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Thanks. I realize that about the IV. I am not expecting to have these returns every year.

After another great year (+50%), I am really starting to feel that I might not be just lucky... And I feel the urge to brag about it. I navigated successfully the most dangerous year for put sellers since 2008 and I made exceptional returns. I had a relatively big drawdown (-30%) but the plan...

I think he has this Universa fund that every time there is a crash makes a killing (If I recall this guy Spitznagel was on CNBC last February)

Interesting... What exact expiration would you suggest for the leap? Also, weekly 3% OTM, wouldn't that be close to 0? Maybe sell monthly?

I think it is more a psychology issue. I loved the feeling that I could make money in any case, unless a serious drop occurred. Also, up until now, I was bullish.For the same reasons, it is really impossible for me to buy a call, knowing that I will pay a premium and the option decays every...

Looking into my results more seriously, I now realize that I could have made the same profit just buying the ES future in the beginning of the year at 2450. I would have made (3240-2450)×50=39500 almost the same. The leverage in that case in a 49k account would be 2450×50=122500/49000=2.5/1...

Up until now, I rolled over once the ratio overall delta/liquidation value reached a specific number. With this rule in place, I never had options with a higher than 25 delta. Then again I will sell the 10 deltas, which by then will be far away due to the vol spiking. With this strategy I...

It is funny how easily you get pissed, because I didn't disagree that 6 lots were too much. I just don't buy the idea you are going to get bankrupt as easily as you think if you are disciplined.

Your welcome. Thank you for reminding me that the market maker has an edge

ok. All the curses and the jealousy paid off... (joking) I am down 3k today and I am scaling back significantly...

Probably...You overpay by 0.25, but the fair value is overvalued 10 times that due to skewness

The closest ES has ever been to my shorted put is something like 120 points. I don't allow things to turn that bad, as in the case with the scary Greeks you mentioned. I am very concerned with an event like 9/11 where something could occur and I will not have time to respond. But in a case like...

ES was 2400 when I sold 8 I think. So 2400*0.14(delta)*8(lots)*50=134.400. Not that much if you calculate it this way...

Last December was a struggle but I did pretty good (-23%). I roll over to reduce my delta exposure once vol goes mad and ES drops. It is not as easy as you think to go bankrupt in a market like last December. It was a brutal sell-off but not... that fast. February was more dangerous and I was a...

I said 10-14 delta. Here are all the trades, that's better than the previous one

Predictably, there are many who doubt the story. I didn't start this thread to brag, just to ask for tips. Here we are. As you can see almost all the trades are short put in ES. There are a few short call trades and some futures, but the overall effect of those is minimal

7-8 contracts. The vol was quite high. Now, I cant short more than 6, even with much higher capital

Started with 49 ended with 86.7k. As I said in the first message I sell 10-14 delta puts and roll the position to maintain a minimum overall delta exposure. In the first 4 months alone I was up 40% if that helps

Do they have historical data on Greeks? Can I test a specific delta put/call and see what happened to its price after a specific period?

No I wasn't looking for corroboration. My thinking was as follows... I know tail risk in ES puts is overpriced, so I have an edge selling. People tend to be more scared for black swans than they "should". (Financial media help a lot...). IV is much higher compared to ATM vol. I made 77%, it's...