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Thanks for repeating your trading beliefs, Art. For the info of those following this forum, I own and have read Art's recent book "Beating the Financial Futures Market" and found it great. For anyone interested in mechanical systems trading, I highly recommend that you buy the book.

Hi zhangw, You wrote: "Margin Requirement: same Maximum Gain: $1,150 vs $2,250 Maximum Loss: $8,850 vs $2,750 Probability of winning the trade: 79% vs 65% Risk/Reward: Bad vs No bad Please advise: 1. Whether my analysis is correct."...

Good jibe, jj90 (see below) I'm sure Victor N would love to share his opinion, but do we have 12 hours to spare to listen? Seriously, writing OTM index puts can only be done as a small part of an overall strategy. I agree with you that risk needs to be defined- either by buying further OTM...

EXACTLY!

I want to thank those who repeat comments like jj90's below for the ridiculously high premiums I receive. Certainly no-one should only write OTM puts- for example, consider buying ITM XLF puts- but for 20 years now the surest trading income has come from writing OTM index puts. Will this still...

thinkplus, you might look also at the forum on "Question about selling Index Futures Options. "

$70 on the ES means $7 on the SPY. Writing the 1375 ES put equals writing the 138 SPY put. But I`d suggest you look at th margin advantage in trading the ES options instead of the SPYs.

Cortez, You should follow your plan. For example, I write further OTM puts (currently the 1375 ES) and buy back when they get within the lesser of $75 or $10 x number trading days left. The key is to have your plan in advance and follow it without emotion.

You asked (see Qs below): Q1) What is a 30% incentive fee? A1) The CTA takes a 30% fee. In other words, before the fee, the return was 100/70 higher. Q2) What does CTA mean? A2) Commodity Trading Advisor Q3) How does a $1 premium system give $250 premium? A3) The SP multiple is...

Thx for the link, PCanyon. The position is described as "a calendar box, which by its very characteristics is not susceptible to volatility in the same way naked short option positions are. The upshot is a complex position that has an extremely low margin requirement, the aim being that...

This may help the discussion. Below are the published results, based on actual trades only and after a 30% incentive fee, for a CTA that currently uses a $1 premium system similar to that which benysl uses. (I apologize for the formatting). The initial capital is $50,000 and 1 SP put is...

I trade the ES options. I can offset them with ES futures at expiry if the option prices are unreasonable. Aug expiry worked fine for me. What are the advantages of the SPX options? (not the spreads- looking at the Sep 1200 puts for example, the B/Ask is 2.25/2.40 on ES and 2.00/3.00 on SPX).

Sorry for adding to this forum, but I'm interested if others are aware of the differences between these 2 and in particular comments on e-mesa? R-Mesa seems to be a daytrading system that is in an awful drawdown (see quote below from Attain Capital) whereas e-mesa is a swing system that...

I look at a lot longer term than 30 days. I look at IV as well- for example, to buy I'd look for an underlying with options trading in the lowest 20% of its 6 month IV and SV range. (Obviously, I'd check the news for a reason for its low volatility- such as with TRW- which unfortunately is the...

Thanks for pointing me to this, Pretzel. It looks interesting. I'll check it out for interest tonight although it only combines 5 positions. If it is good, it would give me a comparison with the portfolio delta I get w/ OptionVue.

Thanks for your comment, GATrader. I hadn't heard the term "volatility dispersion" but that seems to fit. I certainly couldn't do it without OptionVue- and even so, have to make manual adjustments. For my "instant gratification" I have the futures!! My impression has been that the price...

I noticed the same thing Wednesday. Wednesday seemed to be an exception, though, to the norm of the price moving towards fair value. (I've tracked the PMI the last month). Sorry I don't have the answers to your excellent questions. I could speculate if institutions know they or others...

Assume, for the purposes of the strategy, that they are ATM. In practice, as time goes by, my portfolio delta changes, so the next purchases won't be delta neutral in themselves, but rather portfolio delta neutral. So, when my portfolio becomes significantly delta negative, as it is today...

straddles.