Things I've come across lately

I've come across some interesting articles on computing the "mathematical advantage" of option trades, all by C. B. Reehl in Futures Magazine:

August 2002: Determining Expected Results of an Option Trade
December 2002: Calculating Optimum Position Size for Option Trades
March 2003: Covering Up With Options

You can download the spreadsheets to go along with the articles from the magazine's web site. Also, all the concepts in the articles can be found in Reehl's book (which I just received today from Amazon!) called The Mathematics of Options Trading.

It seems straightforward to implement Reehl's strategies. Right now, I've got a few options trades working for June expiration, which I put on before I learned of the "mathematical expectation" concept:

Execution Date	Action Description	Quantity	Symbol	Description	Price	Commission	Reg Fees	Total Cost
5/4/2009	Sell To Open	3	.QGMRH	GMCR JUN 40 Put	$0.40	$14.95	$0.03	$105.02
5/1/2009	Sell To Open	1	.QHBRD	FSLR JUN 120 Put	$1.30	$14.95	$0.02	$115.03
5/1/2009	Sell To Open	1	.AMQRI	AMGN JUN 45 Put	$1.27	$14.95	$0.02	$112.03
4/27/2009	Sell To Open	2	.INTRF	INT JUN 30 Put	$1.10	$14.95	$0.02	$205.03
4/27/2009	Sell To Open	2	.MVLRE	MVL JUN 25 Put	$0.70	$14.95	$0.03	$122.02
4/27/2009	Sell To Open	2	.DRCRE	DRC JUN 25 Put	$1.40	$14.95	$0.02	$265.03
4/27/2009	Sell To Open	2	.SQMRE	SQM JUN 25 Put	$0.95	$14.95	$0.02	$175.03
4/27/2009	Sell To Open	2	.NQZRX	TNDM JUN 22.5 Put	$1.45	$14.95	$0.02	$275.03
4/27/2009	Sell To Open	2	.CQNRH	CERN JUN 40 Put	$0.95	$14.95	$0.02	$175.03
4/27/2009	Sell To Open	2	.QBQRV	BECN JUN 12.5 Put	$0.55	$14.95	$0.02	$95.03
4/27/2009	Sell To Open	2	.UZKRI	SOHU JUN 45 Put	$2.05	$14.95	$0.03	$395.02
4/27/2009	Sell To Open	2	.QNQRZ	NFLX JUN 37.5 Put	$1.60	$14.95	$0.02	$305.03
4/27/2009	Sell To Open	2	.QYGRY	SYNA JUN 27.5 Put	$0.95	$14.95	$0.02	$175.03

So far the positions are working well, way below my break-even point for each one.