mangeshsable1975 / non-directional-options-strategy Goto Github PK

Non-Directional System

Strangle/Straddle without adjustments:

• Keep SL on both legs for safety in such a way that max loss will be 2% on capital if both SLs get triggered
• When 1 SL leg is hit, adjust and keep trailing SL on other leg
• Keep trailing the SLs (either at particular times OR every certain interval)

Straddle Adjustment Rules ->

• Sell CMP straddle at a particular time (Backtest to see favourable entry time)
• Check delta every 5 mins
• If the delta becomes greater than 0.2, then ->
  • If VIX keeps on rising, add more CE/PE legs (depending on market direction) (max 3) - When volatility crashes, position will benefit hugely
  • If VIX keeps falling, then sq off the higher delta leg, and sell a new leg matching existing delta
• If at any point, delta of any one leg reaches 0.9 then sq off the entire position. Can create a new straddle at CMP depending on time.
• Look to book profits / exit position around 2:45 - 3:00
• Max loss -> 2% of capital. Don't try to fight the market after this.

Strangle Adjustment Rules ->

• Sell strikes based on historical day range data (1STDEV for Nifty, 2STDEV for BNF) (check delta, pick strikes of around 20 delta)
• Check delta every 5 mins
• If the delta becomes greater than 0.3, then book the profitable leg and roll it up/down till a straddle is created. Then apply straddle management rules.
• Try to match delta while rolling, but don't match exact premium. Keep some room for premium reversal.
• If at any point, delta of any one leg reaches 0.9 then sq off the entire position.
• Book profits at 3:15
• Max loss -> 2% of capital. Don't try to fight the market after this.