Straddle adjustment | Strangle adjustment | Rolling Straddle Algo | Options adjustment

Strategy Details

Intraday or Positional:

• Intraday

Strike Configuration:

For strike configuration, there are two modes available:

1. Entry by ATM Points
2. Entry by ATM Percent
3. Entry by Closest Premium
4. Entry by CP based on Straddle Premium

Entry by ATM Points:

1. Underlying Price: 35125, CE  ATM Points = 0, PE ATM Points = 0
   ATM Strike = 35100
   CE Strike selected = 35100
   PE Strike selected = 35100
2. Underlying Price: 35125, CE  ATM Points = 100, PE ATM Points = 100
   ATM Strike = 35100
   CE Strike selected = 35100 + 200 = 35200
   PE Strike selected = 35100 – 200 – 35000
3. Underlying Price: 35125, CE  ATM Points = -100, PE ATM Points = -100
   ATM Strike = 35100
   CE Strike selected = 35000
   PE Strike selected = 35200

Entry by ATM percent:

1. Underlying Price: 35125, CE  ATM %  = 0.5%, PE ATM % = 0.5%
   ATM Strike = 35100
   CE Strike selected = 35100 + (35100 * 0.5%) = 35300
   PE Strike selected = 35100 – (35100 * 0.5%) = 34900
2. Underlying Price: 35125, CE  ATM %  = -0.5%, PE ATM % = -0.5%
   ATM Strike = 35100
   CE Strike selected = 35100 – (35100 * 0.5%) = 34900
   PE Strike selected = 35100 + (35100 * 0.5%) = 35300

Entry by  Closest Premium (CP):

• Closest Premium Price: 100, Type: “~”, Premium match % = 20%
  It will select the option contract within the range of 80 to 120 and nearest to 100.
• Closest Premium Price: 100, Type: “>=”, Premium match % = 20%
  It will select the option contract within the range of 100 to 120 and nearest to 100.
• Closest Premium Price: 100, Type: “<=”, Premium match % = 20%
  It will select the option contract within the range of 80 to 100 and nearest to 100.
• For contract selection based on premium, there is one more parameter given “Premium is not matched then”.
• If you set “Premium is not matched then” to “Avoid”, then if no options contracts fall within the range at entry time, then it will avoid entry and show Error status in strategy.
• If you set “Premium is not matched then” to “Wait for match”, then if no options contracts fall within the range at entry time, then it will keep checking every second until any contracts come within range and then take entry. So in this case, it will delay the entry.
• If you don’t want to match the premium and want immediate entry, then you can set a higher value in “premium match %” and select “Wait for match”.

Entry by CP based on  Straddle Premium (SP):

• In this case, it will first check the combined premium of the ATM straddle.
• If the ATM straddle is 500 and you have set the value to 70% of the ATM SP, then it will select an options contract with the closest premium to 70% of 500 which is 350.
• The closest premium selection “!”, “>=”, and “<=” also apply here.

Adjustment Logic:

• You can set how many times it should make adjustments.
• You can also specify stop adjustment time after which it will stop making adjustments.
• Currently, there are two types of adjustment methods available.
  1. Underlying Move 
  2. Premium Comparison
  3. Individual Leg SL

Adjustments based on Underlying Move:

• In this mode, it will adjust positions whenever underlying moves by the Points/ Percentage set by the user.
• For example, if you have set the adjustment points = 100 and the index price is 17330 at the time of entry, then with every 100 points move in the index (like 17430, 17530 on the upper side and 17230, 17130), it will do the adjustment.
• You can decide if you want to check the adjustment on LTP or candle closing. You can also set the time frame for candle closing basis adjustment.
• You can also set how to adjust which is explained in the “How to Adjust?” section.

Adjustments based on Premium Comparison:

• In this mode, it will compare the option prices of both options contracts and make adjustments. You can set this comparison on a Percentage or Point basis.
• For example, if you have set the adjustment % to 100%, then when one option contract price increases more than 100% of the other option contract, it will adjust positions.
• You can also set how to adjust which is explained in the “How to Adjust?” section.

