I am going to run a back test of using a short 80% of futures but make it 110+ DTE when entered and see the difference. I will post it later.

Hi Ron, first a couple of questions on the columns so I am sure what I am looking at. I am looking at Tab 2.
1. What is the Margin factor in cell O1?

That is to determine how much cash excess you are using. So if the Margin Factor is 6 then you are multiplying the Initial Margin (IM) times 6 to get how much money is held in the account for each position.

If the IM is 409 then 6 times 409 is $2,454. 1/6 or $409 is used to cover margin and 5/6 or $2,045 is used for cash excess.

2. Column K, "IM". What does that represent?

Initial Margin. Sometimes called SPAN Margin. That is the amount required in your account by the exchange to add this position to your account. My number is exchange minimum. Some brokers (IB for example) require an amount higher than this.

3. Column Q, "Max Draw Down". How is that calculated? I see the reference to column "AMxx" but not sure where those numbers are coming from.

Column AM has the amount of draw down for your account for that position on each day. It is that day's net Pos P/L divided by (IM on day you opened position times the Margin Factor).

On 8/24/15 the Pos P/L (cell AK789) was -667.92. The IM times Margin Factor for this position when opened was $280.50 * 6 = $1,683. -667.92/$1,683 = -39.7%. Your account balance, if this was the only position in it, would have been down 39.7% on 8/24/15.

4. How is the Delta column calculated?

This number comes from the CME. It is the net delta for the position. I take the delta for the short and subtract the delta for the long.

5. I don't see a ROR (Return on Risk) column, and curious if you ever consider that in your decision making. I played with different strikes and months, and some have poor ROR, while others are better than 1:2 ROR.

Never have.

Thanks,

Is the Margin Factor dictated by the clearing house, or is that a number you assigned to your account to have sufficient cash on hand?

It's a number I use to have extra cash on hand. I used to use 3x but now am looking to use 5x or 6x.

I use TOS, and for one contract of /ESU6 short vertical 1610/1510 this morning the margin was $340, and it varies only slightly. They don't tie up more money than that for margin.

CME SPAN margin for that position is $320. So TOS is requiring $20 more per spread than minimum.

So knowing what the Margin Factor cell is, I see that your ROI is not dissimilar to what I call ROR. But I think you are not giving yourself enough credit. If you risk $2454 and you return $1212 in 20 days, that is a 50% return.

The risk is far higher than $2454. You can lose far more than that.

If you sell a 1160 put and buy a 1060 put the max possible loss happens when futures are at or below 1060. 1160-1060=100 points or $5,000 minus the net of what you sold the position. For the 1/2/13 trade I sold the spread for 2.15 so the net is 2.15 * 50 = 107.50.

So max loss is $107.50 minus $5,000 minus fees and commissions or a little over $4,900.

Also the $2454 is for one position. The $1212 is for 41 positions. The Net Profit Each column (column R) shows profit per position.

And annualized, that is a big number, 365/20*~50%. You theorectically can repeat that trade every 20 days for the rest of the year. And you have the remaining $100K to use for other trades,, etc. I currently do similar trades with /NG and have good returns as well. Short spreads ( and sometimes naked PUTs), DOTM, can give good returns, as long as you don't get greedy and get to close to the current pricing.

Still not clear on the Delta you have posted, Ron. On your last entry, row 43, you opened a trade on 6/6, at 1680-1580. I set up a simulated trade to that this morning, at 1610 / 1510, and the Delta on 1610 was .07, and it was .05 on the 1510 strike. Is the difference from your number of 5.43 just decimal point placement? Delta is usually between 0 and -1 for PUTs, with .5 being near the money, normally.