Active /ES Trader Playbook
Working Version — Revision 1
Purpose. A simple, rules-based framework for entering and managing one /ES 1-1-1 campaign per week while harvesting premium and using the defined-risk put spread as the downside trap/protection.
Core philosophy. Build the trade around current market structure, collect substantial premium, maintain very high theoretical POP, and never allow the desire for additional credit to override account risk. The PDS is defined risk, but the complete 1-1-1 is not defined risk because the far OTM put is naked.
1. The 1-1-1 Structure
A 1-1-1 consists of three puts with the same expiration:
| Leg | Action | Purpose |
| Long Put | Buy 1 | Downside protection / trap |
| PDS Short Put | Sell 1 | Creates the defined-risk put spread |
| Far OTM Short Put | Sell 1 | Additional premium; primary tail risk |
Strike order: Long Put > PDS Short Put > Far OTM Short Put.
Example: Buy 7,550 put / Sell 7,500 put / Sell 7,000 put.
Standard PDS width: 50 /ES points, but width may change when a materially better complete construction results.
Each campaign consists of one /ES tranche. Total simultaneous campaigns are governed by account risk and margin capacity.
2. The Three Tiers
| Tier 1 | Tier 2 | Tier 3 | |
| Entry DTE | 45–75 | 76–120 | 121–180 |
| Net Opening Credit | $800+ | $1,000+ | $1,300+ |
| Theta Target | 35+ | 30+ | 25+ |
| Long Put | ~25Δ | ~25Δ | ~25Δ |
| PDS | 50 pts standard | 50 pts standard | 50 pts standard |
| Far OTM Put | ~5–10Δ | ~5–10Δ | ~5–10Δ |
| POP | 98%+ | 98%+ | 98%+ |
Tier assignment uses actual DTE at entry; no rounding. The shortest qualifying expiration is preferred because it generally provides faster theta decay. A farther expiration may be chosen when it creates a materially better complete construction. Theta is preferred, not mandatory.
3. Hard Entry Requirements
Complete-position POP must be 98%+ in Tastytrade; below 98% = no entry. POP is a model estimate, not a guarantee of success, and must never be treated as a substitute for risk analysis.
Net Opening Credit must meet the tier minimum: $800 / $1,000 / $1,300.
Correct tier DTE is required.
Adequate Maintenance Excess, Buying Power, SPAN capacity, stress capacity, and liquidity are required.
Liquidity and execution must be acceptable.
Net Opening Credit = gross opening credit minus commissions and transaction fees.
4. Preferred Construction
Long Put: ~25Δ ideal starting point for all tiers.
PDS: 50 points standard, not mandatory.
Far OTM Put: ~5–10Δ preferred, not mandatory.
Far OTM put should generally be well below the lower regression-channel boundary.
Do not move strikes simply to manufacture additional credit.
Objective: best complete construction, not highest premium.
5. Strike Selection Order
Select the long put at ~25Δ.
Place the PDS short put ~50 points below the long put.
Select the far OTM put around 5–10Δ and generally well below the lower channel.
Evaluate the complete trade for POP, credit, theta, channel position, far-put distance, BP, Maintenance Excess, SPAN, stress, and liquidity.
6. Regression Channel
Use the Linear Regression Trendline with a 14-period length and channels at 2 standard errors. The 14-period channel is a short-term location tool; it is not a long-term trend measure.
Use it to evaluate /ES location, pullback extension, trend behavior, and strike placement.
Preferred: /ES near the lower channel while the regression trend is turning/trending upward, or /ES staying relatively tight around the middle line.
Consider both upper and lower boundaries when constructing the trade.
Keep the far OTM put well below the lower boundary whenever practical.
The regression channel is construction/context guidance, not a hard forecast.
Use a two-year daily chart for broad market context, major trend, and longer-term price location.
Use the 10-, 20-, and 30-day simple moving averages as additional short-term trend/alignment context.
Decision hierarchy: the two-year daily chart provides broad context; the 14-period regression channel provides short-term location; the 10/20/30-day SMAs provide additional alignment. None is an automatic entry signal.
