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Thats true, but you have to reserve the money in case you have to deliver. And a deep ITM call can be called away earlier so your return can be larger (reopen new). But indeed if you invest the not needed money in a government bond your total return will be higher..

Buy 100 SPY @ 440.50 Sell 1 17 Mar 23 360 Call at 97 Investment 34.350 If SPY stays above 360 your profit will be 1650 dollar. Thats 4.8%. Also you will receive 1,5% dividend. Total 6.3%. You will have 18.3% downside protection

A deep ITM covered call on an index can be a good strategy. If you go to eg delta 80 delta and 365 DTE you can make 5% a year with 20% downside protection. You will not be called away because the call will have enough theta to prevent this happening. And if it does you write a new one

A 90 dte call will be more expensive then thee 60 dte. The time decay is lower but you will lose more if the market has a big correction.

If you buy a put you will have the same time decay. You can buy a 60 dte call and sell it at 30 dte to minimize the decay

No, its 100 delta. Delta has no relation with dollars. Yes you can just buy a naked call instead of future with protective put.

You can see the futures as an 100 delta option. If you want to buy a 30 delta put option your net delta will be 70 delta. For lower commission and margin you can just buy an 70 delta call option. Same risk, same result.

Not only is your insurance only 88%, the stock also has to go higher then 112 to make a profit. You can also write deep ITM calls (e.g. 80 delta) agains your stock. You will lower you cost price and your stock can go down 15/20% before you have losses. But you also limit your profit. Max profit...

I also have my own data and software. But with your own software you can use much more parameters to test with and also do complex setups

No, I'm an option writer. I sell SPX options and buy the puts to lower my delta/vega exposure.

Spread is almost 30 cent for the options. So maybe the transaction cost of 3*SPY is less then the spread loss... The spread in UPRO will be much bigger when there is a big downmove. So i would go for 3*SPY.

Which symbol would you like to use?

I ran some backtests on SPX (open 1 every day if vix < 20), see results:

But the profit on 3 month vix options is lower. On 18 march 2020 the 30 days vix was about 70. The 90 days vix future was about 50. Most recommend buying at 2month and selling at 1month. And vix options don't give you margin relief as do SPY/ES/SPX put options do when you write these type of...

I backtested these parameters. They are optimal for me :) They also protect for e.g. moves of -5%.

I sell them at 14 DTE

I use puts which are about 13% below spot, 28DTE. These puts have cost me around 17K per 100K invested from 2013 till now. So approx 2K per year. Biggest win was in week of 18 march 2020, 35K per 100K invested profit. During low vola you can also buy low delta calendars, to minimize your theta...

I always sell low delta calls and puts, most of the time 2DTE. Last year i had 25% return on capital with a max drawdown of 11%. And yes I had naked puts during feb/march. But you have use most of your margin, buy protection when vola is low, always be on the watch and follow you own rules...

And buy low delta calendars to protect the written calls.

Nice example!