive that employs your strategies...that is the only thing that matters!
They post all of Tom's trades in real-time everyday. They show entries and exits and show how much was made on a per-contract basis for every trade. They just don't show their size and Net Liq. Tom's account is easily Eight figures +. They also do a year-end review and discuss total returns in percentage terms for most years.
@@LevelofClarity Do you know where I could find those videos? Like do they have a name for the videos they do reviewing their yearly performance like they do with these “Market Measures” segments?
@@j.m.6048 I'm not actually sure the best place to look for those. I think they discuss this stuff in the first couple of weeks of January. They really should have a name for them and archive them so people can go and see how well they perform.
@@LevelofClarity Well thanks anyway
M m me.
I'd like to see this go out to like 75DTE. I like doing longer 55-75 DTE, and taking off around 40DTE. Such lower swings in P/L. Yes, you lose some theta, but it's a tradeoff.
Thats interesting. I've seen many pro's using 56 days, for example on butterfly style structures. I usually start around 40-60 days and roll around 20 days ...sometimes letting it go to the last week, depending on the situation.
Awesome piece of research. Love the graph depictions as well. Well done!
Thanks for making all your awesome videos over the years.
Questions:
1. to be crystal clear, does "manage a trade" actually mean "close a trade"?
2. Is the rolling of untested legs in strangles done when the untested delta falls below a certain level, and done at any time?
Good questions - I’m curious about these as well.
Close or put the trade further in time, I guess. Or any other way to manage.
Thanks so much for this analysis!
The days before mgmt vs Avg. P/L chart should have been on a log scale to emphasize the volatility of the P/L. Good analysis and thanks for sharing.
This is one of your many videos that I really have enjoyed....hats off to you and your team. Speaking of hats, where can I purchase one of those hats like the one you wear on your show as well as other TT gear? 😛
🎯 Key Takeaways for quick navigation:
00:03 📊 21 Days to Expiration (DTE) is vital for trading; considered close to magic.
00:30 🌐 TastyTrade events happening across the country.
01:29 ⚙️ Early trade management limits exposure to large losses; manage trades at 21 DTE.
04:44 📉 Profits peak in the first 24 days; managing trades after 45 days yields lower returns.
08:09 🔄 Manage positions at 21 DTE to avoid increased risk and capture profits.
09:48 📈 Sweet spot for optimal profits and risk management is around 21-24 DTE.
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We love visuals!!!
What was the name and author of the book that Tom mentioned at aprox 10:15 ?
The Unlucky Investor's Guide to Trading Options by Julia Spina
Interesting narrative
Looking at the graphs, it seems like the "sweet spot" is at about "24 Days Before Management". However, I am confused: with a 45 DTE option, wouldn't 24 DBM correspond to 16 DTE? (not 24)
Think about it 45-21=24 days have run before mgt.
Great video. What do they mean by "managing" the trade? Is this when they close out? They talk about rolling a lot too. There are some lessons in this video that I haven't learned yet. Need to find them, but would be helpful to provide a brief explanation on that in the video, meaning what are you doing at 21 DTE... I believe they are either closing out the trade or rolling it.
Wow all this info given fr free? Thanks alot appreciate your content and time in making them 😅😅
At what volatility was this study run. Please run this at different VIX starting points. That’s is where the challenge lies. Is it consistent at a 30 VIX as a 16 VIX. Great study. Please add to it
They ran it over 15 years mate...
Why do we manage strangles as a package vs. covering put and call when they hit 50% INDIVIDUALLY?
When the word "trades" is used, what exactly are these "trades"..? Iron Condor, Vertical Spread, Butterfly, ..?
Would it be better to manage at 18? 21 DTE is a Friday and 18 is the following Monday, so we option sellers get Saturday and Sunday of theta decay for free?
To clarify the 45 day thing. I understand liquidity is important. Is the goal to always sell on the monthly expiration contract? So if I we're to sell a contract today, it should be either Nov 17th or December 20th?
Buy yourself the time!
Is 21 DTE only for Strangles and Iron Condors, OR can we use it for Spreads also ?
