Averaged 5.2% per month over the last couple of years trading RUT. Some trades bullish, some neutral. But only using 4.5% of my account for options. Options trades can go to zero. Need to stay small with these things.
Great returns! Have you calculated your Sharpe and Kelly? Since 2013, my aggregated trades returned better than SPY but Sharpe is the same, so the reality is I have no skill, it was just leverage and luck?
I have not calculated Sharpe yet. Kelly says I should use 8% of my account but I have no intention of doing that.
So you use ~ 1/2 Kelly, consistent with what Ed Thorp said, used 1/4 to 1/2 Kelly to significantly reduce risk of ruin without significant reduction in gains.
You seem to have a distinct strategy. Can you please elaborate on "sell vertical spreads on stocks you like" ? You are selling 5-10 spreads on average. What is your average selling price? When do you enter the trade? Timing is important. Also Why ATM? Why not OTM?
If you are net long, that would be indeed so. Someone who is market neutral should not compare themselves to the broad market for risk adjusted returns.
Yes, basically net long, no big hidden edge, simply use options as leverage. I have been trying to trade market (delta?) neutral (volatility, spreads...), so far . Any advice for me?