I am only doing 2x3 because it had higher median ROI than other strategies tested.

Selling Options on Futures? Here are the results from 2 studies Win Rate = % of scenarios that have a positive return E(mROI) = average mROI Med(mROI) = median of mROI E | Loss = average mROI for losses E(DTS) = average days from acquisition to liquidation Med(DTS) …

But for this crash the 1x2 performed well. It only needed 4xIM to ride it out while the 2x3 had to have 5xIM to ride it out.

I would never risk 20% max loss for the entire account on just one position. The 5% figure you quoted seems more reasonable but is still a bit aggressive. This week I had on 4 total positions (ES, CL, ZS, and 6A) and 3 out of the 4 were profitable. The problem with concentrating your trading in just one underlying (e.g., ES, SPX, SPY) is that you leave yourself open to devastating losses, unless of course you're trading with a very high IM of like 10-15X, but then your returns are also going to be very modest as well... Remember that equity markets are highly correlated and it's helpful to diversity in other products. However, during times of crazy market volatility even some seemingly uncorrelated investment products can and do drop in unison together.

I see your point about managing upside risk with strangles, but there are many options for how to handle this. You can start out by trading more delta neutral (i.e., selling less calls than puts), or you can roll the untested put side up when the call side is challenged, or you can even hedge the upside risk by using more complex strategies like a long butterfly spread near your call strike. I personally don't like rolling the tested side up and/or out in time because this is how you can get stuck trying to swim against a strong current of a seemingly never-ending trend. The equity markets are almost always mean reverting though -- they will have some sort of a pullback and this gives you an opportunity to exit the trade. 2017 was pretty unprecedented with mostly one way price action since August, but even then in the first half of the year there were pullbacks nearly every month and trading strangles was profitable.

Greatly appreciate your advise, Thomasthomsen. I am fairly new to options on futures, been more active on the options on equities, I will slowly learn the rope on other potential commodities that I can trade to diversify my risk. I used to have 2% risk at any given position, but I would have 10 different positions at any given moment in equities (Max 20% on portfolio). May I ask for your recommendation of a more normal/conservative risk on portfolio?

NN

If you are interested in deversifying your portfolio please read through the thread "Diversified Option Selling Portfolio". You will find a lot of ideas, and information on balancing your portfolio, Position size etc.

Best regards, Myrrdin

Hi Ron,

Can you please elaborate on how you calculate the MM% of 61.1% and 87.7% from these positions?

Would this calculation be correct (I am using the approximation based on the example you had in your webinar, although I am off by a few percentage point). MM% = (Current IM - Initial Premium Collected + Current Premium) / Account Value


Thanks again!
NN

I opened my first position since the volatility from last week. Went a bit nuts with the excess, 10x, but it will help me sleep a bit better.

/rsm005/

The spreadsheet is including commissions and fees.

Also MM = IM / 1.1

MM% = (current IM / 1.1) / (beginning IM * 5 + current P/L)

5 is from 5xIM. Current P/L includes commissions and fees.