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3X means that if the IM is $500 then $1,500 is held. So IM would be 33% of money held.
Only on 8/24/15 does 3 delta 3X hit margin call. The other two times it hit 20+% drawdown it did not hit margin call. Oct 2014 it hit 22.7% drawdown but percent of account used for margin was at 84.5%. Jan 2016 it hit 26.3% drawdown but percent of account used for margin was at 93.7%.
Just wondering if you guys have looked at one short-one long ES not so far OTM?
During periods of low volatility or times when market is not going anywhere
example. current ES is at 2160.00
I am currently selling naked ES puts between 2000 and 2050, 90 - 120 days out. During periods of low volatility I prefer selling puts with higher Delta, as they seem to suffer less, if a sudden rise of volatility occurs.
Right now 5 delta. I want to stay 20% OTM because 19% was the largest drop in a 90 day period since 2008. 5 delta about about there right now.
Here is what Sep ES has done from Sep 1 to the Thursday before the third Friday (option expiration) the last 10 years. Up every year except 2008. DD is draw down.
After that it has dropped 7 of the last 8 years to Oct 3rd. (Net Ch is profit if short futures)
The Fed meeting this year is 9/21 so it is the week after option expiration.
Ok. I was going with 6 and 1.5 but will probably change it around. I have a few positions open and most are in the black but not by much, 30% for the one that's been open for 31 days and the others would just break even. Next round will change things but I probably won't make any new trades until after the election. I don't want any real exposure in Nov.