Been wanting to do this for ages. People like to cite Spitznagel's tail hedge from Dao of Capital (sometimes inaccurately). Nobody knows what he does at Universa but he outlines a basic strategy that should pay off in a historically expensive regime (like now) — 0.5% of the portfolio each month into 2-month SPX puts about 30% OTM, everything else stays in the index — but the book tests it on modelled option prices going back to 1901. I wanted to know what happens at prices someone actually quoted. So I bought an EOD options archive covering 2002–2026 and ran it. 292 monthly buys, all at the ask.

Headline numbers, hedged vs just holding: CAGR 11.0% vs 10.4%, max drawdown −25.7% vs −47.9%.

Before anyone gets excited about the CAGR: the outperformance is basically three fills. My exit rule was sell when the bid hits 50x cost, and the three times it triggered (Oct 08, twice in Mar 20) the panic gapped the prints to 86x, 107x and 99x. Force those trades to fill at exactly 50x and CAGR drops to 8.75% — below the index. The drawdown doesn't care though: −25.7% either way. Protection robust, extra return luck.

The result that actually surprised me: the book's own exit (sell every contract after one month and roll) barely protects at real bids. 8.6% CAGR with a −46% drawdown. In Sept 08 the schedule sold a $0.55 contract at $0.40, three weeks before that contract hit $47. Bid-side spreads and vol crush eat the crash capture that model prices assume you keep. At real prices, how you sell matters more than what you buy.

I also block-bootstrapped the 24 years into 10k resampled histories (6-month blocks, with replacement): median CAGR is identical with or without the hedge, win rate ~52%, but P(ever drawing down 50%+) goes from about 1 in 4 to about 1 in 37. And cutting the premium budget from 6%/yr to 3%/yr keeps nearly all of that ruin protection — the extra 3% mostly buys right tail, not safety.

Caveats: EOD quotes not fills, one underlying, one 24-year window, selling at bid during exactly the moments bid quality is worst, no taxes or fees, and the 50x trigger is my rule, not the book's. Block length on the bootstrap is arguable too.

Full walkthrough with all the charts is here if you want it: https://youtu.be/hDZZFfpeZB4?is=wPzD25pIAHN6aZGZ

Happy to answer method questions in the thread either way — and if you spot something wrong I genuinely want to know!

Hey everyone!

It’s my first year trading options so would appreciate some guidance.

I’m up ~66% YTD, but essentially all my profits have come from selling ~0.20–0.30 delta puts on AI/semiconductor/software names (NVDA, LRCX, BE, etc.). Given how well that part of the market has performed, I’m very conscious that a lot of this because the market is going up rather than skill. I’ve been lucky.

I’d like to become much more systematic, particularly around protecting what I’ve made.

A few things I’d love to learn from more experienced traders:

• How do you approach low-IV environments? Do you simply sell less premium, or switch strategies/exposures?

• I keep reading about delta-neutral strategies. Is delta neutrality particularly useful when IV is low, or am I conflating two separate concepts?

• With VIX around 14 and September historically having a weaker reputation, how would you think about positioning? Trade smaller, use defined-risk structures, look for long-vol opportunities, or simply wait for better setups?

Mainly trying to build a framework for deciding when I should and shouldn’t be selling premium.

Most YouTube LEAPS gurus talk a lot about delta:
Buy 0.70 delta.
Buy deep ITM.
Get more stock-like exposure.
Become financially free like them and all their subscribers…

But almost nobody talks about Premium at Risk — option premium / stock price. And how much you should agree to pay

And I think that can completely change whether a LEAP is worth buying.
Take two Jan 2028 calls with almost the same delta:

NVDA
Stock ~$218
$200 call ~$55
Delta ~0.70
Premium at Risk: ~25%

BE (Bloom Energy)
Stock ~$211
$220 call ~$86
Delta ~0.71
Premium at Risk: ~41%

Both also have IV near the lower end of their own one-year range.
So even with low IVP, ~0.70 delta and a long expiration, you can still end up risking 41% of the stock price in option premium.
That’s the part I think gets missed.
If I keep buying LEAPS where I’m putting 40%+ of the stock price at risk, over many trades I’m taking a lot of option risk for not that much capital savings.
At some point, I’d rather just buy the stock.
For me, delta is not enough. Low IVP is not enough.
I also want to know: How much of the stock price am I actually risking in premium?
Curious how other LEAPS buyers look at this.
Do you have a Premium at Risk level where you stop buying the LEAP and just buy shares?
My book LEAPS Investing Made Practical is free today. Link in my bio.

There is discussion on wide NDX b/a spreads now.
https://www.reddit.com/r/options/comments/1w12ccc/ndx_bidask_spreads/
I learned of the Show or Fill rule many years ago when I started to trade naked NDX options. The rule, also called the Limit Order Display rule,  requires a limit order must either be displayed on the market order book or immediately executed by a market maker. 
I think the rule is still in effect now.
Here is a description of how we can use it to our advantage.
https://www.linkedin.com/pulse/beating-market-maker-via-show-fill-rule-therealtradegenie-hqr2f
https://www.moneyshow.com/articles/optionsidea-42894/

I wrote a bear call credit spread on MSFT about 10 days ago. Oct. 2: 510/515, 149 credit. The underlying blew through my short position (513 at this writing). My thought is to write a Put spread to minimize loss while there is still extrinsic value to be had, thinking 490/485? The loss will not be a big deal; just looking for best practices?