But are you aware of the fact that the $165 premium for strike 240 would mean a Delta of about 0.9361, not 1 ? And it has an IV of 38.3747. You better should check your numbers in an options calculator like this: https://optioncreator.com/options-calculator Here are the historical ATM statistics of SPY (site requires registration). So, maybe strike 165 can have an IV of 38 (due to VolatilitySmile), but as shown it's not Delta 1. For Delta 1 SPY would need to have an IV > 600 , which is very very unrealistic. But OTOH if such a Delta of "only" 0.93 is sufficient, then the strategy is maybe not bad I haven't tested this scenario yet, but it indeed could be interesting.
The above analysis was done with a risk-free rate 0%. Using a risk-free rate of 2.1% for the said strike 240 makes its Delta almost 1 (0.993), and this then means an IV of 17.0. The calculators I tried give an error when entering a risk-free rate > 2.1% as then IV becomes negative . So, this new analysis by also recognising the risk-free rate indicates that the strategy is indeed realistic and can function... It invalidates also my old analysis which too was done with only a risk-free rate of 0%. So we see how much the risk-free interest rate can have an impact on the results...
Leverage: Leveraging Up and In Options for Enhanced Returns' - That's the book name. I found it online from the quotes the OP shared. I dunno who is the author, but I think you can download it online.
I think you mean this link found by google, but it's just a web link, not a book: https://fastercapital.com/content/Leverage--Leveraging-Up-and-In-Options-for-Enhanced-Returns.html
Do you remember what the title of the book was, or any link that describes/analyses the strategy in some more detail?
I think it's just an article or a piece of a book that has never been published. As I see from your discussion and the calculator you've shared here, those sources can't be counted as trustworthy. Well, the saddest thing is that even when you sign up for a class, tutors share papers like this, where you never know the title or the author's name. Besides, they usually support it by saying, 'I just printed it out for you. The most important part is you don't need to read the whole BOOK.' I found this link just by taking a quote from the OP's post, leading me to this link.
Maybe just happening as his profile says: "@shMark was last seen: Tuesday at 6:33 PM". Ie. maybe no time for ET anymore IMO he indeed has a system as the latest analyses show.
Sure. There were two. I am reading another book with a similar strategy, but here are the two. One of them is free.