My experience has been not worth the effort, while profitable, started trading 3-5 SPX 8-12 delta on weekly and monthly since 2018, one or two bad trades will knock you out cold. That's why I swiched to futures.
Its a 5 year period. And longer is not needed, what matters is that you see positive P&L days on down days!
Shorting low delta options is all about risk management. This is an side strategy, hedging negative delta/ positive theta strategies..
Not if pocketing premiums is the objective of the game. If just for protection, why 2.5 delta, not 10-15 delta. When was the last time SPX at 2800?
still he is paying next to nothing for things that’s unlikely to happen and also not much gains even if it happened. that’s not a rolling structure in my mind. 2800 is too low a bar to protect.
they earn on the MTM. If the market sells off 10percent, the likelihood of a 20percent correction goes up and that brings the whole skew up…. so the theory goes. In 2020 it paid off, in 2022 not so much.
The exercise strikes me as impractical and theoretically questionable. IMHO I wouldn't be racing to submit the idea to any peer-reviewed academic journals yet. Just my 2 cents; no offense intended to OP.