Larry, Have you run any numbers on the net for following the CoT report using leaps on the SPX?

This is assuming you roll the leaps following your suggested rules, of course.

Clint,

I haven’t done so partially because of issues like - Which LEAP? In-the-money, at-the-money, out-of-the-money? Which expiration date? What was the implied volatility at the time of entry and exit? What was the price of a particular LEAP five years ago?

The best thing to do is to just pick a LEAP and do a series of “what ifs” compared to what has happened to the underlying security in response to COT signals in the past.

Larry

That's too bad. I had hoped you might offer some ballpark or range to judge the effective returns one might shoot for with LEAPS.

You always learn what the figures are. The only question is if you looked first and then LEAPed or just LEAPed.

Clint,

I always look before I LEAP, and so should you. I do backtesting to determine if a strategy offers an edge. I have done that extensively with the COT. If I decide to use options as a way to implement the strategy, I'll do a "what if" analysis for risk analysis, for position sizing, and for specific option selection.

It's going to be different for each LEAP depending on a number of factors. If you will give me a specific example, I'll be happy to take you through the procedure.

Larry