k1 July 1st, 2008 at 12:17 pm
Speaking of ETFs, I did some backtesting yesterday. It’s going to take me a little while to find the time to post it, especially because copying the results into a table is a bit of a pain, but the upshot is that this simple little strategy was able to produce a 36% return on SPY in the period between last June expiration and today. Including commissions. Folks, I think we’re onto something.
With that in mind, I am now watching spreads on two ETFs for initial trades. I’ll put a main portfolio page up in the next couple days as well, but here’s what I’m looking at to initiate:
SPY July08 126c / Dec10 125c – current spread is 17.35db (edit: was 16.70, bad math somewhere)
IWM July08 68c / Jan10 68c – current spread is 7.76db
I’m not trading this yet, just tracking the spread while we watch what’s going on. While the delta-neutral approach should protect us against a further drop in the markets this week, there’s no huge need to put the spread on at the moment.
July 1st, 2008 at 12:17 pm
Speaking of ETFs, I did some backtesting yesterday. It’s going to take me a little while to find the time to post it, especially because copying the results into a table is a bit of a pain, but the upshot is that this simple little strategy was able to produce a 36% return on SPY in the period between last June expiration and today. Including commissions. Folks, I think we’re onto something.
With that in mind, I am now watching spreads on two ETFs for initial trades. I’ll put a main portfolio page up in the next couple days as well, but here’s what I’m looking at to initiate:
I’m not trading this yet, just tracking the spread while we watch what’s going on. While the delta-neutral approach should protect us against a further drop in the markets this week, there’s no huge need to put the spread on at the moment.