Delta exits
complete
R
Ryan G
Add the ability to close a trade based on the delta. For double calendars, an example is to exit to the trade if the delta of the short call or put exceeds 70. The logic could be for TAT to scan the deltas of all the strikes in the position, and use the largest absolute value as a trigger to exit. Link to example https://optionomega.com/share/J1s0C3gyJaciSobznsmw
K
Kyle L
complete
P
Paul B
This would be a great addition to TAT.
(Similarly for exits based on underlying distance from strikes, as per OO)
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Mike K
when the market rises above the call strike of the sc or falls below the put strike of the sp for a certain point number
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Stefan S
As this in now under review, I'd like to add: With the Double Calendar example, OptionOmega allows me to specify multiple delta-based exits for different legs of the trade, and to specify "above and below" for each. Example: "1) for the short put of a trade, exit above 70 delta, and 2) for the short call of tne trade, exit below -50 delta". Exit" means "exit the complete trade". If the TAT implementation could replicate this OO feature, perfect. I have a number of DC trades that perform better with delta-based exits than with strike-touch-based exits.
Also, note that IB and OO use different models for calculating the greeks. I would suggest to use the IB-supplied greeks as-is and call them "close enough" (and document the approach).
TAT may need to guard against glitches in the greeks.
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Kyle L
under review