SSK Options Strategy

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Summary

● This is a directional momentum strategy using long term credit spreads on the TLT and GLD ETFs to achieve superior returns by combining trend following and option theta decay.
● The strategy uses a fast and a slow daily simple moving average cross on OBV, (On Balance Volume) for the directional edge signal.

TLT Entry

● Enter a credit spread 5 minutes after the open on the day after the OBV 15d SMA crosses the 75d SMA with confirmation.
● Confirmation is defined as the daily OBV value above the slower SMA when going long and below when short.
● The credit spread is defined as 200+ DTE 30 delta short and long which is closest price to 20% of the credit received from the short.
● (Roll Part 2 – ReEntry) Enter a credit spread in the same direction as the OBV trend if there is no position on and there is break of the opposite side of the 5 day Donchian channel.

 

TLT Exit(s)

● Exit at entry in the opposite direction.
● Exit at option expiration.
● (Roll part 1a) Exit if the opposite side of the 5d Donchian Price Channel is broken and the profit is 60% or greater than the credit spread income received.
● (Roll part 1b) Exit if a profit target of 80% of credit spread income is realized.
● Exit at if current PnL exceeds -200% of income received.

GLD Entry

● Enter a credit spread 5 minutes after the open on the day after the OBV 25d SMA crosses the 90d SMA with confirmation.
● Confirmation is defined as the daily OBV value above the slower SMA when going long and below when short.
● The credit spread is defined as 200+ DTE 30 delta short and long which is closest price to 20% of the credit recieved from the short.

GLD Exit(s)

● Exit at entry in the opposite direction
● Exit at profit target of 95% of income or expiration

 

Risk(s)

● Fast move (long trades, so could be over multiple days) of price on lower volume. This would be a low probability event.
● Both TLT and GLD will have pullbacks in their strategies at the same time.

Planned Capital

● 2.8k/unit, MDD 280. A unit is defined as 1 TLT position and 1 GLD position.

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If you have any questions or need further clarification, please send a message in slack.

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History *

Returns are based on a recommended $4,000 account allocation to allow trading one unit in each market.

Overview

The SSK trading strategy is a hybrid model for momentum and market neutral income. It is deployed in the options on Long Term Treasury Bonds ETF (TLT) and Gold ETF (GLD).

* Please note that all trades are computer simulated. We have done our best to estimate market factors such as commissions and liquidity, however all computer simulations and even historic live trading cannot fully account for variations in commission rates, liquidity issues, and slippage. Please review other important disclosures.

Statistics

0 %
Annual Return on Allocation
0 %
Annual Ret/Margin
5 %
Max Drawdown
0
aRet/MDD
0 %
Win Rate
$ 100
Minimum Allocation
50
Trades
20
Average Hold

How The Strategy Works

  • Defined risk on every trade. There are no naked options, no short futures, or any other form of unlimited risk type of trades.
  • Momentum priority. The dominant trend and momentum of the market is always respected so that we can benefit from long lasting trends and avoid being on the wrong side of market crashes.
  • Income over home runs. We opt to see income from positive Theta rather than catching giant returns from long premium. This allows for far more consistent returns while giving up only a small amount of long term upside. 

Strategy Team

Bruce Bitner

Funded trader in the Falde Trading incubator program and designer of the SSK strategy.

Andrew Falde

Adviser and manager for prop firm, fund, and individual clients. Founder of Falde Capital Management and Falde Trading.

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