fuzzballl 6:43 am on Thursday, November 1, 2018
Tags: PerpetualRollingStrangles ( 116 )

TLT

#PerpetualRollingStrangles – Triple selling the call side using the falling 20ma as a guide for resistance. Stops set on the previous sales.

Sold 12 TLT NOV 30 2018 116.0 Calls @ .38

jsd501 6:51 am on Thursday, November 1, 2018

I think you have done very well on selling calls on that one.
- fuzzballl 6:53 am on Thursday, November 1, 2018
  
  The real payoff will be when it recovers and the ditm puts come back. Until then I just roll those out and down a year and pound away at the calls. I’m finding that if I go out about 3 weeks and sell just outside the expected move the short calls rarely get challenged.
  - jsd501 7:14 am on Thursday, November 1, 2018
    
    Just curious, what was the original strikes on the trade?
    - fuzzballl 7:21 am on Thursday, November 1, 2018
      
      I have no idea. I started this in late 2016 as an experiment with a 5 lot strangle planning to just trade around it forever just rolling when necessary. Gradually increased the size to a 12 lot now.
      
      I can tell you the put side is sitting at Jan 2020 125 strike with $7360 of unrealized premium in them. Realized premium since the beginning of the experiment is $13,800. Only using about 4 grand in buying power on average. That does vary based on how many extra lots of calls I’ve sold. For instance right now being short 36 contracts on the call side the margin requirement has crept up to about 7 grand.
      
      Decent returns on a fun little ongoing experiment!
      - jsd501 7:23 am on Thursday, November 1, 2018
        
        very nice.
        
        fuzzballl 7:27 am on Thursday, November 1, 2018
        
        I did buy two dozen Jan 2020 80 strike puts just to protect in case of a bond implosion. That helps the margin requirement also and helps me sleep a little better. LOL
        
        jsd501 7:40 am on Thursday, November 1, 2018
        
        Why would you buy the 80 puts when you are long the 125 puts?
        
        fuzzballl 7:41 am on Thursday, November 1, 2018
        
        I’m short the 125 puts. The original trade is a rolling short strangle…
        
        fuzzballl 7:42 am on Thursday, November 1, 2018
        
        It’s a non directional duration over direction experiment….

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