QZW

Chris, thanks for the tip. Bought SLV August calls strikeprice $18 yesterday when you posted, out of it today for a 30 cents gain. Made 14% of today's call volume. May take a few more round trips in the near future, if you say SLV is at the bottom. Best wishes, QZW

I agree, but I am now thinking about augmenting the strategy by rebalancing between SPY and TLT monthly puts: http://seekingalpha.com/article/1026371-tlt-and-spy-combining-multiple-market-timing-systems

I have been selling naked weekly OTM puts on TLT and also buy/write ITM covered call options on dips for a while, with success. In a flat market, this works extremely well. But this article got me thinking:http://seekingalpha.com/article/305546-selling-weekly-options-on-tlt of "covered puts" as the author describes it. Any thoughts? Is there a calendar trade on TLT that is mentioned on this Forum? Thanks. QZW

Yes, looking at the strategy, it is best to start implementing at the market bottom (like anything else, I suppose, except for straight shorting). There will be losses on the way down. Besides, we are looking at borrowing costs of about 3% annually. So I think it is a feasible thing, but I put it on hold. Nothing beats buy low/sell high strategy.

Thanks, dbh21. I will be looking forward to your post. The days when I could test any strategy myself are over. Indeed, 2011 sounds like a good example of a bad market. 2008 is an aberration. QZW

I am not sure if the leveraged names that the author pushes through the blogosphere were available in 2008 or prior dates. He is brash, I agree. But bravado beside, the long inverse combo strategies that he presents may make sense. With the short/short strategies, I don't know. I am not sure spending $200 for his book is justified, but the strategy probably is worth a thought. I wonder if Jesse and Chris who have experience with long/short leveraged ETFs want to share any input.

I became interested in this strategy http://seekingalpha.com/article/2117623-part-vi-non-correlated-hedged-convexity-capture-revisited The author that claims to do his own research, promotes a rather simple strategy, such as I. Short SPXU with 40% of the dollar value of the portfolio. II. Short TMV with 60% of the dollar value of the portfolio. III. Rebalance weekly to maintain the 40%/60% dollar value weighting between the two instruments. Looks pretty neat and simple. One of my former students who is a WS quant these days says that the charts in this link are probably correct. Looking at underlying, SPXU volume is decent, but TMV is rather small. I wonder if one can get jammed by poor availability of the shares to short. Any thoughts? Thanks. QZW

Yes, PLUG is risky, but it will be called away in 3 days. AAPL puts eat up daytrade power and give low ROI-unless you sell close to the current price and are agreeable to own the shares long. Not a bad idea to own it below 500 though.

I employ a similar strategy all the time using buy/write feature on the dips. After closing the short on PLUG today, I bought PLUG /sold DITM ($1) calls for a 2 cent/share profit. Not that I'd own PLUG or anything, but there is nothing to lose, and I make 0.1- 0.3% on my account every week, and any drawdowns are rare. I think this is a strategy equivalent to selling naked puts DOTM. My aim is to have the underlying shares called away by the end of the week. Played with LO as well in the past. QZW

Neither have I...

I was up 17.8% on my entire fund in 2013 and am out of equities as of Jan 1; will wait to establish positions near-term when the market corrects. I typically play with indexes (SPY, QQQ) for speculation, but in 2013 I made money on long CF, MA, UNP, V, LO and short AAPL. I usually stay 80% in cash and long puts every weekend,-very conservative. We will start Anchor-like strategy and now roll around large numbers of low-delta SPY weekly puts for income. Non-directional strategies like SCO are the best bet for 2014, in my view. Predicting markets long-term is not useful, but technical analysis is. Good luck to all in 2014. QZW

Welcome back, Chris. Hope you are doing fine, with all this bad weather. I unwound the 4:5 diagonal in the past few days. Moved ITM short puts OTM. Have extra long puts for protection-they do not work that well; volume is low and 50% of the traders are afraid of the taper, so we drift lower. QZW

Yes, but you can wait and sell shares for $100 to break even, or $101 if you want to earn $100. Meanwhile, the $100 is credited to you and you can trade on it. Perhaps not the best example, because it does not reflect the call situation, but the idea is that this money is available for paying margin, etc.

