Subject: Re: 6/3 Options on RRS126-2sigma
Since the options are 6/3, do you run 3 overlapping sets of options,so you have one set expiring each month? Or do you simply do it once per quarter? What is your base vs active ratio (e.g.: do you have 10% of the money in options, 90% in cash)? How do you go about selecting which options to buy once you have located the set of stocks?

I've shared all this in the past, but anyway;

Yes, there are 3 overlapping sets, with one rolling over each month. Every set begins with 1/9th of the current portfolio total, so on average I always have 1/3 invested in options. The remaining 2/3 are in cash or fixed income investments.
The options selected are 6 to 8 months from expiration and 0 to 10% OTM. Five different options are selected each month, in stocks for which I don't already hold options in the prior sets.

BTW, I responded from memory yesterday about the recent performance. June was actually a very good month too for my options.

Elan