BTW, there is zero volume on those puts today and the open interest is 7 contracts. Mods close this thread please.
given the strikes, they will be worthless long before 5 months , so I'l close them before then . Admittedly, it's probably not a great trade. I'm combining this with shorting SPY to keep the deltas neutral, so there is a pretty wide range of potential profit. The market could fall 5% and I'll come out ahead on both after a few months or so. I'm using https://www.getvolatility.com to try to find SPY strategies that have high sharpe ratios when held for a short duration (1 week) . It;s easy to get high sharpes when holding for months, but this not take into account path dependence
according to the simulator using august results when the vix did get close to 60, the SPY 190, the contract would get as high as 25, which is still pretty bad A test with UVXY using similar august parameters also shows large losses
Dude, don't use a retail platform to tell you where the put is. I have a spreadsheet with a good pricing model that is accurate. My prices are correct. I have never seen a retail platform give even a remotely accurate answer for simulated prices. The puts are going to 45 dude. And that is what a vol of 60. If we dropped to 1900 fast that vol could be a lot higher. So 45 might even be low balling it. Not to mention the spreads would start getting really wide.
So what you're saying is your spreadsheet that has a single guy looking at it to find potential issues or bugs is more accurate than retail software that has thousands of guys looking at it or live data feeds updating greeks in real time? Learning something new every day - you may want to sell your knowledge (or spreadsheet) to these retail platform companies - I'm sure they would save a lot of development $$$ and end up with happier customers