About this template
** Updated Description August 26, 2023 **
This bot is based on the pattern that implied volatility spikes just before a stock's earnings announcement, and drops after the announcement. Consequently, option prices increase before the announcement and drop after the announcement.
This bot loops through the symbol list and enters a synthetic iron condor up to 7 market days (can be changed through bot input) before earnings. The Days to Expiration is the closest one available at least 30 market days away.
You can also set the bot to enter the position at 3:30 pm a day before earnings.
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A synthetic iron condor is made of two separate positions. One short call spread and other short put spread. The short legs of each position depends on the MACD signal for the position.
For the Call spread, if the signal is a buy the short leg is set at 5 Delta, if it is sell the short leg is set at 15 Delta, and if it is Neutral the short leg is set at 10 Delta.
For the Put spread, if the signal is a buy the short leg is set at 15 Delta, if it is sell the short leg is set at 5 Delta and if it is Neutral the short leg is set at 10 Delta.
The wings for all spreads are $3 wide.
For each spread the bot checks if the bid/ask spread is less than $0.30, the Reward/Risk ratio is greater than 5%, and the Probability of Profit is greater than 79%.
If these conditions are not met, the spread is not entered. Frequently only one spread is entered. So technically the trade becomes a single credit spread, instead of an iron condor.
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The bot also checks if the symbol is not overbought or oversold by making sure it's price lies between the upper and lower bollinger bands.
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The Profit Target is set at 60% with a 30/5% trailing stop through exit options at the bot level input.
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The position is automatically closed a day after earnings if the Close After Earnings switch is turned on in the Position Exit Monitor. By default this switch is OFF.
The position will also be automatically closed if the Min Profit target is met a day after earnings. You can change this target by updating the settings of the Position Exit Monitor. By default it is set to 20%.
In the same Position Exit Monitor, if you turn the Close if Short Strike Breached switch ON, the position will be closed if the symbol price goes below the short put strike or above the short call strike. By default the switch is OFF. You can also close the position if the Long Strike is breached by turning that switch ON.
The monitor has other input switches that should be ignored since this monitor is used in many of my other bots. These switches are not applicable to this bot.
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If Hedging is turned on by setting the switch to ON in the Position Hedger X5 monitor, a hedge position will be entered if any short strike is breached. By default the switch is ON.
For the short call position, the hedge will be a short put position with the same short strike as the call position. For the short put position, the hedge will be a short call position with the same short strike as the put position. The wings of the spreads are set to $3 wide and can be modified through the automations input settings.
The hedge position has a profit target of 95% set through the monitor's exit options. The position has a stop loss of 100% of the premium. This stop loss is activated through the Position Exit Monitor.
When the hedge is set, the position hedged also has stop loss of 100% activated through the Position Exit Monitor.
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This bot requires the symbol list to be manually updated before earnings of each symbol. You can get a list of all the upcoming earnings announcements from the OA Screener. Once you are on this page click on the Earnings 30d button and sort by the EARNINGS column to find stocks whose expirations are closest to today.
Since each symbol has two positions, one call and one put spread and there is a possibility of one additional hedge position (two hedge positions are possible but unlikely to be open at the same time), the bot can handle up to 3 symbols at a time due to OA's max 10 positions per bot limit.
Make sure you update the symbol list after trading hours otherwise you may run into OA's max position limit and get an error. This is because even if a symbol's position has closed during the day, it is still counted towards the 10 position daily limit.
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A capital allocation of $3000 is sufficient for the bot to operate within capital limits.
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A note about stop losses. The bot enforces stop losses through the Position Exit Monitor. Option prices are checked every 30 minutes between 10 AM and 3:30 PM to enforce the stop loss. This is to avoid temporary spikes in option prices, especially right after earnings. Profits are still taken using the bots one-minute exit options.
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In many respects this bot is completely different than the prior versions of it. If you are used to using the prior versions, please clone this separately and test to make sure it works for you.