My approach to selling puts.

No fire works expected today so here are my MTD metrics for the month of June:




On hedging, I have now done a full circle and decided against beta (macro) hedging, in favour of managing my book actively instead.
On trading, June has been particularly boring really - I have not done much and been away on holidays for the first 2 weeks

 

Average leverage would help complete the picture.

 

2.6x assignment risk this month. Not intentional, lack of opportunities.

Edit: I am more comfortable with 3.5 to 4x - difficult to achieve that with the VIX in the teens.

 

im coming to the same conclusion on the macro hedging.

 

2.6x leverage means 1.3ish percent unlevered. That’s not unreasonable.

 

I backtested this idea some time ago. Basically the difference between moving the long leg with the downside when price decreases, or let it stick.
Moving the long leg down yielded - as expected - better returns, but the drawdown was relatively higher. So, from a (r/worst drawdown)-perspective it was not worthwhile.

 

I am loving monthly compounding, but the problem with that is every month is marginally more difficult to achieve the same % return as the previous month since the asset base is growing.

 

yeah. I believe eventually your return will be cut by 1/2 or more. But capitalize on the opportunities until then.