The results of the A/B Test are in.
music selection: “King Of Pain” — The Police
Back on 2OCT2017, I set up an A/B test on different strikes of UVXY. I bought strikes 5 dollars out of the money and 5 dollars in the money to determine once and for all which strategy performs better. The results are in and out of the money wins by a large margin. This makes sense as the out of the money strike carries more risk of loss of investment.
I originally purchased UVXY190118P00015000 for 8.55 a share. Today, I sold for 9.50. The trade was in force for 30 days and yields 135.19% annualized. Likewise, I purchased UVXY190118P00025000 for 16.80 a share. Today’s sell price was 18.05. That trade was also in force for 30 days and yields 93.65% annualized. The simple average of the two returns is 114.42% (annualized.) I am very happy with this outcome. And I will buying my puts about 1/3 out of the money going forward.
I got back into the trade with 55 contracts of UVXY190118P00010000 at 5.55 a share. That is a roughly 10% allocation of my main IB account and curiously, a lot of “lucky” fives. I will target a holding period around 30 days but will sell sooner if the contracts move into the money. I will be a very happy lizard if I can repeat today’s performance.
Devour your prey raptors!