Howard
I don´t have the records now, but they should be on OEX WEEKLY OPTIONS and also SPX CREDIT SPREAD TRADER FORUM. I commented as I went along in 2010.
Most of the time I traded WEEKLY spreads. I started out with monthlies and then transferred to the weeklies. Faster action and more trades. Greater number of trades and thus more profit. Four times a month. More risk of course.
I don´t think I had any deviation studies for the monthlies. Only the weeklies.
There is another guy BRAD who has been trading for 4 years and has records of trades on the internet. On an annual basis he is successful. Usually between 30% to 90% a year. His worst year he lost four months. The way he handles losing months is to roll over threatened spreads. At what point do you rollover when threatened was something I never figured out. On his rollovers, he tries to get back more credit to offset losses from the time he does a rollover. Some years he takes one or two month partial losses as a percentage, which must be deducted from the annual total. Every rollover is usually a loss, except if you can offset it using diversification within different indexes and smaller trades to scatter your trades around. There are zero months, in which the rollover losses, or credits offset the winners. Giving zero return months. Worst scenarios are when you are unsuccessful in a rollover system in being able to avoid a loss, that must be deducted from your annual return.
Using a weekly system, I could not rollover. So I tried to do Iron Condors, but more often only got in one spread side. Those months in high volatility, I skipped the lower portion of the Iron Condor. You are selling time decay and so I thought weeklies were better for that. However, in the OEX you cannot always get out far enough and find premium to make it worthwhile. I experimented with other indexes, but since they are more or less the same percentage wise, didn´t actually see any difference. I tried to go for an ALL or NOTHING APPROACH on the weeklies. There wasn´t any adjusting you could do. It worked fine, except those months that catch you couple of times a year, when I was using a 3% deviation and there would be a sudden market run in one day of 4% deviation. Sometimes it bounced back within a profit area, but at least once it would stay in the area where you lost most of your capital. You cannot afford to take even a single loss that way. You must be right every time.
Spreading your risk over different indexes and smaller trades is probably a safer way to go, presuming you can adjust in such a way, you do not end up with a negative loss, after deducting your profits from scattered trades, on that month. However for the most part it did not meet my financial goals that way.
