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Thank you again, sir.
Couple of more questions for @Frank. How far expiry do you select for the futures (not the options on futures)? At what point do you roll the future positions and do you roll to the next futures expiry or farther out? How much roll-drag does the strategy experience? Thanks.
Thanks Frank. I will give it a try. Also, with /MES I can start small.
Thanks, this clears it. I was looking around to see if I can trade /MES instead of SPY, but noticed that the Open Interest and volume for even ATM options are really thin. Have you traded /MES and what has been your experience? Thanks again.
Also Frank, on Logical Invest, the Enhanced PP strategy shows CAGR of 6% assuming it is fully invested? In your options based implementation, only 60% will be allocated to the CAGR should be approximately 6x.6 ==> 3.6% (disregarding options premiums, just straight attribution)?
Thanks so much Frank. Sorry about my question earlier, you had already addressed it in your paper (how much CAGR is added via options). I am still a bit confused regarding GLD and TLT. For both of these, you just sell put options and don’t own any ETF/Futures long position? How do you size the position?
For example, currently on Logical Invest, the allocations for Enhanced Permanent Portfolio are SPY 40%, GLD 10% and TLT 50%. Given that you recommend 60% allocation towards this strategy, for a 1Million portfolio, $600K will be allocated to this strategy, resulting in $60000 GLD, $240,000 SPY and $300,000 TLT allocations. Let’s assume that I am implementing this with SPY/GLD/TLT ETFs and options on ETFs. For SPY, I will be long 400 shares (400×377=150,800 Long position) and short 4, 0.5 delta puts expiring in 45+ days (400x.5×377 = 75,400 effectively long position). So total long is ~$226000. Am I going about it the right way so far? Now, for GLD the position represents 60,000/174 = 3.44 options contract (assuming delta 1). So represent my long position fully, I sell 10 contracts of .30 delta options expiring in ~150 days (to get the delta to 1.0)? Isn’t it much riskier on a very sudden move? My concern is that to implement a strategy that avoids tail risk, won’t this introduce another tail risk (granted that it is low probability)? I assume TLT is handled similar to GLD?
Thanks again for your thorough and quick replies. Much appreciated.
Thanks so much Frank for a very detailed description of your strategy. Do have any rough estimate as to how much CAGR is added to the enhance permanent portfolio strategy by using the options technique that you described?
@Frank1 Grossman, I need some further clarity on your sentence “If delta increases to much, then I buy back a put and sell a call with the same time value. The goal is to only do trades with a negative price (profit).
If the underlying goes up again, then I would open new position in march 21 or even Jan 22.”. Can you please explain with a short example? Also, you use options on /ES and /GC. Is it because of sizing resulting in lower commissions or are the premiums better? Since /ES and /GC are futures, I assume the options expiry coincide with the future roll dates? Thanks so much for a very interesting implementation.
Looks like you don’t accept discover, even though the site seems to convey that it does. I tried Visa and that worked. The error message should say that discover is not accepted.
Thanks Alex. I don’t have a paypal account. I will try again with credit card and maybe you can check what’s going on.
Can anyone help please? I am trying to subscribe but my payment is not getting processed. I checked with the credit card company and they are not receiving the payment request so it is getting rejected at the source.
I am getting payment processing error. Trying to use discover. Is the site having issues?
Thanks again. I am going to subscribe.
Thanks Vangelis. The last time I subscribed, one of my biggest issues was how to start the portfolio. For example, if I wanted to start a position in leveraged UIS. Do I wait for the next signal and incrementally get in? But the next signal may not be in/out signal but rather just adjustment of percentages. Entering just one of the components seems dangerous to me, but also entering SPXL at this peak point of the market is also scary. What is your suggestion?
Also, if I subscribe, am I covered for the future price increases?
Thanks Vangelis. Is there any active promo going on on subscriptions that I can avail?
Hi Frank, what is the difference between QuantTrader and its Lite version. If I subscribe just to “All Strategies” what will I miss out on compared to subscribing to QuantTrader. Thanks.