Yeah, thats about right. This said, a strategy like this might be a good part of a balanced portfolio of strategies (truism alert).
Well, I won't argue with the "is the return too high" part, but the comment about the volatility of the P & L is something I wanted to know about. The positive about the strategy is it's natural positive expectancy. BUT, the nreturns can be a little lumpy.
Just checking in, did not read all the posts. Leverage on Leverage is just not something that happens in the world of professional trading. Leverage on equities, no problem, leverage on options, not so much. FWIW, Don
several months ago, I just directly phoned several prop firms from a "list" I collated from names mentioned throughout this website. when all is said and done there is "only" one prop firm that is options focused- Maverick Trading. other firms sometimes imply that they do, but when you call up and speak with someone, they admit they really don't. I can't tell what options strategies Maverick trades(vertical spreads? butterflies? calendars? backratios? directional? non directional?)because I'm guessing that's up to the discretion of the traders who work there.
No, the idea is to pick a portfolio of stock with limited upside and let it ride. For practical purposes, in the form I've described it, it's a collection of covered calls protected with longer-dated index put. Return on capital depends on the size of your testicles, i.e. depends on how much you gonna leverage yourself. The strategy has pretty low Sharpe ratio, so caveat emptor. There is a number of similar strategies, all more or less falling into a mix of vol-arb and stock picking.