TLT

#PerpetualRollingStrangles – Filled Friday but missed it. This entire position sat inverted for all of 2017 with rarely either side getting taken out. Still made 2.5 times margin required. I’ll keep it going…nice steady theta day after day with little P/L change due to the inversion. 6 contracts each for 4- 5k margin…

Rolled TLT JAN 19 2018 127.0 Puts to TLT FEB 16 2018 127.0 Puts @ .75 credit.

Everything now in Feb monthly. 121/123 calls and 127/130 puts. Showing $40 theta per day for 4500 margin with a delta of +12. How did I decide on the position size? Stress tested it through TOS Analyze tab using TLT at 87 and/or 143. Using it’s most extreme values over the last 10 years the risk was satisfactory considering the annual returns.