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The AUG2008 puts have less time till expiry. So they're more sensitive to the underlying price movements, hence the higher deltas. The JAN2010 puts have a lot of time till expiration. From now till it's expiry, the underlying could move ITM, OTM, ITM, OTM countless times, and hence, it's the...

Hi Does anyone know of a good, free if possible, Monte Carlo simulator? A standalone one would be preferred. I found one, from NeoTicker, called Equity Monaco. It's quite nice but the documentation is very weak. If anyone knows of a better one, pls let me know, thanks.

if margins are not your main concern (i.e. you can afford to tie up a little more margins), and you want to maximise your profit with each point move, then it's logical to just choose the first strike with a delta > 0.9. If margins are not a concern at all, i.e. you're trading your entire...

I'm told MM price in weekend decay on Friday afternoons. Personally I like to take a snapshot of my long theta positions before the weekend on Fri close, and by comparing them with what I see on Monday open, the feeling I get is that on Monday opening, some more decay is priced in...

Ron, Thanks for the book recommendataions, they're much appreciated. I'm always on the lookout for these. Agree with what you say about losses not needing to come in a row, I admit it's something I haven't thought of much before, but it makes a lot of sense.

I've actually been trading it for close to a year, trading very small. The results are pretty similar to what was backtested. Not really statistically significant, I know..:D

Thanks, I appreciate looking at this from all angles, so I welcome all input. My drawdown on total capital (assuming I bet 50% of capital) is roughly 15% after one loss. The chances of me having 2 losses in a row are 0.17 * 0.17 = 3%. That's quite a high chance. Should I suffer 2 losses...

nazzdack, Are you using Kelly's formula to calculate that? I got around the same figure when calculating with Kelly's formula. And that's 50% of whatever my current capital is (after taking a win or loss), correct? Thanks

Thanks for the response. It trades about 12 times a year. Target profit of 30 - 50% annually, max drawdown perhaps 20%. The max drawdown could probably be reduced futher if I diversify the instruments, but I need to first fix my position sizing problem.

If you had a system that has a winning percentage of around 83%, but it loses twice as much on average as it wins, what would be a your plan on position sizing for such a strategy? During backtests, I've not yet seen two consequetive losses in a row, but it could always happen in real...

Hi, What kind of position sizing methods do (time) premium sellers here use? By premium sellers I mean you trade things like credit spreads, iron condors, calendars, etc. How long have you used this method, and how successful has it been for your trading? Two methods I've come across that...

Margins for verticals will also change. The margin req'ments are the strike difference between shorts and longs, minus the credit you recieve. Just a suggestion, but you may want to re-evaluate the mental bias of trading a strategy that "cannot lose." It's an attractive proposition and one...

Unless you name the instrument and the strikes you plan to sell, you're not going to get a meaningful reply. :D

Firstly, your margin requirements to sell that same strike put ITM in a further out month is going to more than double from what it was when you first sold it OTM. If the underlying really tanks, then the margin requirements may go up even more than that. How much margins are you going to...

Depends on how far OTM is the put that you're selling. If you're selling it far OTM, the credit you're getting is very little compared to what it's going to be worth when it gets ITM. For e.g. assuming IV stays constant throughout the trade, and you sell an 8 delta put on RUT today, for...

Walt, I think the ROI is the least of your concerns at this point. You can worry about fixing that later if this strategy works out. Firstly, to hedge with the underlying, you need to have a strategy for mitigating whipsaws. That, IMHO, is going to be your #1 problem. For e.g. if you...

If you're going to handle delta hedging by buying/selling the underlying, have you considered the impact of the need for increased margins for doing this? There is very little leverage if you need to use stock (as opposed to futures) so you'll need to put up a lot of margins. You'll need to...

Hi Walt, Did you mean to say you'd buy the call and put calendars slightly OTM instead of ATM? From reading all the replies it seems you're doing a double calendar? Because selling both calls and puts ATM is really the same thing (a calendar). May I ask your reason for rolling? Just...

matador, thanks for the input. What I meant by not wanting to lose more than I'm prepared to, was before entering the trade I have a maximum loss that I do not want to exceed for that trade, otherwise it messes with the expectancy of my method. It's my risk management point or stop-loss of...

Would love to hear suggestions on ways to prevent buying back vertical spreads when IVs are jacked up. Scenario: I've sold a vertical put spread, and when markets are closed, the underlying moves down a lot, maybe more than 1-std deviation. When the market opens and in the first 30 mins...