Additional RMS and Rebalance

While serving as a fundamental model for the low-beta, low-volatility Theta Strategy, it adheres to a stringent risk management and rebalancing regimen, with factors being rigorously assessed by the Theta+ Model:

Monetizing Market Events – Unlike Theta, Theta+ aims to monetize high risk events such as key speeches by dignitaries, rate changes, court rulings, key AGMs, GDP updates, report outcomes, and significant market happenings, by dynamically adjusting strategies to capitalize on the market volatility these events often entail.

Option Greek Anomalies – Unlike Theta, Theta+ harnesses the nuanced dynamics of Delta, Gamma, and Theta to exploit a myriad of strategic opportunities. It delves into advanced techniques such as Gamma scalping, Vega stripping, Volatility spreading, Dyamic condors, and Time spreads to monetize the inherent market volatilities

Open Interest Data – Monitoring spikes in open interest and employing various open interest models like the volatility cone, max pain deviation, etc.

Certain Statistical Conditions – Leveraging advanced statistical methodologies like Bayesian Inference alongside Markov Chain processes, the model discerns underlying market dynamics, aiding in the meticulous crafting of exit strategies to mitigate risks and preserve capital.

Give me a lever long enough and a fulcrum on which to place it, and I shall move the world.

Optimization

Each leg of the trade is monitored individually as if they are separate trades. There are two methods for profit maximization:

Stop Loss Optimization – Exit the trade when the premium expands and reaches the stop loss level, then re-enter based on new resistance (for call options) or new support (for put options).

Profit Optimization – Exit the trade once a specified percentage of the premium has been eroded, to potentially seek better opportunities.

Advanced Volatility Clustering – Employing state-of-the-art volatility clustering techniques to discern periods of market tranquility from turmoil, thus enabling a more informed decision-making for entry and exit points.

Typically, various rebalancing systems are employed based on the account’s past profit, which often leads to deviations from the projected graph.