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What are some guidelines for scaling into an options position when the position has moved in your favor, and you are looking at a paper profit of ~ 5% (arbitrary number).

Do you just double up? Are there any studies on this?

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The only reason to scale into an options position is due to lack of liquidity. You should be considering scaling out if the profit is favorable or the market move already happened, as options are about timing. If the timing was correct and your option didn't increase in value as you expected, then you need to close the position.

At an "arbitrary" 5% profit, beware of commissions and spread.

  • Thanks. So it is not like stock, where you add to your position when it is going your way? – Victor123 Apr 10 '15 at 0:03
  • @Victor123 options decrease in value TO ZERO very quickly, 100% loss if the market goes against you. With that in mind, you don't want to add more of your capital to a position. You are already leveraged so high that you can't treat this the same as a non-leveraged underlying asset. – CQM Apr 10 '15 at 2:15
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    @Victor123 I would like to add that scaling in has a different meaning in the options context. When you have a multi legged strategy that has difficulty getting filled as one ticket, you can scale in to it with multiple orders for each type of options in the spread – CQM Apr 10 '15 at 15:22

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