I am sharing an extra post this week, tomorrow I will have a best idea for this coming week but I wanted to let someone else I know and trust discuss some of his findings regarding the put sales in my database.
Great post, James! I have two questions, want to hear your takes. 1. I sometime see far ITM put sales in your database. They likely won’t expire worthless, how do we interpret that? 2, in put selling, a key is to manage the loss when the put is broken. Even if I win 90% the time, that 1-put loss may take away almost all the profits from the 90% wins.(I had a tough lesson on $$SMCI last year☹️) With a sudden gap down on non-ER event, I don’t even have the time to stop-loss. Then weather to hold it further or cut with huge loss was a poisonous pill. Do you have any suggestions on how to mitigate/avoid such situations?
1. What do you recommend when the underlying breaks its 21-day but the S&P doesn't -- or vice versa?
2. GB's data presumably counted a position as a win even if it fell below break-even but recovered before expiration. Does it make sense to hold below break-even hoping for a recovery? (An argument against that: it's likely that once a position breaks below break-even, the 21-day will break soon after.)
This is great additional information, thank you GB for providing it. However I hope all who use it have the critical thinking skills to realise they need to compare this to a benchmark and can’t look at it in isolation. The win rate of blinding selling 30 delta puts on broad index ETFs a daily basis over this sample period is a high number, high enough that I think it would surprise many. The t-stat of this sample vs that strategy would be interesting.
Great post, James! I have two questions, want to hear your takes. 1. I sometime see far ITM put sales in your database. They likely won’t expire worthless, how do we interpret that? 2, in put selling, a key is to manage the loss when the put is broken. Even if I win 90% the time, that 1-put loss may take away almost all the profits from the 90% wins.(I had a tough lesson on $$SMCI last year☹️) With a sudden gap down on non-ER event, I don’t even have the time to stop-loss. Then weather to hold it further or cut with huge loss was a poisonous pill. Do you have any suggestions on how to mitigate/avoid such situations?
Two questions.
1. What do you recommend when the underlying breaks its 21-day but the S&P doesn't -- or vice versa?
2. GB's data presumably counted a position as a win even if it fell below break-even but recovered before expiration. Does it make sense to hold below break-even hoping for a recovery? (An argument against that: it's likely that once a position breaks below break-even, the 21-day will break soon after.)
This is great additional information, thank you GB for providing it. However I hope all who use it have the critical thinking skills to realise they need to compare this to a benchmark and can’t look at it in isolation. The win rate of blinding selling 30 delta puts on broad index ETFs a daily basis over this sample period is a high number, high enough that I think it would surprise many. The t-stat of this sample vs that strategy would be interesting.
High win rates are certainly easy to get behind, but what's the average win/average loss ratio ?
thanks Geoff Bezos! love it
Fantastic show and tell James ... might even bring me back to selling puts ;-)
JB, GB - thanks very much for the work you’ve put in here. Really impressive stuff.
Thank you James, truly..
awesome analysis!