Friday, March 16, 2018

NDX trade wins again! (14 for 15? I've lost track!) Also: AMZN?

This was "expiration week" meaning the NDX was once again a.m. settled. I put it on again, and again it worked ...

Volatility was still up a bit, so I got from $1.60 to $2.29 credit, which is 29.7% on the $2.29 credit.

I put on the SPX Friday to Monday trade again and so far so good. But its volatility is pretty low and watching TastyTrade I just got another idea ... AMZN.

Yes, Amazon.com ... it's priced high enough that one can go waaaay out to the wings and still get a reasonable credit. But if you take a not quite so way out upper wing (16 delta) and a 5 delta lower wing, look what you get (on a 1-week trade):


That's right: risk 1.05 to make 1.5 (if held to expiration). This should work at least 70 percent of the time, and putting this into our Kelly Criterion calculator gives:


Translation: a trade that works 70% of the time, returning 1.41125 of the amount at risk would be maximally profitable over time if you risk 48.7% of your account on this trade ... 24.3% for half kelly, which is plenty profitable and less volatile for my tastes.

Anyway, I'll have to try one of these next week ...

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