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Here is some research on what happened if you sold options on the worst day. Monday 8/17/15.
If you used IMx3 you are on margin call for almost every strike. The Oct options by far performed the worst in this instance comparing similar deltas.
Here is IMx4. All options with deltas less than 1.90 are on margin call. The rest are not. So you can get too far OTM and lose protection because the excess isn't enough to cover big moves.
Here is a summary of all of the long term, 31 months, studies I have done. These include trades made and closed before 8/3/15. So last week is not included. I will add them as I can and repost.
Note I added a last line to my tables in post 4793 to include spreads. They performed far better than naked options on this big dip. The big difference was the much, much smaller increase in IM and a smaller loss on price.
Volatility skew (or smile) comparing Mon Aug 17 (green) to Fri Aug 21 (blue). This doesn't go all the way down to 3-delta puts but if you look all the way to the left you can see IV changes for 5-delta puts.
Note: The skew is for a 1-month 'constant maturity' option but it's virtually identical to ESU15, which had 28 days to expiration on Friday.
Are you ready for a rebound Tuesday? For those who are trapped in a ES puts position, this week will provide a good opportunity to exit out with dignity It's very likely that the rebound will fail, so be careful traders! Staying patient in this kind of environment will make you a lot of $$$. Stay strong.
Be careful looking at what I do. Everybody needs to do what they feel comfortable with. What they will be able to sleep tonight with. That will probably be different than what I do.
I put mine on at different times than you. I have some using IMx4. I have some spreads on. I have some spreads using IMx4.
I am surprised how the bid/ask spreads are not too wide right now.
It's very likely that the rebound will fail, so be careful traders! Staying patient in this kind of environment will make you a lot of $$$. Stay strong.