Going live with the Dynamic Covered Strangle plan this week, just in time for volatility's return!

Volatility in the S&P Futures market returned this week with a vengeance:

This means that the options on this futures product (/ES, the "e-mini" S&P futures) pay very much more than they did when the market was at record highs.

For example, selling a ".30 delta" (3190 put, 3275 call) expiring in 8 days returns $1875 ($1868 after commissions.) Assuming we have to do our "cover" even 3 times over the week, losing one tick ($12.50) plus commissions ($5.50) each time and we wait until we have all but the last 15% of the credit, that makes us:

$1868
- 3x $18
- 0.15 * $1868 =

$1520 the first week.

Then say volatility declines by 10% for the next week and stays flat the final 2 weeks. So we'd get

$1520 first week
$1368 2nd week
$1368 3rd week
$1368 4th week

Total $5624 ... starting on a $12500 account, which is the approximate value of the one we have going live next week, that's +44% for the month.

Unbelievable? No; I'll start proving it this coming week.

I'm collecting email addresses to send out real results ... send an email to info@intuitivecapitalmgmt.com and I'll add yours to my list.

More next week, and expect an email report too.

A look at real returns over the period I've been trading NDX

I started testing the NDX trade with 1-lots (the minimum) on Thursday, October 26, 2017. Since then, the main account I've been testing with is up from $5126 to $6903. This is nearly 35%!

... for just those 13 weeks. And I was just testing, trading 1-lots ... if I'd been using the 1/2 Kelly Criterion I'd have lost more the first week but gained double or more for the following 10 weeks ... I calculate the gain would then have been in the range of 50%!

Getting back to the realm of speculation, but standing on the real test results of the past 13 weeks and assuming 91.7% wins on a firm footing, I think:  the one-year Monte Carlo mean result if I assume 15 percent gain on each winning trade and 100% loss on each losing one, risking 33% of the account always:

Finally, if I assume the same as the above run but with an average 20 percent gain: 334%!

And: that's assuming 100% loss on every losing trade, which almost certainly won't be that extreme ...

Wahoo!