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I never look at any technicals. That is because I feel the money you leave on the table waiting for the best time to trade you probably will never get back.
I am using IB and therefor trading in another margin world as seen here.
Instead of
I am using reverse Calendar Puts.
F.e. selling one ES put at 3.00 delta (or even higher if you want to take more risk) and buying one ES put (same strike, but one month less DTE than the sold one).
Compared to the naked put, this will cut my premium by 50 %, but will use only 10 % of the margin of the naked put.
Instead of the sell one, buy two puts, it will also use only 30% margin.
But I do not know, if this would eliminate the margin call problems as seen in Aug/Sept.
I think the black swan protection of this is as good as the -1:+2 spread protection. But it is also no protection against a long term drop in ES.
No because on your statement the firm removes the current value of the option. For example, if you sell an option for $100 and the settlement today is $90 your account is only up $10 not $100.
Using SPAN margin your spread (ESx5p1660:ESv5p1660) goes on margin call 9/1/15 with a 57.5% drawdown. The spread on the right side of the table is using 5.00 delta short and two 1.50 delta longs for the same month as the short.
I do not know what IB would have done.
I suggest you and anyone else go to the PC-SPAN thread and download the latest XLS-SPAN Excel spreadsheet. Then download the CME and/or ICE files for each date you want to run a Track Historic backtest. Then you can run many different backtests to see how they would have performed.
thanks for this thread. Your new strategy is to sell 1 put and buy 2 lower ones. Did you also do the backtest from 1/1/2013 to see how the ROI is changed?
This is more to check margins at IB and do a practice for myself on identifying the right trades
Jan 29th expiration: DTE: 101
Short 1x ES 1745 Put: 5.21 Delta
Long 2xES 1660 Put: 1.47 Delta (next put is 1.74 Delta)
Mid Point Price: 3.60
IM: 183
**********
Jan 15th expiration:
DTE: 87
Short 1x ES 1760 Put: 4.96 Delta
Long 2xES 1685 Put: 1.47 Delta (next put is 1.60 Delta)
Mid Point Price: 3.00
IM: 170
Of course me personally would wait for a down day and I am leaning more towards the Jan 29th (if i was to make the trade today.. say today being a down day)
Fee changes in INTEREST RATE PRODUCTS are as follows:
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