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Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
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Of course they are highly correlated.
For selling ES puts, this is both good and bad.
It's good in that "if" your hedging against one, your hedge is probably hedging both.
It's bad in that when things go against you, the negative effect is compounded.
What a joke. CME Datamine now offers every price for everything. Futures and options. But when I entered the info to see what it would cost for one commodity future, it was $11,200!
I seem to recall a while ago you published a post where you could map out a hypothetical drop in the market and what it would do to premiums. Do you still have the link to that post? What was the program you used to figure that out?
With the help of SMCJB I researched what would have happened last year Aug and Sep if futures dropped more than they did. It did drop from 2091 on 8/17/15 to 1862 on 8/24/15 and 1872 on 9/28/15. I was looking at a total drop from 2091 to 1791, 1691 and …
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Interesting comparison of the same short ES put, ESz6p1750 with either two 1520 longs or one 1650 long. Both had about the same net delta and same premium on 20150830. Used 6X IM.
Took 42 days held till both had more than 50% drop in premium.
The spread with two longs made 3.0% monthly ROI while the spread with one long only made 2.2% monthly ROI. Mainly because of the higher IM when entered into spread with one long.
I would appreciate it to hear your experience with DeCarley-Zaner-Gain after two and a half years. Have you seen continued enhancements / improvements to their service and technology during this time? Are they prompt in making distributions (transfer cash out) when requested by customers? Thanks.