The other leg of the trading plan: /ES futures and "reducing basis"

A neutral trade like the one I've been using of the basis of the strategy I'm evaluating is vulnerable to events such as:

That cause market reactions like:

To protect against this sort of thing there are some things one can do. My favorite is to sell short S&P futures contracts and then sell puts against those short contracts.

The characteristics are like this: S&P "e-mini" futures contracts (symbol /ES) move $50 per point, or $12.50 per 25 cent "tick" ... I sold 1 contract today at 2383.25, then one put for "7.25" ... times $50 = $362.50 in credit I received for selling that put.

When the market goes down sharply, this trade pays off nicely and cushions some of the (assumed) losses one would get on the neutral trade in a sharp down move.

Additionally, selling one put against the short /ES contract lets one be "right" and make a profit even when nothing happens or the market goes just a bit up! Even if it goes sharply up, it eventually stops and this trade catches up to any losses with the sale of puts.

Effectively each put sale "reduces the basis" of the trade price, in this example, giving 7.25 more points before we start to lose. It's as if we sold at 2390.50!

This gives an extra chart sitting next to the standard chart we've been using:

Trade Date	What	Qty	Credit Received	Net Liq Change
04/25/2017	/ES Put	-1	$362.50	$0

I'll update the 'Net Liq Change' once a week; the number changes continually.

The standard chart now looks like this:

Trade Date	Symbol	Result	Profit/Loss	Comment
02/06/2017	SPY	Lost	-18%
02/13/2017	SPY	Lost	-16%
02/21/2017	SPY	Won	+15.4%
02/27/2017	SPY	Won	+17%
03/06/2017	SPY	Won	+15.3%
03/13/2017	SPY	Won	+12.9%
03/20/2017	TLT	Lost	-1.4%	Dumb!
03/27/2017	SPY	Won	+9.6%
04/03/2017	SPY	Won	+6.6%	18 days long
04/10/2017	SPY	Open	+11.1%	only 14 days!
04/17/2017	SPY	Open
04/25/2017	SPY	Open