Optionally maintain a high water mark w/ CCs

thetagang.toml

@@ -140,6 +140,25 @@ credit_only = false
 # rolling calls regardless of the total quantity.
 has_excess = true
 
+# We can optionally maintain the high water mark for covered calls by never
+# rolling CCs down, only out. We do this because it's not uncommon for a sharp
+# bounce up after a stock/index falls enough to make the contract eligible for
+# rolling. If we roll the CC down and out, we might be capping our gains when it
+# eventually does bounce back. The trade off here is that you end up with
+# slightly less downside protection.
+#
+# This only applies to rolling calls, and is essentially equivalent to setting
+# the minimum strike of the next contract to the previous strike and only
+# allowing the value to ratchet upwards.
+#
+# While this is off by default, it would be sensible to turn it on if you're
+# trying to capture upside, rather than protect downside.
+#
+# This value can also be set per-symbol, with
+# `symbols.<symbol>.calls.maintain_high_water_mark` (see `symbols.QQQ` example
+# below).
+maintain_high_water_mark = false
+
 [roll_when.puts]
 # Roll puts if they're in the money. Defaults to false if not specified.
 itm = false
@@ -289,6 +308,8 @@ write_threshold = 0.01 # 1%, absolute value
 [symbols.QQQ.calls]
 strike_limit = 100.0 # never write a call with a strike below $100
 
+maintain_high_water_mark = true # maintain the high water mark when rolling calls
+
 [symbols.TLT]
 weight = 0.2
 # parts = 20

thetagang/config.py

@@ -110,6 +110,7 @@ def validate_config(config):
                     Optional("itm"): bool,
                     Optional("credit_only"): bool,
                     Optional("has_excess"): bool,
+                    Optional("maintain_high_water_mark"): bool,
                 },
                 Optional("puts"): {
                     Optional("itm"): bool,
@@ -147,6 +148,7 @@ def validate_config(config):
                         Optional("write_threshold"): And(float, lambda n: 0 <= n <= 1),
                         Optional("write_threshold_sigma"): And(float, lambda n: n > 0),
                         Optional("strike_limit"): And(float, lambda n: n > 0),
+                        Optional("maintain_high_water_mark"): bool,
                     },
                     Optional("puts"): {
                         Optional("delta"): And(float, lambda n: 0 <= n <= 1),

thetagang/config_defaults.py

@@ -26,7 +26,12 @@
     "roll_when": {
         "min_pnl": 0.0,
         "close_at_pnl": 1.0,
-        "calls": {"itm": True, "credit_only": False, "has_excess": True},
+        "calls": {
+            "itm": True,
+            "credit_only": False,
+            "has_excess": True,
+            "maintain_high_water_mark": False,
+        },
         "puts": {"itm": False, "credit_only": False, "has_excess": True},
     },
     "vix_call_hedge": {

thetagang/portfolio_manager.py

@@ -29,6 +29,7 @@
     get_target_delta,
     get_write_threshold_perc,
     get_write_threshold_sigma,
+    maintain_high_water_mark,
     midpoint_or_market_price,
     net_option_positions,
     portfolio_positions_to_dict,
@@ -1194,6 +1195,8 @@ def roll_positions(
                         max([strike_limit or 0] + average_cost),
                         2,
                     )
+                    if maintain_high_water_mark(self.config, symbol):
+                        strike_limit = max([strike_limit, position.contract.strike])
 
                 elif right.startswith("P"):
                     strike_limit = round(

thetagang/thetagang.py

@@ -17,6 +17,7 @@
     get_target_delta,
     get_write_threshold_perc,
     get_write_threshold_sigma,
+    maintain_high_water_mark,
 )
 
 from .portfolio_manager import PortfolioManager
@@ -163,7 +164,12 @@ def start(config_path, without_ibc=False):
         "=",
         f"{config['roll_when']['calls']['has_excess']}",
     )
-
+    config_table.add_row(
+        "",
+        "Calls: maintain high water mark",
+        "=",
+        f"{config['roll_when']['calls']['maintain_high_water_mark']}",
+    )
     config_table.add_section()
     config_table.add_row("[spring_green1]When writing new contracts")
     config_table.add_row(
@@ -247,6 +253,7 @@ def start(config_path, without_ibc=False):
     symbols_table.add_column("Call delta", justify="right")
     symbols_table.add_column("Call strike limit", justify="right")
     symbols_table.add_column("Call threshold", justify="right")
+    symbols_table.add_column("HWM", justify="right")
     symbols_table.add_column("Put delta", justify="right")
     symbols_table.add_column("Put strike limit", justify="right")
     symbols_table.add_column("Put threshold", justify="right")
@@ -259,6 +266,7 @@ def start(config_path, without_ibc=False):
             f"{ffmt(get_write_threshold_sigma(config, symbol, 'C'))}σ"
             if get_write_threshold_sigma(config, symbol, "C")
             else pfmt(get_write_threshold_perc(config, symbol, "C")),
+            str(maintain_high_water_mark(config, symbol)),
             ffmt(get_target_delta(config, symbol, "P")),
             dfmt(get_strike_limit(config, symbol, "P")),
             f"{ffmt(get_write_threshold_sigma(config, symbol, 'P'))}σ"

thetagang/util.py

@@ -227,3 +227,12 @@ def algo_params_from(params):
 
 def get_minimum_credit(config: dict) -> float:
     return config["orders"].get("minimum_credit", 0.0)
+
+
+def maintain_high_water_mark(config: dict, symbol: str) -> bool:
+    if (
+        "calls" in config["symbols"][symbol]
+        and "maintain_high_water_mark" in config["symbols"][symbol]["calls"]
+    ):
+        return config["symbols"][symbol]["calls"]["maintain_high_water_mark"]
+    return config["roll_when"]["calls"]["maintain_high_water_mark"]