Your assumption is correct.

What contracts are in this table? It isn't the ones listed at the top of the table.
EDIT I found that they are Feb contracts not March contracts.

Your deltas to start for the spread were 4.97 for the short and 1.10 for each of the longs. That is too low a delta for the longs to give much coverage after several days. They are too far OTM.

If you use ESg6p1685 for the short with a delta of 5.97 and ESg6p1410 with a delta of 1.49 each for the longs that would give you better coverage and a better ROI.

Ya..I'm noticing that very slight changes in delta have pretty dramatic impacts on performance. I have that posting of yours, #5021 permanently linked. I just keep running backtests using those numbers to check the results during various market phases. I used to have a spreadsheet that calculated a very accurate delta but can't find it anymore. TOS doesn't come close, their delta calculations stop at 1 decimal place...say 1.5, and OX is just as bad. I'll have to keep digging. If you have an addendum to this spreadsheet that calculates delta would you be comfortable sharing?

Thanks,
/rsm005/

Attached is a spreadsheet with all of the raw data including Drawdowns.

I am now using a short with a 6.00 delta and two longs with 1.50 deltas each. Slightly different than this example.

If you exit a few times at 30-40% loss then you won't have much money left. Probably less than you started with.

Here's a trick I use to find options at a certain delta. It can also be used to find certain premiums or IMs too.

On the Tracker sheet put the Futures Month and Options Month on several lines
In the strike column for the first cell put in the lowest strike.
In the strike column in the next row below the one you just entered the lowest strike enter a formula that adds 10 to the row above it. So if the lowest strike is in cell D30 then the formula for cell D31 should be =D30+10
Copy this formula down in all cells below the row where you entered the lowest strike.
Highlight all of these rows in column A and then click on Track Select

Here is an example for the ESg6 contract and strikes 1300 to 1620 for the date 20151104. Delta in column P. If a line is blank then no delta or IM was calculated.

@ron99

Based on this does it make more sense to exit at 40%? I know it's been discussed before but not sure what your thoughts are now using this spread.

Thanks,
/rsm005/

Thanks, Ron for sharing your detailed worksheet. I can't express myself in words your generosity in spreading knowledge in this thread.
Based on your worksheet, I have quickly and roughly found the following. (I will look at Acc Balance later.)
% Drawdown No of trades
8 4
10 8
12 3
13 1
15 5
17 1
25 1
40 1 -> Could have exited with profit at 55% premium earlier. All other above-listed
drawdowns hit 50% premium later

They are not mutually exclusive eg one with 40% drawdown also has some of the other drawdowns.

From the above, I can conclude that it is safe to have drawdown limit of 25% as you would have hit it only twice for exiting at 50% premium. For 55% premium, you would hit it only once.
Does my analysis make any sense to you or anyone else?
By the way, you mentioned you now trade short at 6 delta. Any reason for this? Better premium for sure but how about drawdowns?
Regards,
Dilip

Is it normal to have very low Open Interest for puts on ES at this time of year? I'm looking at positions from 90 - 120 days out and see very little out there.

Thanks
/rsm005/