Love this. Quick question, is " Long 7 dte 50d call Rolling" a 7 dte call that each day is rolled out a day so it's always 7 dte, or is it a 7dte call held for a week, which then expires and a new 7 dte call is bought at expiration? Thanks
Its a portfolio of 7 DTE options started consecutively with a 7-DTE expiry, rolled on expiry to the next 7-DTE option. Each day the % return is calculated as the final pnl of the expiring option / the sum of the notional of the portfolio.
I will be adding the 7-dte & 30-dte sections where the entire mark to market pnl of the portfolio is taken into account each day in the next update hopefully.
When breaking down by day of week, only PnL of options expiring on specific day of week is taken as the return (the notional portfolio value remains fixed with all 5 options for overall return & weekday breakdown)
Love this. Quick question, is " Long 7 dte 50d call Rolling" a 7 dte call that each day is rolled out a day so it's always 7 dte, or is it a 7dte call held for a week, which then expires and a new 7 dte call is bought at expiration? Thanks
Hi Justin!
Its a portfolio of 7 DTE options started consecutively with a 7-DTE expiry, rolled on expiry to the next 7-DTE option. Each day the % return is calculated as the final pnl of the expiring option / the sum of the notional of the portfolio.
I will be adding the 7-dte & 30-dte sections where the entire mark to market pnl of the portfolio is taken into account each day in the next update hopefully.
When breaking down by day of week, only PnL of options expiring on specific day of week is taken as the return (the notional portfolio value remains fixed with all 5 options for overall return & weekday breakdown)
got it. thanks