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I'm a bit mystified by what you are describing. Did you have insufficient cash in the account to cover the margin requirements? Were you legging into the spread or trading it as a spread? I've only run into problems with respect to having my limit order rejected on a spread trade was because...

I'm glad you are cautions. There are risks that must be clearly understood before attempting this strategy. Some are uncertain I properly understand the risks myself.:) We'll see. My plan is to begin posting the elements of the decision tree this weekend. One of my readers in another forum...

Several posts back is a summary of results both by credit spread and iron condor. 45 days is supposed to be the knee in the time decay curve. 30 days is too late. Some find 60 days too early. The trick is to properly estimate the probability of the underling trading instrument price touching...

I agree, but as the option nears expiration Theta seems to dominate. As long as the options remain OTM, they must expire with zero value.

My account increases an average of 10.5% a month. Since I've only been doing this strategy with money in this account for 5 months, that has marginal statistical significance. I chose the worst case of a black swan event. I know of no case of two black swan events occurring that close...

My portfolio is roughly 20% cash, 40% long spreads and 40% short spreads. The long and short spreads are matched to form Iron Condors. A black swan event, for which I would lose 100% of the capital at risk for the spreads on the adverse side would still only collapse 40% of my account...

My portfolio is hugely Theta positive. Why does this not contribute to positive expectancy?

12 JAN 2010 Trading Plan The Dashboard above informs me as follows: Opportunity - Takeoffs are optional Spread #61 is unpaired. Opportunity to form an Iron Condor. Spread #75 is at 82% of it's capped profit but has only 1 day left until expiration. No opportunity to roll. Spread #50...

I subscribed to SFO magazine in the middle of Dec. Thanks anyway.

As I unfold the details of my strategy, I look forward to feedback from those that know more about these things than I do to point out areas where I am taking unrealistic risks. The primary reason for disclosing things down to the trade level is for all of us to learn something. Selfishly, I...

Those figures are on the entire account that is devoted to Index Options Credit Spreads, but not counting other accounts for other investment strategies. And this account has had 15% to 20% cash. I'm raising it to 20% to 25% for additional protection from a black swan event. Returns averaging...

When traveling, I use my wife's iPAD as a second screen. There is an inexpensive app for the iPAD to make it happen wirelessly.

When Iron Condors are formed, which is most of the time, the portfolio is nearly delta 0, and slightly negative gamma, but hugely negative vega. Vega dominates and, I believe, is the primary driver in the success of this strategy. Expectancy requires some detail in understanding the risk...

If your satisfied with (AVG - RiskFree)/StdDev then after five months the answer is 3.3% using monthly month on month returns in my entire account which includes 15% to 20% cash.

I'm out of my depth here. Can you provide a reference so that I can look into it.?

jinxu, a cash account would be more impressive than a paper trading account. :eek:

Percentage of capital at risk. I no longer report my account growth as that adds money management to the discussion and I would like to exclude that aspect for the time being. I do report month on month return only to illustrate the impact of commissions and reserve capital. This brushes on...

They certainly are. :(

The 20% comes as a consequence of rolling. For monthlies, I enter a new series around 59 days before expiration when the quarantined funds are released from the just expired series. I want to be ahead of the knee in the time decay curve. Monthlies are the only ones that exist long enough to...

I back-tested with 5 years of data. I paper traded for 5 months. I've been cash trading since Aug 2, 2010.