Calamari88 

Do seasonal tendencies apply to the T-bond, 10 year T-note and 5 year T-note?

Yes, there are seasonal tendencies for the financial futures. But according to my experience, they are less reliable than the seasonals for other commodities, eg. grains & beans, coffee, or the energies.

Best regards, Myrrdin

Selling option on furtures is easy to understand but difficult to master.

LordV 

Interesting similarities. Worried About A Stock Market Crash? Here’s How You Can ‘Tail Hedge’ Your Portfolio by jessefelder August 15, 2016 https://thefelderreport.com/2016/08/15/worried-about-a-stock-market-crash-heres-how-you-can-tail-hedge-your-portfolio/

Interesting article. Thanks

This statement in the last paragraph is very important

Quoting 

It’s also important to remember that the real value in this strategy is only during times of extreme overvaluation in the stock market. Most of the time “tail hedging” in this way does not add any real benefit and can actually be a major hindrance to overall performance. That said, the stock market currently meets Spitznagel’s uppermost threshold for hedging

I checked it on -200-300 points drop with `30%vol it works well like a hedge,but on -50points drop with with less volatility doesn't make sense.

ron99 can you look this over to see if I'm understanding your strategy correctly?

the attached screen shot shows a position in SPY I tried to set up in emulation of your strategy, which I understand is a put ratio backspread with the short strike at -20% of current price and the long strike at whatever gives you 2.00+/- Delta on the trade. If that is correct I'm showing a net credit collected of only 0.25 which I assume I hold to expiration to collect 100% of the premium collected. I'm confused about the amount of cash coverage you suggest, I believe it is 6x the IM, which in my case is Max Loss on the trade as this is an IRA. So in this case ML is $2675 * 6 = $16,050 per tranche?

Forgive me but it doesn't seem like a great ROI especially if held for the full 90+/- days. I must be misunderstanding something.

nathanologist 

ron99 can you look this over to see if I'm understanding your strategy correctly? the attached screen shot shows a position in SPY I tried to set up in emulation of your strategy, which I understand is a put ratio backspread with the short strike at -20% of current price and the long strike at whatever gives you 2.00+/- Delta on the trade. If that is correct I'm showing a net credit collected of only 0.25 which I assume I hold to expiration to collect 100% of the premium collected. I'm confused about the amount of cash coverage you suggest, I believe it is 6x the IM, which in my case is Max Loss on the trade as this is an IRA. So in this case ML is $2675 * 6 = $16,050 per tranche? Forgive me but it doesn't seem like a great ROI especially if held for the full 90+/- days. I must be misunderstanding something.

We have never tested it on SPY, only on options on ES futures.

ron99 

We have never tested it on SPY, only on options on ES futures.

OK, regardless, do I have the strategy basics correct?

nathanologist 

OK, regardless, do I have the strategy basics correct?

Yes for that version of the strategy. Exit at 50% drop of net premium.

I am currently selling 2 puts at 3 delta and buying 3 puts at 1 delta and using 4xIM.

ron99 

Interesting article. Thanks This statement in the last paragraph is very important

For those that want a more detailed view of this...here's another article...

Analysis of Mark Spitznagel Tail Hedging, Part 2 | greyenlightenment.com

Honestly I was thinking of adding it into my overall strategy but after reading the above, I'm not sure.

/rsm005/

myrrdin 

Yes, there are seasonal tendencies for the financial futures. But according to my experience, they are less reliable than the seasonals for other commodities, eg. grains & beans, coffee, or the energies. Best regards, Myrrdin

Thanks Myrrdin, that's good to know. I'd also appreciate your thoughts on seasonal tendencies on the currencies futures.