7. VIX and IVR
VIX is context, not an entry filter. Elevated VIX can create richer premium and attractive setups. Evaluate VIX level/direction, /ES decline speed, stabilization, channel location, premium, BP/SPAN, and stress.
IVR ≥25 is preferred, not mandatory; record it at entry for later validation.
8. Weekly Entry Cadence
Target approximately one new 1-1-1 campaign per week.
Wednesday around noon is the standard scheduled opportunity.
A qualifying 1%+ RTH pullback earlier in the week becomes that week’s potential entry.
If it qualifies, enter without waiting for Wednesday noon.
Once the weekly campaign is entered, do not open a second 1-1-1 that week.
9. The 1% Pullback Trigger
A decline of approximately 1% or more from the day’s RTH high triggers a 1-1-1 review. RTH = 9:30 AM–4:00 PM Eastern. Overnight price action does not establish the RTH high. The 1% move is a review trigger, not an automatic entry.
10. Weekly Trade Does Not Have to Be Forced
If no qualifying pullback occurs, use Wednesday noon for the standard evaluation.
Evaluate another qualifying tier if the intended tier fails.
Wait for a better setup later in the week.
Skip the week if nothing qualifies.
Approximately one trade per week is the objective—not one trade at any cost.
11. Tier Selection
When multiple tiers qualify, choose the best overall risk-adjusted opportunity and best construction relative to the regression-channel boundaries. Do not automatically choose shortest DTE, highest credit, highest theta, or longest DTE.
12. Account Risk Comes First
Reject a trade if the account cannot safely support it.
Evaluate drawdown, Maintenance Excess, BP, SPAN expansion, stress loss, and liquid reserves.
No fixed Maintenance Excess percentage is finalized yet; validate it from actual data.
Maintenance Excess must be recorded in both dollars and as a percentage of Net Liquidating Value. No new campaign may be opened when current or stressed Maintenance Excess is insufficient to carry the full portfolio without unacceptable risk of forced reduction.
No arbitrary maximum campaign count; account-level capacity governs.
WORKING STRESS CARD
Normal selloff: /ES −5%, VIX +10 points.
Severe selloff: /ES −10%, VIX +20 points.
Gap event: /ES −15%, VIX +30 points.
These are hypothetical risk scenarios, not forecasts or stop-loss levels. They remain working inputs until validated against historical /ES behavior and actual campaign results.
ACCOUNT RISK KILL SWITCH
No fixed percentage P/L stop is used at the trade level. However, account-level risk is a hard constraint: if severe-stress exposure, Maintenance Excess, BP, SPAN, or other account-capacity conditions indicate that the portfolio can no longer be carried safely, risk must be reduced. This may require closing or reducing a campaign even when the individual trade has not reached a normal exit trigger.
Stress-Test Convention: Apply the stated /ES move and VIX increase simultaneously to the complete position using the same platform/pricing engine and the same snapshot time. For normal and severe selloffs, use a five-trading-day horizon. For the gap event, use an immediate repricing assumption with reduced liquidity and estimated adverse exit cost.
13. Campaign Definition
A campaign is the complete three-leg 1-1-1. Normally open, manage, and close the three legs together. Adjustments remain under the same Campaign ID. The term ‘re-center’ is removed from the 1-1-1 playbook because it came from prior strangle management.
14. Entry Execution
Enter the complete three-leg position as one package limit order whenever practical.
Work the order while the construction remains valid.
Improve the limit gradually only while qualified.
Do not chase.
Never move below the tier’s Net Opening Credit requirement.
Cancel and reassess if the market materially changes.
No fixed order-working time limit.
A missed trade is better than a bad fill.
15. Normal Profit Exit
Close the campaign when current net campaign P/L reaches approximately 70–80% of the original Net Opening Credit, unless a trap or hard risk rule calls for an earlier exit.
Example: $800 original Net Opening Credit → $560–$640 normal target. Roll credits do not reset or extend this target.
