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I'm currently doing a backtest on it. It looks promising. I will post the results when they are complete..

But this strategy takes almost no time to manage, and once the first months have run without incidents (there is the risk) will cost you no margin..

In the last 20 years there were 2 events where vix > 60. 5 oct 2008 12 march 2020

Added profit taking when vix > 60. On 12 March 2020 the following were closed: 945: closing week: maxCloseDate:2020-03-31: result:957% resultAmount:10630,00 945: closing week: maxCloseDate:2020-04-30: result:1767% resultAmount:20675,00 945: closing week: maxCloseDate:2020-06-30: result:2624%...

the backtest contains no profit taking. With a 500K portfolio you could take all off the table when you have a 20% drawdown. A 8-10 delta has much more risk to open. For > 3 std dev down moves you can better have 4 of 2.5 delta then 1 of 10 delta..

The payoff was 100K in feb 2020. If you have a 500k portfolio it can hedge a 20% downfall. Its not perfect, but you can have more low cost hedging strategies. See the day results in 2020, there was no need to close out positions. Its tail risk, so insurance for > 3std dev down moves..

Its not a good trade, i earn my money with theta positive strategies. This is pure an cheap insurance for vix levels above 40. Do you know better low cost tail risk hedging strategies?

Its not delta protection, its all about vega risk..

Shorting low delta options is all about risk management. This is an side strategy, hedging negative delta/ positive theta strategies..

Its a 5 year period. And longer is not needed, what matters is that you see positive P&L days on down days!

Correct, first the 3 open transactions are closed and 2 new longs are openend..

Thanks for the check. It doesn't matter that the longer dated puts are further OTM. The vega of these longer dated positions is bigger, so profit will be greater in situations like feb 2020. With vix above 40 it is all about vega. Results are 5 times the 120 dte results..

I also tested the strategy with 240DTE. The results are much better because you will be net more long puts. With only shorting 3 puts starting from jan 2018 the max results was more then 100K in march 2020.

Could you please check the transactions

I started the strategy in jan 2018. I will export some transactions

I tested the strategy without increasing the size. The hedge worked in feb/mar 2020. Important is to close the strategy when vix is very high! During the build up op vix from 15 till 40 the result is still negative. Most of the time the strategy had 3 short puts with approx 120 dte and 6 long...

You can also sell front puts e.g 30DTE against the long puts (converting them to calendars) when vola is high. Chances that 30DTE puts with 30% distance become ITM are very small. With the credit received you can buy more calendars to expand the long vega.

I will start by selling 3 delta 2.5 and buying back 5 for less then credit received. If bought back, i will sell 3 again on 2.5 delta closes to 120 dte. Etc..

Nice strategy tman. I will create a backtest for it so see its results from 2018 till now (SPX) Moment of start is of course very important. If you had started in feb 2020 you had a tough time.

You buy straddles when vola is low. You can then gamma scalp to earn back the lost theta till de vola rises, you can then close the positions with profit, see https://tickertape.tdameritrade.com/trading/scalp-gamma-dynamic-hedge-16089