Just closed my first 45 DTE 16 delta Iron Condor using this strategy. Seeing it cross 50% profit at exactly 21 DTE like clockwork has me convinced these guys are true geniuses!
what is average vig on this and routinie strategies. taking accont of commissions and normal bid asked thread
The 45-21 Hold period makes sense. But how do you manage these positions in the meantime when the market moves ? Is there another video that explains this in more detail?
Delta hedge. Roll untested side in.
TT has all that defined in dozens of videos at their main website under education tab. Managing trade means either getting out for 25-50% profit at the 21 DTE (depending on the type of strategy used) or rolling for more credit at same 21date if not yet very profitable. Sometimes it could mean rolling out before 21 DTE if U/L really goeas againstyou very early. And if over 200% loss it maybe best to not roll and just close a loser. Most people manage losers; TT manages winners.
@@johnnymomascaro Sorry, not really familiar with their site, can you post a link to push me in the right direction?
Hey, this 21 day is what I like to do... thanks for confirming I am not too crazy, but maybe just a little.
What delta do you suggest for 45 dte and exiting at 21 days for selling options?
Mahalo!
Strangles chew up too much buying power for me
Since we have 0 DTE every day, does it mean one has to open every day for 45 DTE ? Or is it better to do it on a weekly basis ?
It looks to me that the 25-30 day period would be the best.
Would sure like to see a similar study done using 7day weekly trades. Since you can usually get around a 25% boost in profits over a 30 day period and if you put on a trade and it immediately goes against you, now you have all kinds of premium and time you can adjust with.
The issue is the expansion is gamma with shorter dated options. They have done studies in the past showing similar graphs showing what happens to P&L, delta, gamma, etc at various DTE intervals, i.e. 45, 21, 14, 7, and 0. You can probably find it in the archives on their site. Although, I have found it very difficult to find specific episodes.
This 21 day concept cannot factor in the behavior of the underlying security which is the great unknown and the ultimate determiner of results so
this seems a very generalized. theory that in the real world will this be applicable? These guys know a lot more than I so maybe I m missing something
The video talked about 20 delta strangle. Will this be applicable to 16 delta Iron Condor as well?
Every strategy study I've seen from them fall within the same parameters, enter on day 45 and exit/roll day 21. Maximum theta decay vs gamma risk.
You guys keep saying manage the trade, but never define what that means exactly or even figuratively.
TT has all that defined in dozens of videos at their main website under education tab. Managing trade means either getting out for 25-50% profit at the 21 DTE (depending on the type of strategy used) or rolling to a future period for more credit if not yet very profitable or rolling the untested side up or down for more credit without rolling out to a new date. Sometimes it could mean rolling out to new DTE date before you reach 21 DTE on the original trade if U/L really goeas againstyou very early. And if over 200% loss it maybe best to not roll and just close a loser. Most people manage losers; TT manages winners.
@@johnnymomascaro Where are the videos you mention? I have been doing the Tastylive options courses on the wesbite but it is all text. I do not see any videos.
@@johnnymomascaro Rolling for more credit at the same date would move you closer to the money with a larger spread, increasing your chances of larger losses. Why would you do that.
Do your research if you're serious about playing this game homie
@CK @CK been trading directional spx for three years profitability. And long term trader for over 15 years. So chill with the do you're research chief.
Would like to see the tables be charts
Is Delta also highest at 21-24 DTE?
So 21 DTE.. and the goal is to collect 25-50% of premium? 25-50% of the credit is ALWAYS the goal, correct?
No reason to go beyond 50% if you've got your capital allocation and BP mechanics set up correctly
Zero dtes have ruined the market. I think your research team needs to change their back testing timeframe parameters to 1 year 😅
i wont open less than 30 days anymore i like to sleep
What is everyone trading this week?
Y’all never said what trades y’all are doing? Spreads? etc.?
At the beginning he said it was Strangles (undefined risk trades)
I know 0DTE is kind of the hot trade right now, but this explains why I like to have time on my side and managing early
I love how Tom just reads off the slides and they don't rehearse any of this stuff. The content is good but do a little more production. Geez.
Sorry, those were incredibly terrible explanations!
Makes perfect sense to me, managing portfolio tail risk whilst optimising p&l returns...keep up
@@CK-mg1ev I understood the slides; they were fine. I was commenting on the verbal explanations from Tom and Tony. Hell, they couldn't even agree what it meant. I just turn off the sound and just read the slides (usually works out better anyway).