16. Delta-Based Profit Exit
Close the entire campaign when the far OTM short put falls below 2Δ, even if the 70–80% target has not been reached. The first applicable normal exit condition wins.
17. No Fixed Loss Stop
No fixed percentage loss stop is used. Temporary losses do not automatically invalidate a campaign. Evaluate far-put delta, trap status, structure, channel, BP, SPAN, stress, liquidity, DTE, and thesis. Close early when risk or structure materially deteriorates.
18. The Trap
The 1-1-1 is in the trap when a significant /ES decline causes the defined-risk PDS to become meaningfully profitable/protective while the long put provides increasing downside value, and the combined position’s P/L and risk profile show that the structure is benefiting from the decline. The far OTM short put remains the primary risk that must be monitored.
The trap is evaluated on the complete campaign. The market move activates the trap; position behavior confirms it.
19. Managing a Profitable Trap
Manage by overall campaign P/L and remaining risk, not a fixed PDS target.
Evaluate combined P/L, PDS remaining value, far-put risk, DTE, BP, Maintenance Excess, SPAN, and potential additional reward.
A trap may continue beyond 100% or 150% of original credit if the structure remains favorable.
Once substantially profitable, shift increasingly toward profit protection.
20. Trap Profit Protection
No fixed giveback threshold is finalized. Use both profit giveback and evidence that /ES is moving out of the favorable trap. Close when the underlying begins moving out of the trap rather than waiting for an arbitrary percentage.
TRAP-SPECIFIC JOURNAL REQUIREMENT
For every trap campaign, record Peak Campaign P/L, Current Campaign P/L, far-put delta, PDS value, DTE, and the reason for continuing or exiting. Peak P/L is required for trap campaigns only; it is not required for ordinary campaigns.
21. Far OTM Put Management
Far put is the primary tail-risk leg.
Normal target: ~5–10Δ.
When /ES rises, the far put may be rolled upward to collect additional credit when appropriately constructed.
When /ES falls, the far put enters defensive management as delta rises.
22. Far OTM Put — 30Δ Defensive Trigger
At approximately 30Δ, the far OTM short put triggers a mandatory defensive review. This is a decision point, not an automatic roll.
Choice 1: roll down and out for a meaningful net credit if the adjustment materially improves risk. Choice 2: close the campaign if no qualified roll exists or the roll does not sufficiently improve the position.
Review new delta, distance below the lower channel, credit, POP, BP/Maintenance Excess, SPAN, stress, VIX /ES behavior, liquidity, and campaign P/L.
23. Far Put Roll Credit
Every non-emergency far OTM put roll must produce a meaningful net credit. A debit adjustment is permitted only under the emergency risk-reduction exception in Section 25. A roll must also be clearly better than closing the campaign.
24. Upward Far-Put Rolls
Roll upward only when it produces a meaningful net credit and the resulting position remains appropriate.
Far put should normally remain ≤10Δ.
Replacement should preferably remain comfortably below the lower regression channel.
Do not move closer simply to increase credit. If a qualified roll cannot be achieved, do not force it.
25. Defensive Far-Put Rolls
When /ES falls, a down-and-out roll may be considered only when it materially improves the risk profile. A net credit is strongly preferred and is the standard protocol. A debit adjustment is not part of normal management and may be considered only as an emergency risk-reduction measure when it materially reduces severe-stress loss, peak BP, or forced-liquidation risk and is clearly better than closing the campaign.
26. PDS Management
The PDS short put has no automatic delta-based adjustment trigger. It is defined-risk and may become increasingly profitable as /ES declines. A 30Δ PDS short put does not, by itself, require adjustment. Manage it through overall P/L, trap status, long-put/PDS value, far-put risk, DTE, BP, SPAN, stress, and structure.
27. PDS Width
50 points is standard but not mandatory. A different width may be used when it produces a materially better complete construction. ‘Materially better’ is trader judgment based on POP, credit, theta, far-put position, channel, BP, SPAN, stress, liquidity, and risk/reward.
