The results are in - happily, after adding up the 2009 trades that closed in 2010, and also the 2010 closing in 2010, the average percent combined was exactly the same as the DJIA for the year, with a lot more safety via the ITM calls! The 11.06% was a combined total of 13.27% for the 2009 opening trades and the 8.85% of the ones in 2010 - thanks to torpedoes of BP, UVV ( a tobacco company that tanked on earnings), and a misstep into the TLT (twice).
Since the DITM is designed to accommodate all markets but the BEAR (20%), the May FlashCrash was not a problem. 11% also happens to be about the historical average of stocks for over a century, and certainly much of an improvement over the past "Lost" decade of flat returns - with the expectancy of similar returns for the next decade.
The returns were calculated by averaging percentages, rather than total debits/credits, since the 5-6 month trading duration involves using the same dollars more than once, making an annualized number impossible.
The next variation will be to ladder annual and semi-annual dividends captured with a ITM call each month. Harry Domash of Dividend Detective (and the SF Chronicle) has kindly sent me a list to screen.
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