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Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,384
Thanks Received: 10,206
Sorry was trying to be general in nature rather than specific.
XA was November Strike A, ZA was December Strike A, and ZB was December Strike B.
In practice A was the 2050 Call and B was 2100 Call.
Guess I should have just said that.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,384
Thanks Received: 10,206
This is really more of an investment rather than a trade but I'm long ES futures and short ES Calls against them (& short some Puts as well to be honest since I took some of the position off @ 2100).
I collected 1350 ~ $675 for the package, to roll X shorts to Z and to raise average strike 2500 ~ $1250. Hence I raised my effective sales price if exercised by 3175 ~ $1587.5 (1350/2+2500) per option. With S&P500 @ 2055 this is approximately 1.54% for one month - but I don't look at it this way.
On 10/20/15 I sold one KCh6c185 and bought two KCg6c210 for a net of 0.54. Delta on the short was 7.44. On each leg delta was 2.04. IM was $221.
I finished closing it on 11/13/15 for a net of 0.24.
Monthly ROI is 16.3%. Days held was 24.
If you had on just the naked short the MROI would have been 14.3%. (I'm using 9.02 RT cost each contract and IMx3). So the spread gave me a better ROI even with the additional costs of the longs. Mainly because of the lower IM.
The numbers in blue are my actual premium$ for this trade.
I put on this spread then because seasonals and fundamentals were bearish.
Since I put on this spread I found out through further research that the longs need to be less DTE, around 40-70 DTE, to get better coverage during a flash move. Like a 30 point move up in 10 days.
I have not yet tested to see about KC put spreads.
These spreads will not cover you if the move is slower. Like up 30 in 25 days. So you still need to do your homework to try to know the general direction of a contract.
I use MRCI data for years, and I am very happy with them. In addition to the "normal" seasonal data for outrights and spreads they offer seasonal volatility data (and some other things I do not use). But I do not know Season Algo in detail, and, thus, cannot compare.
I recommend to subscribe to the free trial for MRCI (14 days).
This is an important note. The trade suggestions of MRCI have a very limited value. Not only do some trades have a severe drawdown, entry and exit points often are not chosen in an optimal way. Also the selection only relies on statistics for the most recent 15 years, and does not take into accout the recent chart or fundamental information.
