cwelsh

The .8 number comes from figuring out what the average per week is over the past 10 years or so.  The average actually was around .83, but we rounded down for a safety margin.

We're finally emerging from it, but for pretty much June-Mid September, getting .8/week was impossible, options were just priced too low due to extended low volatility.  I actually, playing on the averages, bought quite a few puts in July when prices got ridiculously low and the markets were completely under pricing risk.  Of course there wasn't any big  moves, so I was lucky to break even on a decent down day. 

Back on subject though, there is nothing special about .8, but if you stick with Anchor over a number of years, you should average just above .8/week in credits, so we used it to price our position.

As to the call options, no not really, as your gains are capped.  We also buy extra puts, to hedge the hedge if you will -- which can't be accounted for in just buying calls.

Ok thanks, that helps.

about the second part, I am referring to put call parity.

( 500 shares+5 long puts = 5 long calls)

so lets take 2 portfolios for example :

A.

500 shares of SPY

5 long puts to fully hedge  ATM

3 extra long puts ATM

and 3 short puts that will be rolled on for next year

compare this to:

B.

5 long calls ATM

3 extra long puts ATM

and 3 short puts that will be rolled on for next year

your thoughts please ?