The last two cycles I have been selling ES premium. And in both months things went quite nicely. I used to sell premium quite a bit before, and am finally getting back to it. So what I will do is update you regularly on what premium I have been selling.
In the last two cycles I have been selling PUTs, on the basis that I would want to own the underlying contracts anyways.
Let me recap, in the Week of 21 Feb 2011 I sold ES PUTS below 1195. I bought them back for a net gain of 87% two days ago. Nice gain and now I need to think out what I will do for the April 2011 cycle. I don’t have my statistic results yet because I need to wait another week before those numbers can be referenced. So for now it is a look at the graph time.
Just from a visual perspective what I see is that I want the market to pull back to around 1250 without the next week or so. Then I could sell somewhere between 1150, and 1050. Ideally 1100 would be a good number. At those levels I have no problem owning the ES futures contracts.
The other idea is to sell calls, but I hate selling calls when the market is down and potentially trending. Since then getting assigned means you might hold a completely unprofitable position.
The other possibility is to look at NQ, or TF and see what opportunities are offered. Now the waiting begins for next week.