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Point of No Return. It's a risk measure that TOS uses to assess risk. So if the downside PNR is 30, that means that theoretically, the account goes to zero at that point.

It is intended to hedge a constellation of broken wing put butterfies of various tenors that are managed to be delta negative and obviously theta positive. This 3SD put structure allows me to maintain no PNR is my TOS account while carrying enough BWBs to have a "theoretical" daily theta > .1%...

No offense taken SPY. The reason for the post was to intellectually challenge the concept/plan. The criticism is welcome.

5x is significant. I guess we can forget about the weighted vega discussion.....your results don't lie. Thank you

The transactions look good once I got used to the format. Bang on. Earlier I posted my actual average time to complete a "cycle" (selling to open then buying to close) is 28.9 days. The 240DTE results are interesting. My concerns for my use case are that the 240DTE put will be much further OTM...

So most of the time, it was net long 3 puts? It seems that you initiated the sim at the "worst" possible time and it still didn't blow up. Monetizing during a "crash" will be important. Thank you for taking the time.

Exactly! Very path dependent. I was more lucky than smart but intend on monetizing into a larger structure. I've been trading long enough to know it's all about learning all the different ways to lose money. But this looks promising.

Thank you for clarifying. I will look at that. The issue I have with that is that I don't think that the TOS analyze tab/model sufficiently incorporates vomma (volga). I don't have access to 2nd order greeks which would be very useful. I can intuit the positive effects of vomma having observed...

No. I had bouts of short convexity until May 2022. Been long in that tail to varying degrees since then.

There is a lot going on in the TOS analyze tab. There are 4 lines each representing 7 days forward. The dates are color coded in the lower left of the graph. The breakdown in the lower panel shows that I'm losing 8 net long puts that will expire May 31. 5% of what though?

Excellent idea. I'm a young boomer without crazy computer skilz. An idea I could implement would be a daily snapshot edited into a Youtube vid. I'm going to start capturing this tab daily and get one of my kids to assist. There will definitely be eye-rolling involved.

Here's a visual of my current structure. All models are flawed; some models are useful. I consider the TOS analyze tab to be useful. P/L day stepped 7 days for the next 28 days.

I don't want to take the chips. I want to use them as more "seed corn"

Yes, it was a risk I. I was net short more puts in 2022 waiting the structure to grow. My point is that I stuck to this without ruin during a challenging time. I understand that though volatility was "high" since I initiated, it wasn't epic. Nothing like a volmageddon. The regression line on the...

I agree with this. I'm saying that I believe I "paid" for the lunch by bearing and surviving the initial early period where I was net short puts. The spreadsheet also indicates that I was net short up to 15 puts briefly during the spring of 2022. I think I got away with it and have reached an...

I am trying to build and maintain significant left tail convexity (vega/vomma) to "protect" an array of short vol structures (+ theta) that are placed closer to the current market price. I'd also like to really cash in on a significant spike in volatility.

I was trading my short vol strategy at that time. The topic of this thread is my attempt at addressing that risk. Probably fighting the last war though.

I want to use this structure to protect some other short vol structures. Yes delta, but I'm more concerned with vega, especially in the tail. My other structures are not net short puts.

I am initiating another short position when the previous "cycle" gets covered. Specifically, one Oct 19 2021, I sold 6 Feb 2850 puts @ 8.4 to open. On Nov 4 2021, I bought that 10x that same line @ 10.00. I was then long 4 puts "for free". So right then I sold 6 of the Feb eom 3150 puts for...

My goal has been to build an SPX option structure for less than free to "protect" some short vol structures. I started in October 2021 by selling 6x 2.5 delta 120 day SPX puts. I then place an order to buy back 10 of that same option for less than the initial premium collected. Rinse and repeat...