What do you think about this study? Collecting reasonable amount of premium and not taking on too much risk? Short Put Option Payoff Results from 41,600 Trades https://www.projectfinance.com/short-put-management/
Here's the base case with no early exits trading every 5 days. The problem is the monthly losses here in terms of the SPY stock price. https://gyazo.com/8e9fccdcaded785d4b234ab791cec6bd https://gyazo.com/f4fc0a58a3bc6b5920e8f636d4cf4bbc https://gyazo.com/fbd02d1d34f3573dacb0881dfccfd2be
Just for clarification: I think by "16 delta" they mean a strike that is $16 higher than the current spot (as they shortsell Puts). This has nothing to do with the delta of the option Greeks, IMO.
Do you mean trading every day the DTE=45 (in reality varying from 30 to 60 b/c of only monthly options were avail back then), or trading just every 5th day?
how about someone post a real world strike and price of what the believe to be a 16 delta. Keep it simple thanks
Watched Christ's YouTube videos oftern, lot of good training and intros. I had traded delta 10-15 weekly SPX Put spreads for 2 years on my mobile phone, the result is that it is not worth it, barely broke even. Perhaps if I trade SPY it would be different, can take assignement and wait for the bounce, rather thatn cash settled.
Instead of trading only every 45 days the 16 delta and waiting to expiration, which could miss some moves and lead to path dependency, I instructed the backtest to trade every 5 days the 45 DTE 16 delta short put.
Hmm. still unclear to me how you did it b/c saying "Instead of trading only every 45 days" IMO contradicts their methodology as they opened every day a position (and in one of the test variants held it till expiration in 30 to 60 days). Their conclusion is this: "Since 2007, doing nothing and simply holding short put positions (16-delta, 30-60 DTE) to expiration has resulted in the highest average P/L per trade."