How a Professor Discovered a Winning 0 DTE Futures Strategy
He shows how his ”$1 per day" rule helped him string together 12 straight profitable months without a single four-figure loss
- James William Rohlf, 73
- Buzzards Bay, Massachusetts
- Years trading: 44
A physics professor reveals how he achieved positive annual returns by using a mechanical strategy to trade crude oil options. Beginning with capital of $50,000, he generated $18,000 profit trading 0-2 DTE strangles three times per week. He shares the “$1 per day” rule he used to put together 12 straight profitable months without a single four-figure loss .
How (and why) did you start trading?
I started trading when I got my first job as a way to build personal wealth.
Favorite trading strategy?
Naked short strangles. Start a trade with a strike plus and minus one dollar, so one dollar per day to expiration—that way the volatility picks the delta for me. So, if the volatility is low, that means a small delta, and if the volatility is high thats a big delta, and that’s what i want.
Which financial instruments do you most frequently trade?
I trade /CL crude oil futures contracts for the liquidity and the volatility. Crude oil has been trading in a relatively narrow range in the last couple of years
Tell us about the success you’ve had trading.
Profit on every \CL contract (M, W, F), 150 expirations per year with very few rolls.
Tell us about your worst trading moment.
During the 1986 crash, I was holding way too many short puts on Digital Equipment Corp. But I never lose more than a few hundred dollars on a trade, never in the thousands.
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