Delta-Neutral Breakout
If you’re keen to leverage the volatility of earnings announcements, Jeff’s Delta-Neutral Breakout service is for you. Using straddles and strangles, this strategy allows traders to profit from significant stock moves without predicting the direction. Whether a stock surges or drops post-earnings, you’re positioned to benefit. Our service zeroes in on stocks known for notable earnings-driven shifts, letting you harness volatility without the guesswork of the stock’s next move.
Delta-Neutral Breakout
If you’re keen to leverage the volatility of earnings announcements, Jeff’s Delta-Neutral Breakout service is for you. Using straddles and strangles, this strategy allows traders to profit from significant stock moves without predicting the direction. Whether a stock surges or drops post-earnings, you’re positioned to benefit. Our service zeroes in on stocks known for notable earnings-driven shifts, letting you harness volatility without the guesswork of the stock’s next move.
Delta-neutral breakout features
Overview
Strategy commenced
– April 2023
Primary option strategies
– Straddles
– Strangles
Capital Required
– Suggested $10,000
– Minimum $5,000
Trade Frequency & Duration
– 10-12 trades per month
– Avg. trade duration 10 days
– Maximum 12 open positions
How does the strategy perform?
Delta-Neutral Breakout takes advantage of company earnings, and therefore the performance of the strategy follows the seasonal nature of earnings announcements. We’ve been officially tracking the performance of the strategy since April 2023, and you can see the results below.
What is the typical duration of a trade?
Trades in the Delta neutral breakout service usually last about 10 days. We initiate trades before earnings and remove them if there’s movement prior to the release. If no movement occurs, we hold for up to 2 weeks.
How are trades selected?
Delta-Neutral Breakout selects trade alerts through the use of proprietary scans to identify potential trade candidates every day.
The team at EWO then reviews these candidates manually including a review of available options to construct options positions and issue alerts.
How will I
manage risk?
Risk management is our primary consideration when it comes to our trade alerts service and educating you on our trading strategies.
In general, our risk management guidelines recommend that you risk no more than 5% of available trading capital in any position. We therefore typically size trades at around $500, although with this strategy, there are occasions where the entry cost of the trade may be substantially more.
How are trades selected?
Delta-Neutral Trader selects trade alerts through the use of proprietary scans to identify potential trade candidates every day.
The team at EWO then reviews these candidates manually including a review of available options to construct options positions and issue alerts.
How will I
manage risk?
Risk management is our primary consideration when it comes to our trade alerts service and educating you on our trading strategies.
In general, our risk management guidelines recommend that you risk no more than 5% of available trading capital in any position. We therefore never exceed a position value of $500 per trade for our premium services.
See the delta-neutral strategy in action
Elliott further discovered that each wave, whether impulsive or corrective, subdivides into smaller waves and/or comprises a part of a larger wave. This allows waves to be analysed in time periods ranging from a matter of minutes to many centuries. These ‘waves within waves’ are an important consideration for the Elliott trader and [...]
The Elliott Wave pattern can best be explained by considering the activity behind the waves themselves – who is causing them and why. The two major players are institutional investors and retail investors. Of course Institutional investors (e.g. mutual funds) have very large buying power and comprise the bulk of the activity in the [...]
Ralph Nelson Elliott was born in 1871 in Marysville, Kansas. As a professional he moved into the field of accounting and was primarily employed in executive positions amongst the top railroad companies of the time. In 1920, Elliott’s life changes when he was hired by the US Department of State to assist in the [...]
Delta-neutral breakout performance
Summary Statistics
Figures Assume $15,000 Starting Capital.
Results as at: 30 September 2023. How we report performance >
Performance Summary
| Period | Total Trades | Winning Trades | Win Rate % | Cumulative Return | Monthly CAGR % | Avg. Trade Size | Avg. Days per Trade | Avg. P/L per Trade | Win:Loss Ratio | Max Draw- down | Max. Consec. Winners | Max. Consec. lossers |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| All | 29 | 22 | 76% | 102% | 8.6% | $716 | 5.6 | 74% | 3:1 | -5.0% | 6 | -2 |
| 2023 | 29 | 22 | 76% | 102% | 8.6% | $716 | 5.6 | 74% | 3:1 | -5.0% | 6 | -2 |
Monthly Portfolio Returns
Non-compounded returns based on starting capital, reset each year. Results attributed to the month and year the trade was marked as closed.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 0.0% | 0.0% | 0.0% | 3.4% | 5.8% | 14.2% | 23.4% | 48.2% | 7.3% | 0.0% | 0.0% | 0.0% |
Monthly Trade Returns
Returns based on initial entry debit or net initial margin requirement if a credit position.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 0.0% | 0.0% | 0.0% | 92.7% | 45.0% | 235.0% | 65.9% | 49.6% | 45.6% | 0.0% | 0.0% | 0.0% |
