It has been almost 4 months since I started this strategy and as of now it is looking promising as far as winning ration goes. Since the strategy requires high IV percentile, most of the trading activities happen around earning seasons.
The strategy is to get out as soon as one of the following criteria is met.
- When the target ROI is met – 35% of the maximum return.
- When the IV drops after the earning. Even if the target ROI (35% of the maximum return) is not met.
- When there is a substantial positive ROI even if the IV has no change.
- When the market condition changes that would change the outlook of the return.
The biggest concern I have right now is the magnitude of draw down. As you will see from the data, the losing trades have very large negative PNL. This is because the losing trades are left alone until expiration to give it more time to recover, as long as it is within a reasonable losing range.
As you can see there are some trades left alone and the options will expire on Jan 18th, 2018. So we will find out if indeed this strategy works as we get closer to that time.
For more details please watch the following video.