Engaging with Speculative Index Options: Exposure-ExtremeVolatility-Vortex High-VolatilityUnhinged-GainsSteep-Drawdowns Aggressive-PlaySpeculative-WinLeverage-UtilizedHigh-ExposureWild-RidesProfit-PotentialReturn-Chasing High-Octane Financial Performance Models.
The Theta+ model embodies a fusion of meticulously crafted strategies, each with its distinct metrics, harmoniously integrated to minimize overall portfolio volatility while optimizing returns. Unlike its sibling model, Theta, Theta+ employs a mixed and matched approach, meticulously examining correlation among various strategies to forge a robust portfolio architecture.
It's a combination of multiple strategies.
At the core of Theta+ lies a sophisticated analytical framework, leveraging not only the Hidden Markov Chain model but also incorporating advanced models like the Black-Scholes-Merton and the Cox-Ross-Rubinstein. These models delve deep into historical and real-time data, scrutinizing price transitions and other market dynamics to foster a more nuanced understanding of market behavior.
Dyanamic Entry Mechanism
Moreover, the integration of our proprietary option pricing model further enhances the predictive accuracy of Theta+. Furthermore, the model’s adeptness in judiciously mapping Positional and Intraday strategies to an account, based on portfolio volatility, past profit and loss, liquidity, correlation coefficients, and market sentiments, accentuates its acumen in fostering a balanced and resilient portfolio.
SEBI has released circular no. SEBI/HO/MIRSD/DOP/P/CIR/2022/117 on September 02, 2022, regarding the performance/returns claimed by unregulated platforms providing algorithmic trading strategies, imposing restrictions on disclosing past performance or anticipated returns of any strategy. Due to slippage and varying costs (e.g., different brokerage fees), strategy returns exhibit significant fluctuations. That’s why, we are presenting backtested benchmark results instead.
For risk management and rebalancing, several factors are taken into consideration:
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.
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.
Initially, the model began with 1 Lot, but as the Lot size and margin varied over time, it’s currently impractical to proceed with 1 Lot due to the fixed per-order brokerage cost, especially given the reduction in quantity from 40 to just 15.
Subsequently, NIFTY was incorporated into the weekly options strategy. Currently, even though Bankex, MidcapNIFTY, and FINNIFTY have initiated weekly options, they are markedly illiquid.