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How did you calculate P/L? Use the 20160712 trade as your example to show me. I see $142 (column I on Summary page) but I don't see 18.36 subtracted from that profit.
* There isn`t a special choice for EW (just next to DTE>90, f.e. on 20160712 ESZ6 was 157 DTE and EWV6 - 111 DTE)
* P/L = Premium/2 - commissions (in another words: my close/target price includes commissions - f.e column L on sheet "20160712")
* But thanks for the remark: I just noted that Stop price (f.e column R on sheet "20160712") is lower than 1/2 of profit ( I extract the commissions twice: 1x from profit and second from Stop price).
Thats changes in some example exit price and DH, finally M ROI; but basic conclusion remain the same: simple MM rules can improve my trading results
I spent the last 7 days reading through every line in this thread. It's pretty powerful to watch the mood shift around the original strategy after the August event. Ron, have you had a chance to model the outcome if you just continued to mechanically execute the strategy. You were pulling in 4-6% per month on full account, and took what I assume to be a 50% hit. Implied volatility shot sky-high after this event, and there was opportunity to make back what was lost. On full year you may have been near flat.
With the proposed new strategy, I want to make sure I'm clear. It is a sell 1 at 5 delta, 2 at 1.5 delta. Close after 30 days if 50% price target has not been hit. Reduce use of equity to 1/6 of SPAN margin.
A naked option could have rode out the crash on 8/24/15 if the margin factor was 6X-7X IM. But if there was a larger crash you would have been forced out at a large loss. That is why I added longs to cover larger crashes.
My new strategy is sell one at about 90+ DTE and 20% OTM (largest drop since 2008 in 90 days was 19%) and pick 2 longs that make the net delta around 2.00. Close when premium drops by 50% no matter how long it takes. Use 6 times the initial margin to cover margin and excess and hold that the entire time you have that position. So if initial margin (IM) is $300 then you hold $1,800 for each of those positions until exit.
When you sell the puts you have 6 times the initial margin as a "safety belt". With progressing time the options lose value, and the necessary margin is reduced - the "safety belt" gets bigger and bigger.
Did you consider to sell further puts, until the "safety belt" is again 6 times the initial margin ?