28. 21 DTE Rule
At 21 DTE every campaign receives a mandatory review. This is a mandatory decision point, not an automatic liquidation rule. A normal campaign should generally be closed unless there is a clear, documented reason to continue. A trapped campaign may continue only when the complete position remains demonstrably favorable, the far naked put remains sufficiently distant and low-delta, the PDS provides meaningful protection/value, campaign P/L and structure remain favorable, BP/Maintenance Excess and SPAN/stress remain acceptable, and remaining time offers a reasonable opportunity. If the far naked put is becoming a meaningful expiration or gamma risk, the far put must be closed or otherwise defensively managed rather than simply allowing the package to continue because it is profitable. No campaign should be allowed to drift toward expiration merely because the trap is profitable. Any campaign continued past 21 DTE must be reviewed daily and must have a documented planned exit date.
29. Early Campaign Failure
/ES behavior materially changes.
Far-put risk increases.
Regression structure becomes unfavorable.
VIX becomes disorderly.
Liquidity deteriorates.
BP/Maintenance Excess becomes unfavorable.
SPAN expands materially.
Stress becomes unacceptable.
Qualified defensive roll is unavailable.
No fixed percentage loss is required to authorize an early exit.
30. Expiration / Exercise
Any qualifying /ES expiration may be used. Before entry, identify the specific expiration, type, exercise style, and settlement characteristics. The 21-DTE review applies regardless of expiration type. Do not assume all /ES expirations have identical mechanics. Normally close before expiration unless an explicit product-specific plan has been reviewed.
31. Simplified Trade Journal
ENTRY: Date/time; /ES price; Tier; DTE; three strikes/deltas; Net Opening Credit; POP; Theta; VIX; IVR; Maintenance Excess.
MANAGEMENT — only when something happens: Date; action; far-put delta; roll credit/debit; reason. For trap campaigns also record Peak Campaign P/L, Current Campaign P/L, PDS value, DTE, and the reason for continuing or exiting.
EXIT: Date; DTE; Final P/L; % of original Net Opening Credit; exit reason.
The Tastytrade construction screenshot can serve as the detailed backup record.
32. Campaign P/L Tracking
Original Net Opening Credit
Additional roll credits/debits
Total Net Credits Collected
Current/Final Campaign P/L
Final Realized P/L
Peak unrealized profit is not a required primary journal metric.
33. Hard vs. Preferred Rules
| HARD REQUIREMENTS | PREFERRED TARGETS |
| POP ≥98% | ~25Δ long put |
| Correct DTE tier | 50-point PDS |
| Tier Net Opening Credit | ~5–10Δ far put |
| Account capacity | Tier theta target |
| Maintenance Excess / BP / SPAN / stress | IVR ≥25 |
| Acceptable liquidity / execution | Far put well below lower channel |
| Shortest qualifying DTE | |
| Favorable channel location |
Hard requirements govern whether we can trade. Preferred targets guide construction.
34. Weekly Decision Tree
1%+ RTH pullback → evaluate immediately; otherwise Wednesday around noon is the standard opportunity.
Choose the best qualifying tier.
Build ~25Δ long → ~50-point PDS → ~5–10Δ far put well below lower channel.
Verify POP ≥98%, tier credit, DTE, account capacity, stress/BP/SPAN, and liquidity.
Work the package limit order without chasing.
Manage the complete campaign.
Normal exit: 70–80% of original Net Opening Credit or far put <2Δ.
Far put ~30Δ → mandatory defensive review: qualified risk-improving roll—normally for meaningful net credit—or close.
Trap → allow it to work while structure remains favorable.
21 DTE → mandatory review; normal campaign closes, trap may continue only if it passes review.
35. Core Philosophy
Build one high-POP 1-1-1 at a time.
Do not sacrifice distance simply to reach a credit number.
Use ~25Δ / 50-point PDS / ~5–10Δ as normal construction.
Use the regression channel for market location and strike placement.
Use a 1% RTH pullback or Wednesday noon as the weekly opportunity.
Aim for approximately one new campaign per week.
Let actual account capacity determine whether another campaign can be added.
The far naked put is the primary risk leg.
