Yes and no. I do not select delta and distance explicitely, but if you choose the underlying future, DTE, and the option price, you end up with delta and distance in a certain order of magnitude. That is good enough for me.
I prefer spending my time selecting different commodities for option selling instead of optimizing parameters. You have to do a lot of backtesting to optimize delta etc., but it is not possible to foresee if the next severe drawdown will look like the one in August 2015 or the one in January 2016 or ... Probably it will look entirely different. So which scenario you should use for backtesting ?
Some time ago I sold options for $200 instead of $400, but had to find out that commissions and fees are too high. This has to be seen in the context that I get out of a short option trade more often than others, eg. Ron. I usually get out when the value of the Option reaches the order of magnitude of 200 % of the original value. The mmore often I get out and in again, the more important are commissions and fees.
I hope this helps. Please feel free to ask again.
Best regards to Switzerland, Myrrdin
The following user says Thank You to myrrdin for this post:
Bought back the LHQ C84 with a profit of approx. 20 %.
Exports were strong recently, and prices in China are extraordinarely high. In case this trend continues, these calls might be in danger. (I still expect these options to expire worthless. But risk / reward do not meet my expectations anymore.)
I placed orders to sell further KCU calls which should be filled if the current advance of the coffee price continues.
Sold the KCU C170, and placed further orders for the KCU C180 and KCU C190.
Volatility of the Brazilian currency, worries about dryness in Vietnam, and short covering are the cause for the current move up of the Coffee price. But the upcoming Coffee crop in Brazil will be huge ...
Seasonally coffee price should move downwards until the second half of June.
Next critical phase will be the blooming period in Brazil in September / October.
Best regards, Myrrdin
Last edited by myrrdin; May 11th, 2016 at 04:42 AM.