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double CAT

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6 replies, 3 voices Last updated by Timour Chayipov 1 year, 10 months ago
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    • #15026

      Timour Chayipov
      Participant
      @chayipov@gmail.com
      Points: 156
      Rank: Newbie

      yes, I’m in for one week usually but sometimes I hold it little bit longer when P/L is negative, I trade it real just for couple of month, but tested it, it looks good, but I understand that testing and trading are two different thinks… :). I also trade BB and M3 long term but usually I open them when volatility is higher ( butterflies are less expensive)

    • #15025

      Steven Ganz
      Participant
      @steve@ganzfamily.com
      Points: 442
      Rank: Freshman

      To our, I am not yet trading the Rock, but am exploring/testing it.  Thanks for sharing your modification.  How long have you traded it this way, and how has it performed for you?

      Also,  am I understanding this correctly that you are putting it on two weeks prior to expiration, but take it off prior to the last week (which would essentially mean you’re only on the trade for one week)?

    • #15021

      Timour Chayipov
      Participant
      @chayipov@gmail.com
      Points: 156
      Rank: Newbie

      structure of double CAT will be much wider than the Rock, so I think the test is also less important, I like to start to open this position when the market close to the top (or major resistance) and I expect that it will spend some time up there…

       

      • #15022

        virginie afota
        Participant
        @virginie.afota@gmail.com
        Points: 985
        APM2
        Rank: Freshman

        Thank you Timour for your fast answer.

    • #15020

      Timour Chayipov
      Participant
      @chayipov@gmail.com
      Points: 156
      Rank: Newbie

      I don’t… usually 2 weeks until exp. the test should pass ( or will be close) unless VIX is extremely high

       

    • #15019

      virginie afota
      Participant
      @virginie.afota@gmail.com
      Points: 985
      APM2
      Rank: Freshman

      Hi Timour. very interesting.

      What do you mean by “right conditions”: do you apply a systematic filter, do you apply John’s test or is it driven by your subjective analysis of the market ?

    • #15018

      Timour Chayipov
      Participant
      @chayipov@gmail.com
      Points: 156
      Rank: Newbie

      in today’s market environment the Rock is little bit too aggressive for me, to make it safer I modified the strategy a little bit:

      start around 2 weeks before exp. half position as a CAT, the first adjustment is to add another half as a CAT 20 points higher or lower. All next adjustments could be done according to guideline for two separate CAT/ROCK positions ( too much work). I do it as a whole position to roll / add butterflies partially to control delta. and I don’t hold this position during last week ( gamma is too high for me), on Friday (week before exp) I close it, and open new one (if condition is right)

      any comments??? please share how you trade the Rock

       

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