35k in margin will afford you the luxury of selling apx 10> 51dte >0.10 delta puts.. You would be short the 91% of spot put,taking in apx 1.10 per option,for a total credit of 11 bucks.. 11 dollars in premium on a 321.86 index is a 3.42% return would annualize to apx 24% assuming you collected the full premium each month.. The catch is you are short 10 >0.10 delta puts on a 100k account,which would be 294k if assigned on the short puts.Compare that to having the equivalent delta of 100 shares in the SPY,you would only be long 32k of SPY... The puts you are short are the 91 percent of spot,only 9 percent OTM..You really want to get long 3x your bank on a 9 percent move down??? Vol is way too cheap..And I know you will manage your position,but I dont see any edge in selling 10 >91% spot puts in the SPY vs buying 100 shares.. Not saying you will blow up,but you could easily give away the year if you arent exceedingly disciplined....and lucky
Yep, you just keep stickin' to those academic papers. Like you once said, I'm just an angry failed vol trader. Ignore me.
So you are saying regardless of the level of implied vol, one is better off selling 10 > Delta .10 puts than buying 100 shares in the index??
...and my apologies. I have no reason to assume you were trolling, and including you with Bobby and Draft in my above comment, was inappropriate.
No. I'm saying selling puts systematically has a positive expected value. Academic papers are a great source for idea generation. It does not take much brains to realize that implied on average over states realized and that skew is systematically over priced.
I work with a lot of ex-military and I say, "if I didn't want any crap, I wouldn't be here." No worries
Once again, thank you for incisively illustrating my shortcoming. I only wish I had known this sooner, and could therefore have entered into a different field.