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You mentioned selling puts at ~20% under the current market position, given that where do you position the 2 longs? 20% below the current market puts the delta at ~3 so a delta of 1.5 for the longs doesn't make sense. Let me know.
Thanks
/rsm005/
Can you help answer these questions from other members on NexusFi?
If you want to do Dec you are going to have to go to a higher strike for the short to do 2 longs or do one long at 100 under short strike but that doesn't give as as good risk coverage. With 6x it would have rode out 8/24/15 but it had a higher draw down.
Thanks for the help. I've been selling puts steadily with a lot of excess for the past 4 months or so and it's been slow and steady going but consistent, usually 20 puts sold and 40 puts bought between 88 - 120 days out. The last round, however, was very slow in reaching 50% 52 and 48 days respectively. Usually it's been 35 or so. I'm thinking it may be because the delta was just too high.
Are you finding that you have to open more positions to make up for the lower delta and narrower spread?
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
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Doesn't answer the question specifically but several years ago I did some analysis on CL and NG margin rates and found that one of the best predictors of a margin increase was an increase in the 10 day ATR. While ATR is higher than it was in July and August its quite a but lower than it was earlier in the month when we sold off.