30Δ on the far put means stop and decide: qualified risk-improving roll—normally for meaningful net credit—or close.
The PDS is the trap mechanism and is not automatically adjusted at 30Δ.
Do not use fixed loss stops that interfere with the trap.
Do not force a trade, force a roll, or chase a fill.
Manage the campaign as one complete position.
36. Items Still Requiring Validation
Exact stress-test scenarios for /ES.
Account-level risk capacity / portfolio heat using actual account and Maintenance Excess behavior.
More precise definition of a meaningful defensive roll.
Whether a specific trap profit-giveback threshold improves results.
Historical validation of the 70–80% profit target.
WORKING DOCUMENT — NOT YET FROZEN FOR LIVE TRADING.
37. Portfolio Expiration Concentration — Rule #90
There is no fixed maximum number of campaigns sharing a similar expiration. When otherwise comparable choices exist, prefer to stagger expirations so the portfolio does not have all campaigns reaching their critical management periods at the same time.
Do not force expiration diversification when it materially worsens the trade.
Evaluate expiration clustering as part of combined portfolio stress.
A new campaign may be rejected if its expiration materially increases an existing concentration of management or settlement risk.
38. Campaign Priority — Rule #91
When portfolio capacity is limited, manage existing campaigns before adding new risk.
First consider campaigns already at a normal profit exit.
Next consider campaigns at 21 DTE or another formal review point.
Next consider campaigns whose structure has materially deteriorated.
Do not close a healthy campaign solely because a new trade is available.
39. No Averaging Into a Losing Campaign — Rule #92
Do not add another /ES tranche to a losing 1-1-1 to lower its average cost or accelerate recovery.
A defensive adjustment must improve the existing campaign’s risk profile; it is not permission to increase size.
40. No Automatic Re-Entry — Rule #93
After closing a campaign, do not immediately reopen a substantially similar campaign simply because the market remains in the same area.
A new campaign must independently satisfy the weekly entry process.
Re-entry is allowed only when the new setup is materially re-evaluated and portfolio capacity remains acceptable.
The weekly one-campaign objective does not justify churn.
41. Event Risk — Rule #94
Scheduled high-impact events are a context variable, not an automatic no-trade rule.
Before entry, know whether major scheduled events fall inside the campaign’s expected holding period.
Do not reject a trade solely because an event is approaching if the complete risk profile remains acceptable.
Do not use event risk as a reason to ignore deteriorating BP, SPAN, stress, or far-put exposure.
42. Fast-Market Rule — Rule #95
When /ES is moving rapidly, construction quality takes priority over speed.
Do not chase a package fill.
Do not widen the PDS or move the far put closer solely to force an entry.
If spreads become materially wider or liquidity deteriorates, cancel and reassess.
A missed opportunity is preferable to entering a structurally inferior position.
43. Adjustment Discipline — Rule #96
Adjustments are made only when they improve the existing campaign; they are not made simply because a leg has moved against the trader.
Do not adjust the PDS merely because its delta changes.
Do not roll the far put merely to avoid realizing a loss.
Do not roll for a token credit.
Do not make multiple adjustments simply to keep a campaign alive.
The preferred sequence is: evaluate the complete campaign → identify the specific risk → test the adjustment → compare with closing → execute only if the adjustment is clearly superior.
44. Roll Comparison — Rule #97
Every proposed far-put roll must be compared directly with closing the campaign. A roll is not successful merely because it produces a credit. It must improve the position enough to be preferable to closing, after considering downside distance, delta, stress, BP/SPAN, DTE, liquidity, and total campaign P/L. If that comparison is not clearly favorable, close.
Ask: Does the roll meaningfully improve distance and risk while producing a meaningful net credit, and is that improvement better than simply taking the current campaign result and moving on?
If the answer is not clearly yes, close.
45. Expiration Safety — Rule #98
The campaign should normally be closed before expiration. The exact exercise and settlement mechanics must be verified for the specific /ES option series before allowing a position to approach expiration.
