You can also sell front puts e.g 30DTE against the long puts (converting them to calendars) when vola is high. Chances that 30DTE puts with 30%...
I will start by selling 3 delta 2.5 and buying back 5 for less then credit received. If bought back, i will sell 3 again on 2.5 delta closes to...
Nice strategy tman. I will create a backtest for it so see its results from 2018 till now (SPX) Moment of start is of course very important. If...
You buy straddles when vola is low. You can then gamma scalp to earn back the lost theta till de vola rises, you can then close the positions with...
If you want to profit from volatility its better to look at calendars.
I understand the calculation, but the premium is much lower then 20% of SPY on 100$. See picture for premium and strike for spot at that moment....
I use my own software, it looks simplistic but i can do a lot of rules with it..
calculated three years, this is with 25% of premium..
See transactions, a 25% of premium would results in closing the transaction most of the time within a hour. Profits would then be small and losses...
min an max per expiration is in table. There could be multiple trades per expiration. I see i made a mistake :-) both options where puts, i shall...
Yes, i used 25% of premium (of complete straddle). What do you mean with 25% of width? Its a straddle, strikes are equal..
Calculated it for the SPX, see results.
Thanks!
IV is key, sell 2 week options when IV is low (or buy cheap options), sell longer dated when IV is high
https://www.lightspeed.com/pricing-fees/options
So do it the other way around, buy the straddles just before the close in this environment :-)
If you're happy with taking profits early please do. My backtests tell me otherwise...
Sometimes i closes positions early to relieve margin. Most of the time i let them expire or buy them back for 5 cent close to expiration. I don't...
The point is that taking profits early and don't cut your losses will lower the overall P&L. If you want to manage the position its better to...
SPY an to small product for this. The tx costs of SPX is in percentage a lot lower..
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