@Alex,

Please be careful before implementing a strategy such as this if you are aren't sure about the details of selling theta when implied volatility is low. While I do believe in the strengths of this strategy that Joachim has mentioned and I've even done this strategy myself (thanks for writing a post on this strategy, Joachim!), it is not without its issues - as will all investment strategies (i.e. there is no holy grail).

In fact, even Buffet used sold a ton of puts - back in 2008 or 2009 - at the lows of the market and when implied volatility was high. But if you're not perfectly sure of the details of the strategy - what could go wrong, what could go right, then I would recommend paper trading the strategy on a forward basis or at a minimum using Statistics to help guide you at the link below.

Here's the key: You basically want to be able to stick with the strategy through its ups and downs on a long-term, multi-decade basis. If you don't completely understand the loss profile of a strategy, then it becomes harder to stick with it during drawdown years or years with relative under-performance.

That said, I'm actually wondering if I should sim this strategy myself b/c I could see how - in the future - if mean expected returns are lower and volatility higher - that could set up a situation where 60/40 trades only sideways for many years. In this scenario, it is within the realm of possibilities that Joachim's strategy here could outperform 60/40 - or at least add value to an investor's overall strategy. Please see my 100 equity curve sim's of how 60/40 may perform in the future in the link above and good luck to all of us.

https://www.hvst.com/posts/63829-here-s-an-easy-way-you-can-use-statist…