CME currently describes Monday, Wednesday, and Friday weekly options and EOM options on E-mini S&P 500 futures as European-style; Tuesday and Thursday weekly E-mini S&P 500 options are also European-style. CME’s standard quarterly E-mini S&P 500 options are American-style. European-style options cannot be exercised before expiration, while American-style options can be exercised before expiration. At expiration, European-style options that are in the money are automatically exercised under the applicable CME fixing procedure. Always verify the exact option series and current CME specifications before expiration.
For European-style /ES options, CME uses an expiration-day fixing to determine whether options are in the money; in-the-money options are automatically exercised and the resulting futures position is created according to the contract’s settlement procedure. This is why the playbook treats expiration as a risk-management deadline rather than an objective for extracting the final dollars of theta.
The playbook therefore treats expiration as a risk-management deadline, not an objective for extracting the final dollars of theta.
46. Closing Priority — Rule #99
When an exit condition is met, the campaign should be closed as a complete package unless a specific defensive adjustment rule applies.
Do not leave profitable legs open merely to harvest a small amount of additional premium.
Do not keep the far put open after the campaign’s normal exit simply because it has very low delta.
Do not separate legs after the campaign has reached a normal exit unless there is a documented risk-management reason.
47. Weekly Review — Rule #100
At the end of each week, review the week’s campaign activity without changing rules based on a single outcome.
Was the entry process followed?
Did the trade satisfy the hard requirements?
Was the construction consistent with preferred targets?
Were adjustments made for a defined reason?
Was the campaign closed according to the rules?
What was the final realized P/L?
Rule changes should be based on a meaningful sample of trades, not on one winner or loser.
48. Rule Hierarchy — Final Operating Order
When rules appear to conflict, use this order of priority. The higher-level rule always overrides the lower-level optimization:
Account survival and portfolio risk.
Hard entry requirements.
Hard defensive triggers.
Campaign-level profit and exit rules.
Preferred construction targets.
Premium optimization.
In plain English: never sacrifice account safety to preserve a trade, and never sacrifice trade quality simply to collect more credit.
49. What We Will Validate With Real Trade Data
Appropriate severe-stress account limit.
Appropriate portfolio heat.
Strike-concentration thresholds.
Expiration-concentration thresholds.
Meaningful roll-credit threshold.
Trap profit-giveback behavior.
70–80% profit-exit effectiveness.
Whether the 1% pullback trigger improves entry quality versus Wednesday-only entry.
Whether shorter DTE actually improves risk-adjusted results after accounting for management and drawdowns.
50. Revision 3 Audit Corrections
Strategy rules should be changed only after reviewing a meaningful sample of trades, not after isolated outcomes.
Upward rolls must preserve risk distance; additional credit is secondary to maintaining a safe far-put location.
A far-put roll must be better than closing, not merely credit-positive.
One new campaign per week is an entry cadence, not a hard cap on the number of campaigns that can remain open.
Expiration mechanics are series-specific. Verify the exact /ES option series and current CME specifications before expiration.
The 21-DTE rule is a mandatory review point; it is not an automatic forced close when a documented, favorable reason to continue exists.
The trap is defined by complete-position behavior and risk, not by PDS profitability alone.
Current net campaign P/L is the open-position metric; Final Realized P/L is the closed-position metric.
POP is treated as a probability model estimate, not a guarantee.
VALIDATION PROTOCOL
Do not materially rewrite the strategy based on a single winner or loser. Use the next 20 closed campaigns as the first validation sample. Track entries, adjustments, exits, trap behavior, peak P/L on traps, stress behavior, and account capacity. After the sample, review whether any preferred target should become a hard rule—or whether any hard rule should be revised.
FREEZE STATUS: This Version 1.0 is the baseline operating system for the next 20 closed active-system campaigns. Do not materially change the rules based on individual trade outcomes. Reassess the system only after reviewing the 20-campaign validation sample and the supporting journal data.
VERSION 1.0 — FROZEN OPERATING RULES
Current CME references used for expiration mechanics: CME Group’s Weekly & EOM /ES FAQ and Tuesday/Thursday /ES FAQ. See CME product specifications before trading or holding an option into expiration.