Corporate finance, 10+ years. Not a registered investment
adviser.
I built Restrike because I run this strategy with my own money and got
tired of doing it in a spreadsheet.
Why this exists
I wanted a way to add something on top of index investing without having to
research and keep up with thousands of individual stocks. Stock picking is a
second job, and I already have one.
The constraint that actually shaped this was time. As I have gotten older
there is less of it, and the honest answer to "what investing approach can
you sustain for thirty years" is the one you can still do when the month
gets busy. So I went looking for something simple to execute and
repeatable, rather than something clever.
Selling a monthly at-the-money put against an index fund I already owned
fitted that. One decision a month, on one instrument, with a rule for when
to close it. No screening, no earnings calendar, no thesis to maintain.
A spreadsheet was not enough. I wanted something robust
enough that sizing and tracking this took minutes rather than being the part
I got wrong.
That is the whole origin of this tool. The maths is not complicated, but
doing it by hand every month, correctly, while the market is moving, is
exactly where discipline breaks down. Restrike is the thing I wanted to
exist.
What the research actually found
I did not set out to build a case for selling puts every month. I started
with SPY and VIX data, trying to answer a narrower question: when is the
best time to sell puts on an index ETF? The intuition, which I think
most people share, was that you wait for a volatility spike and sell into
fear.
Two things came out of that, and both surprised me.
VIX spikes do not happen often enough to build a strategy on. Waiting
for them meant sitting out most of the sample. The strategy that only trades
when conditions look ideal spends most of its life not trading.
Selling continuously still produced returns, even with VIX at the low end
of its historical range. That was the finding that changed what I was
building. The edge was not in picking the moment. It was in being there
every month and sizing so that the bad months did not end the strategy.
That result is why the tool does not have a timing feature, and why the
research page says plainly that every timing rule tested turned out to be
noise. It would be easy to sell a signal. The data did not support one.
I am always running additional tests and re-checking assumptions I have
already published, and I would rather change the answer than defend an old
one. Two things on this site are corrections to my own earlier work:
The survivable range moved from 40 to 50 percent down to 25 to 40
percent, once the backtest charged margin on the shares held against
the position instead of treating them as free. The earlier figure was
optimistic and is not on this site any more.
The drawdown comparison was quoted on two different measurement
bases, which overstated what the overlay costs by more than double.
Both numbers are now measured the same way.
Neither of those makes the strategy look better. I would rather publish the
corrected number than have someone size a position on the flattering one.
If you find something here that does not reconcile, tell me. That is worth
more to me than a compliment.