Your calculations are correct, except "just accounting" goes a long way, and in my book, is worth paying this $ for. I managed to mostly cover the trading fees on the buy/write by the credit, but not the trading fees on the shares to be called away, so it is extra $6.95+$6.95 for the roll. Overall, I paid about $40 for this entire exercise, but "freed up" $1400 in cash. A good analogue of this would be this example. Suppose you bought 100 shares for $101 each. Then the shareprice declined to $100 and you sold the shares at that price. Then you quickly rebought the same shares for $99. Now your cost average on the shares is higher, yet you "freed up" $100 for yourself, while still owning the same shares. The better way to earn money would have been to just sell the shares short at $101,but who's that genius who can do it without the risk? In my example, I "freed up" $1400 cash and paid $40 (net loss) for it. The caveat is that my risk was close to nil. The cost averaging up helps to reduce realized gains, and by the way, options that are called away are not reportable.

Thanks Chris. I am at 181.5 two weeks out for both Anchor and 4:5 diagonal (0.64 extrinsic when sold last Fri). Sold only today on the dip for 1:5 diagonal. Looks like we are taking a loss on Friday, unless you wish to wait till next week to roll. Look forward to your posts. Best, QZW

It is a wrong topic, I know, just did not want to create another one. As far as rolling DITM calls, it helps quite a bit with accounting, as the called options are non-reportable and the cost average on the underlying share goes way up. But the trade is an elegant way of cashing on the DITM calls. I did not collect any premium with the buy/write, will not collect anything but loss on the shares and did lose on the fees, but I did gain a lot more on the call that I sold and then bought cheaper by rolling.

No, the shares will be called away at the fixed price anyway. When I rolled the call down from 410 to 405, I received a credit of $4.87. So the shares will be called at 405 instead of 410 while I gained on the 410 calls.

Chris, did you roll the diagonal on Nov 29? I am rolling 4:5 SPY diagonal these days, along with the Anchor strategy, but am considering structuring the short puts roll to separate the Anchor from the 4:5 diagonal. I need about 45 cents weekly on the diagonal to pay off the long puts early. The thinking is to soften the impact of any weekly decline of the SPY. I have September 2014 long puts at 176 now for both the Anchor and the 4:5 diagonal. Thank you. QZW

I figured an interesting way of handling DITM calls on AAPL. I bought 200 shares/wrote 2 calls @410 expiring Dec 6. In the buy/write feature, I am looking for a 5 cents/call credit, which offsets the trading fees. As AAPL declined, I rolled the 2 calls to 405 strike price while gaining $1,467.41 on the 410 calls, and "losing" $26 total (without fees) on the credit I got from rolling the calls from 410 to 405. So I actually got money from the trade that involves practically no risk at all... No chance AAPL would decline $145/share this week. Something to think about. Trying such a strategy on SPY is more of a challenge, but should be doable. Any opinions would be appreciated. QZW

Fieldy and Volley, it would be good to see if you can analyze a straddle with different put and call prices setup. I found a straddle for SPY with calls price setup at current price+1% and put setup at current -1% prices to be profitable in the last few weeks. It is sold on Friday and one of the legs bought back next Friday.

I did one straddle 175 at 2.36 as well, only for exploring. Should have pulled the trigger yesterday, but that's always the case. We'll see what comes next. Sold PCLN, MA, NFLX shares as well bought on the dip, if you are into shares at all. Yes, also sold XBI on my wife's account. Life is good. P.S. Already got out of the SPY straddle for about $10 loss, LOL

Brilliant! That is, if you had +$1 move by SPY, you'd roll the entire straddle to the +$1 strike for the same week vertically?

Adjust how? If there's a big movement, why not buy the straddle to close outright. This would be a nice daytrade.

Sounds like a good trade! Do you enter different prices for the call/put legs or both always ATM, same price?

Cool! I will probably do it tomorrow, too. You mentioned you had looked on these trades back... Does the straddle decay in 4 days at all, or you calculate that the stock would stay within the 2X credit window?