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With higher DTE the ROI was just slightly higher 29.5% /year vs 27.3%/year (This is using 6X). The days held was higher 35.5 vs 29.8 so then the number of trades was lower, 36 vs 43.
Max draw down was slightly lower 37.1% vs 39.7%. Maximum percent of account used for IM was lower. 57.3% vs 62.3%.
5. I don't see a ROR (Return on Risk) column, and curious if you ever consider that in your decision making. I played with different strikes and months, and some have poor ROR, while others are better than 1:2 ROR.
Is the Margin Factor dictated by the clearing house, or is that a number you assigned to your account to have sufficient cash on hand? I use TOS, and for one contract of /ESU6 short vertical 1610/1510 this morning the margin was $340, and it varies only slightly. They don't tie up more money than that for margin. So knowing what the Margin Factor cell is, I see that your ROI is not dissimilar to what I call ROR. But I think you are not giving yourself enough credit. If you risk $2454 and you return $1212 in 20 days, that is a 50% return. And annualized, that is a big number, 365/20*~50%. You theorectically can repeat that trade every 20 days for the rest of the year. And you have the remaining $100K to use for other trades,, etc. I currently do similar trades with /NG and have good returns as well. Short spreads ( and sometimes naked PUTs), DOTM, can give good returns, as long as you don't get greedy and get to close to the current pricing.
I should explain that I was exiting the positions when the premium dropped by half or 50%. I found that my ROI was higher doing that than waiting for the expiration of the options.
I agree with that strategy too. Had a /NG naked call last Dec, I believe; got in with about 45 DTE, and shortly thereafter the gas price dropped like a rock, and I was out in 8 days with about 70% of my premium. Too bad they all don't work like that!!
Still not clear on the Delta you have posted, Ron. On your last entry, row 43, you opened a trade on 6/6, at 1680-1580. I set up a simulated trade to that this morning, at 1610 / 1510, and the Delta on 1610 was .07, and it was .05 on the 1510 strike. Is the difference from your number of 5.43 just decimal point placement? Delta is usually between 0 and -1 for PUTs, with .5 being near the money, normally.
Thanks again, Ron. That explains it nicely. And that DOTM, .02 is what I would expect; same as for the trade I simulated today. I like your spreadsheet and if provides good examples of how a trader can exploit time decay with the deep OTM options. I may try a few. I never looked at large contract quantities, always stuck with 10 per trade, but will examine margin req. more closely for large trades....