The Money Tree

Safely Generating Income in Retirement

Deep OTM NP Strategy – NOV Exp Results

Posted by mounddweller on November 21, 2011

Fellow Traders,

As promised I have the results of the Deep OTM NP Strategy for the NOV expiration period.  During the NOV trading period the selection criteria presented us with 424 possible trades.  Executing all 424 of these trades using the capital allocation rules provided here: would have required a total of $3,246,250.  This would have generated premiums, net of commissions, totalling $63,630.70.  This gives us a gross premium ROIC of 1.96% or 26.5% annualized.

However, this trading period we also experienced a fair number of trades that finished ITM, 38 to be exact.  Subtracting 38 from 424 gives us a ‘win’ percentage of 91.04%.  Capital losses (assuming all positions were held to expiration) would have been $29,780.70.  This gives us a net return of $33,850.00.  This equates to a 1.04% ROIC (14.1% annualized).

November results trailed slightly behind those recorded in September and October.  However, they were far better than the dismal results the strategy returned in August.

During the November trading period I highlighted 11 trades as being ones that I thought were particularly appealing.  10 of the 11 finished OTM giving me a success rate of 90.9%; almost exactly the same as the overall strategy.  Maybe I should hire a monkey to throw darts at the selections (ha ha)!

Happy Thanksgiving.



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