New Way To Find Optimal Hedges

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Molten gold is poured into molds at the Norton Gold Fields Ltd. Paddington operations 35 kilometers north-west of Kalgoorlie, Australia, on Tuesday, Aug. 4, 2015. Norton Gold Fields is controlled by China's Zijin Mining Group, the world's biggest gold producer by market value. Photographer: Carla Gottgens/Bloomberg

Hey Fellow Slopers,

We recently added a new feature to the Portfolio Armor iPhone app, one that lets you select from all available options expiration when scanning for optimal hedges. Below is a 1 minute, 12 second video which demonstrates this, using the SPDR Gold Trust ETF (GLD).

We scan for an optimal put hedge against a >12% decline expiring this month, and one expiring in January of 2022. Then we do the same with optimal collar hedges against >12% declines while capping upside at 12%.

The last row in the optimal hedge output screens shows the annualized cost as a % of position value – that’s a way to compare apples-to-apples across different options expirations.

The end of the video includes a peak at the performance of our top names feature – so far, it has beaten SPY by 3.2% annualized, though the last two cohorts underperformed.

Looking forward to reading your thoughts in the comments as always.

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