Update on RSI(2)/C Strategy

In November, I did a short write-up explaining a new RSI(2)/C strategy I was trying out, where I would be buying some calls if they had very low returns if used with a covered call strategy.

Although successful, the market is up for the period (SPY is up 9.3%), so it may be more luck than anything else. The results of calls that I bought:

Reason	Ticker	Bought	Paid	Ending	Closed	Days	P/L	C-ROI	C-aROI
Hedge	PM180119C00110000	2017-12-05	$0.45	$1.50	2017-12-18	14	$1.05	233.3%	6083.3%
RSI(2)/C	TRV180119C00135000	2017-11-20	$1.15	$2.75	2017-12-19	30	$1.60	139.1%	1692.8%
RSI(2)/C	MDT180119C00082500	2017-12-04	$0.73	$2.10	2017-12-19	16	$1.37	187.7%	4281.3%
RSI(2)/C	JNJ180119C00145000	2017-11-20	$0.50	$1.57	2018-01-12	54	$1.07	214.0%	1446.5%
RSI(2)/C	MRK180119C00057500	2017-11-20	$0.33	$1.18	2018-01-12	54	$0.85	257.6%	1741.0%
RSI(2)/C	KO180119C00046000	2017-11-29	$0.44	$0.87	2018-01-18	51	$0.43	97.7%	699.4%
RSI(2)/C	XLU180119C00054000	2017-12-05	$1.68	$0.00	2018-01-19	46	-$1.68	-100.0%	-793.5%

The "Hedge" strategy is a similar one -- I bought a "low priced" call that I noticed when I was looking for calls to roll out an existing PM position. Since the dividend strategy stocks have always recovered within a fairly short time, I decided to buy that call that was priced too low for me to sell.

So, one loser out of six (or seven). And the loser is a 100% loss, as expected. Overall, I invested $2700 and made a profit of $2100. About a 78% return. Based on the highest traded price of each contract since it was purchased, the maximum ROI that could have been earned:

Reason	Ticker	Max ROI
Hedge	PM180119C00110000	262.2%
RSI(2)/C	TRV180119C00135000	282.6%
RSI(2)/C	MDT180119C00082500	594.5%
RSI(2)/C	JNJ180119C00145000	560.0%
RSI(2)/C	MRK180119C00057500	1778.8%
RSI(2)/C	KO180119C00046000	177.3%
RSI(2)/C	XLU180119C00054000	33.3%

In any case, my original limit prices were far too high. Only MRK would have sold at my limit price, and that was only because of a huge surge over the past week. Unfortunately,  I sold on the early run-up because the expiration date was approaching.

I was thinking maybe a better criteria for the limit price might be when it might make a good leg of a covered call strategy? But that would require periodic review, possibly triggered by a price run-up? On the "Hedge" strategy, my original goal was to earn $1 per share, so it was a much easier sale.