fuzzballl 7:50 am on Monday, June 26, 2017
Tags: PerpetualRollingStrangles ( 116 )

TLT

#PerpetualRollingStrangles – Again…

Bought to Close TLT JUN 30 2017 126.0 Puts @ .04 (sold for 1.00)
Sold TLT JUL 21 2017 127.5 Puts @ .95

hcgdavis 10:30 am on Monday, June 26, 2017

So with the TLT strangles looks like you stay really close to the money?
- fuzzballl 11:19 am on Monday, June 26, 2017
  
  I like to leave them a little room but still grab as much premium as I can. This is just one of about 8 positions scattered out over the next couple months. I’ve got some calls ITM now with this run up so needed a few more long deltas to offset part of those.
  
  No magic formula really…just a one year experiment running through September to see how much cash can be brought in against a (relatively) fixed amount of margin tied up.
- fuzzballl 11:26 am on Monday, June 26, 2017
  
  Looking back to the beginning….the first trade was on Sep 7th. It was a one fourth position selling an Oct 2016 133/145 strangle. I believe this strategy could’ve done even better if I hadn’t started the experiment with TLT at such an extreme. I’ve had quite a few put contracts that have generated very little cash since they went ITM almost from the beginning. As I unwind those I’m hoping next year is even better.
- fuzzballl 11:34 am on Monday, June 26, 2017
  
  A quick ballpark estimate of where the experiment stands so far approaching the 10 month mark:
  
  Started with 3 strangles. Ramped up to 5 and then 7 over first 3 months. Since then I’ve been holding at 12 eventually thinking 15 will be ok.
  
  Current (TOS portfolio) margin required: $6500
  Total premium received since the beginning: $12220
  
  Similar position in GLD although slightly smaller with not quite as good performance…
  - hcgdavis 7:50 pm on Monday, June 26, 2017
    
    Nice and thanks for the info.
  - hcgdavis 7:58 pm on Monday, June 26, 2017
    
    Just monthlies or are you laddering with weeklies?
    - fuzzballl 10:25 pm on Monday, June 26, 2017
      
      Either one…just whatever I feel is needed.

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