No, I exit shorts and longs at same time. About 50% drop in net premium.

I would give away too much profit letting longs go to expiration.

Exactly, it was my first question, I want to adopt your stgy, today I sell 15-20 points spread ,but big quantity . It consumes a lot of capital. Thank you for your answers.

Ron and myself checked a lot of other commodities. But we did not find even one that allows for being short options (calls or puts) more or less permanently.

I sell a lot of options, but I consider all other trades with the exception of selling ES puts being directional trades.

Have you calculated possible ROI on this trade?

My returns around 3-4% on a typical 5-10 days duration , everything expires worthless. But I wait for a better entry ,and it could take another week.

What percent of your account balance are you using for margin?

50-60 % in excess to buy new position, a day before expiration of previous, if it a right drop and level , or just in case.

Hi folks,

Just wanted to ask if anybody has data to backtest in 2008 environment. I would like to see if ron's strategy can survive such mess. Not saying its going to be doomsday all of the sudden but I thought it would be interesting to give it a thought.

What happened to the options that were sold before the volatility exploded and the market seriously crashed. What happened to the options sold day after the market had a huge drop, etc.

At some point we are likely to have a bear market whether its this year or 10 years from now, I figured if we can assess the likely risk during these times, we can better prepare for it. After all, we had a very long bull market since then.