First, I never claimed that I could do 1000% a month going forward. That would be ridiculous.
But that is not as good as my best month’s return that I’ve had in real life. I once had an 18-fold return in an option account in one month, my account going from $5,000 to $90,000 in that time. Needless to say, I never expected that sort of return to continue–and it certainly didn’t.
I would be ecstatic and pleasantly surprised if I could meet my long-term goal:
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- In the period after I went public, having a higher long-term return than any volatility system with a lower darwdown and having a lower drawdown than any system having a higher long-term return.
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Let’s separate two sources of the high returns in this strategy: the basic market timing model and the selling of naked temporarily mispriced UVXY puts.
I think I have an excellent market timing model. In my own IRA accounts, I have been using this model since September 2016, and I have indeed almost certainly made more money already trading that model for 8 months than I could ever make on this site. And I have a large IRA portfolio currently devoted to buying XIV and volatility options.
As an academic, I have always considered developing market-beating strategies to be one of the most difficult intellectual challenges in the world. And I make a good salary as a professor, so the motive is partly intellectual, as well as partly financial.
As to writing naked UVXY puts, when in March I noticed the pattern of trading that I wanted to exploit, I had only pension and IRA accounts that did not allow writing naked options, so I couldn’t have easily implemented the strategy even if I had wanted to. (Buying 35% of a house for my daughter last year cleaned out my cash accounts.) Also, when I started writing naked puts, I wasn’t certain the strategy would work.
If In mid-March I had had access to a cash account allowing selling naked puts instead of my owning or managing sizeable pension and IRA accounts without such privileges, I might well have implemented this strategy for myself then.
Without this access, I decided to try it in my C2 strategy account. And it worked. Every single trade that was filled “traded through” the limit price I had placed, which is a higher standard than the usual one here at C2 that allows trades at the limit.
C2’s announced policy is best laid out in this post by Matthew Klein:
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