Great results. I'm still pending on my Sept 15th trade it's degraded quite nicely but settled at $3.20 today with an opening price of $5.25. I've been in the trade for 23 days now so I'm hoping that it'll reach the exit point soon.
Are you looking to put on more puts right away or wait until the Greece fiasco comes to a head on the 30th? I'm tempted to wait it out and see if a larger market move happens once a "shit or get off the pot" decision is finally made with the IMF. What are your thoughts?
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For my retirement accounts I want to have lower risk. So what I have been doing is instead of using the IMx3 for IM and excess I am using IMx4.
For example, if the IM is $500 then for IMx3 I am using $500 x 3 = $1,500 per contract to cover the position. That is equal to 33% of account for IM and 67% for cash excess.
For IMx4, if the IM is $500 then I am using $500 x 4 = $2,000 per contract. That is equal to 25% of account for IM and 75% for cash excess.
Here is how that affects trading.
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Obviously with higher cash excess you will trade less positions and make less profit. But you will also have less risk.
Looking at the 9/19/14 study when ES dropped 158 points and at 3.00 delta, on the worst day instead of using 96.3% of IMx3, you would have only used 72.2% of IMx4. A much bigger safety cushion. Also a lower draw down too.
This gives you options to match your risk tolerance to your trading.
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Just for kicks I put in IMx2 instead of IMx3 in the long term study. You were forced out of positions by margin calls twice and even though you made more money prior to getting forced out, the profit at the end was less. About 170% vs 214% for a 3.00 delta.
NOTE This post is incorrect. The ROI for IMx2 is 264% vs 214 for IMx3.
See post on next page for full explanation.
Last edited by ron99; June 26th, 2015 at 12:14 PM.
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