7 years of /RTY short strangles – Here's my setup

I've always wanted to share this but figured I'd just be talking to the wind. Figured I should just put it out there anyways – maybe someone finds it useful, maybe someone runs a similar strategy. **Why Futures?** Futures have lower margin requirements than equity options, drastically improving capital efficiency. They use SPAN margin, which calculates risk-based requirements instead of a flat percentage. A /RTY strangle might require $4k-$6k in buying power for $146k notional exposure, which is far more efficient than equity options. ([My reply w/ details here](https://www.reddit.com/r/thetagang/s/aOc3WXLLIJ)). **Why /RTY?** I consider it a hidden gem. Unlike the S&P 500, roughly 40% of the Russell 2000 consists of companies with negative earnings. That fundamental lack of profitability leads to structurally higher implied volatility, which translates into better premium for option sellers. **What about the risks?** "Unlimited losses" is the first thing people think about when it comes to short strangles. Technically true // Practically irrelevant. Risk isn't about the strategy; it's about how you manage it. A 200% stop loss and a hard close at 21 DTE give my strategy a defined downside. I've only hit my stop loss during COVIDs fall and rise; I sat out waiting to re-enter when people started going back to work. **The Setup:** * **Open:** 90-120 DTE * **Delta:** 5-7 both sides (delta neutral) * **Close:** 21 DTE (typically captures 40-60%, averages \~50% – but I manage to the date, not the percentage) * **Stop loss:** 200% of credit received * **Position sizing:** Typically 5 or 10 strangles per expiration, but have pulled back to 2 recently due to the current climate * **Margin:** Never use more than 40% of account margin **Performance (7 years, all /RTY):** * 9-12% return on risk per strangle; annualizes to \~58% * Win rate: \~92% If other people are selling strangles on futures, I'm curious what you're doing! I'll check back after sleeping and answer any questions; I'll try to be as thorough as I can! Thanks for reading!