No. of Opts.

Option Type (P/C)

Long/ Short (L/S)

Scaled Norm. Strike

Example (Table 1 data)

Average Profit/ Trade ($)

Total Profit ($)

Percent Profitable (%)

Max DD (%)

2

C

S

0.948

112

75

10,417

84.1

33.8

P

S

1.061

118

C

S

0.948

112

3

C

L

1.034

115

69

9508

85.5

55.0

P

S

1.061

118

C

S

0.948

112

4

C

L

1.034

115

87

12,005

85.5

42.8

P

S

1.061

118

C

S

1.070

119

C

S

0.948

112

C

L

1.034

115

5

P

S

1.061

118

78

10,773

86.2

47.1

C

S

0.105

119

C

L

1.114

124

C

S

0.948

112

C

S

0.956

113

6

P

L

0.965

114

87

12,001

87.0

35.0

C

L

1.034

115

P

S

1.052

117

P

S

1.061

118