Adjustments based on Individual Leg SL:

• In this mode, it will adjust whenever the option premium increases by adjustment %.
• For example,
  If CE sold at 150, PE sold at 130, Adjustment % = 50%
  then,
  Adjustment price for CE = 150 + (150 * 50%) = 225
  Adjustment price for PE = 130 + (130 * 50%) = 195
  So it will trigger an adjustment when the CE price reaches 225 or the PE price reaches to 195.
• You can also set how to adjust which is explained in the “How to Adjust?” section.
• In this mode, if you set “How to Adjust?” to exit profit making leg, then it will re-calculate the adjustment price for the loss-making leg when adjustment triggers. In the above example, Say CE Price reaches 225 so it will exit the PE leg and re-enter a new PE. For CE, it will re-calculate the new adjustment price of CE with the LTP which will be near 225. So new adjustment price for CE will be 225 + (225 * 50%) = 337.5

How to Adjust?:

• There are multiple modes given for adjustment as below :
  1. Shift the whole Straddle/Strangle
  2. Exit Losing Leg
  3. Exit Profitable Leg
  4. Alternate Exit Profit-Loss leg
  5. Alternate Exit Loss-Profit leg

Shift Whole Straddle/Strangle:

• In this method, when the adjustment conditions are triggered, it will exit the previous straddle/strangle and select the new straddle / strangle based on the contract selection logic set by you.

Exit Losing Leg:

• In this method, when adjustment conditions are triggered, it will exit the loss-making leg and select a new option contract.
• For selecting a new option contract, you have the following three options:
  1. Contract selection is based on the original method of strike selection
  2. Premium equal to the other leg option
  3. Premium % of the other leg option

Exit Profitable Leg:

• In this method, when adjustment conditions are triggered, it will exit the Profit making leg and select a new option contract.
• For selecting a new option contract, you have the following three options:
  1. Contract selection is based on the original method of strike selection
  2. Premium equal to the other leg option
  3. Premium % of the other leg option

Alternate Exit Profit-Loss leg:

In this method, when adjustment conditions are triggered, it will alternatively exit a profit-making leg and a loss-making leg on each adjustment.
For example,

• 1st Adjustment, exit the profit-making leg.
• 2nd Adjustment, exit the loss-making leg.
• 3rd Adjustment, exit the profit-making leg.
• And so on…

• For selecting a new option contract, you have the following three options:

1. Contract selection is based on the original method of strike selection
2. Premium equal to the other leg option
3. Premium % of the other leg option

Alternate Exit Loss-Profit leg:

Same as “Alternate Exit Profit-Loss Leg” except that on the first adjustment it will exit loss-making.

Protect Profit:

There are three modes available to protect profits:

• Lock Minimum Profit
• Trail Profits
• Lock & Trail Profits

Lock Minimum Profit:

Example:
If Profit Reaches = 10000
Lock Min Profit At = 5000

When your profit reaches 10000, it will lock the minimum profit at 5000. So when your MTM comes down to 5000, it will exit all positions.
This happens one time only.

Trail Profits:

Example:
Increase in Profit = 5000
Trail Min Profit by = 3000

Every 5000 increase in profit will trail your min profit by 3000.
When profit reaches 5000, min profit locked at 3000
When profit reaches 10000, min profit is locked at 6000 and so on…

Lock & Trail Profits:

In this mode, first, it will lock the profit at Lock Min Profit value and then it will start trailing profits.

Example:
If Profit Reaches = 10000
Lock Min Profit At = 5000
Increase in Profit = 5000
Trail Min Profit by = 3000

When your profit reaches 10000, it will lock in profit at 5000
After that,
When your profit reaches 15000, min profit locked at   8000
When your profit reaches 20000, min profit locked at   11000 and so on…

Please note, when your profit comes down to lock profit level, it will start exiting positions. It doesn’t mean that you will get the exact profit as per your lock profit value.

Exit Conditions:

• • User exits position from software
  • Time-based exit
  • Global Max Profit / Global Max Loss
  • Strangle/Straddle level Max Profit/ Max Loss
  • Protect Profit