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Well depending on the strikes but heres an example 10 strikes OTM for call and put. Br Gustaf

What about insuring using a Collar, I found that the collar cost would be about 35-40%, then load up on a REIT dividend stock and get 10%. Anyone tried this?

Iam also willing to help out and try this direction.

scriabinop23: Thanks for the input, I will consider it. Good news, I have about 1 month of paid idle time (switching jobs). Today I made integration to IB excel. :p Br Gustaf EDIT: feel free to critizie my idea, better iam insulted than my net worth is insulted :D

Has anyone backtested this idea? Man if i only had data.

They say there are old and bold traders, which one are you ;)

NLY trades at 16.91 sep put @16 = 0.59 sep put @15 = 0.36 Scenario #1, naked put; Sell 1 @16 = $59 profit, = $309 maintenance margin Scenario #2, bull put spread; Sell 1 @16 = $59 Buy 1 @15 = $36 Net = $23, = $17 maintenance margin You could then load up on number of...

You could also use a bull put spread, where you buy one lower put (insurance) and sell one put at the price it will never drop to. That way you could load up more contracts, less margin to maintain.

I was just telling you what happens at assignmen and as many contracts you can open not borrowing any money. 35% applies when the contracts are open.

Your post is very informative. I wasnt insulted at all. I think I will step back one step and make the optimization on the underlyning stocks instead.

Didnt fully understand but if you dont wanna borrow your 50k is good for this in case there is an assignment: 32-0.41 = 31.59 50000 / 31.59 = 1582 shares Rounded down to 1500 / 100 = 15 options contracts @ 32 Then you will never get a margin call. My question is would u really...

Thanks I will check it out.

I wanna sell OTM puts and if assigned sell OTM calls (as in the other recent thread). While doing so, I like to optimize for the lowest possibility of stuff going wrong at the same time. What is so roung peg about that? :) Br Gustaf

Steven.Davis: One flaw with the Markowitz optimization for stocks that Ive found out is that it focuses on including stocks that already have gone up alot through the sampling period. That is abit counterproductive. In this model the "reward" part is risk premium, so I hope I have...

Yeah thats cool. Alot of garbage often comes up on google searches. Thanks for the link. I was not aware of the Wilmott forum, thanks! Did you also try optimization? Br Gustaf

AMPL Source code and datafile

Iam happy to answer more questions.

Valid point! I like to be able to use my own time period. But yes optimization could run on beta's, not that its hard to calculate covariance. Br Gustaf

Wow!

"A quick Google search shows that there are quite a few papers on the topic. Do you really expect someone at ET to give you a simple thumbs up?" What do you really mean by this? There is tonnes of covered call stuff on google yet people discuss it overhere.. Br Gustaf