SPY Options Arb

Discussion in 'Options' started by guru, Aug 3, 2021.

  1. destriero

    destriero

    It looks decent bc you're avoiding the stress post auto-ex on the Sep10s. If you swap the Sep10s for Sep17s the stress adds $350 to the loss on the downside.
     
    #11     Aug 3, 2021
  2. guru

    guru


    Your expiry in ToS shows Sept-18, while the first option expires Sept 10, so looks like you're exercising/converting it to shares. But my ToS graph shows profitability by Sept 10, and even by August 22. So supposedly I could sell it by August 22nd with guaranteed profit.

    Though I suspect this trade may be difficult to execute properly and I might've overpaid because "guaranteed" profit shows as only $0.50 ($50) on such complex combo. This doesn't leave any room for error or slippage. Still, I may just watch it and see how this trade works. I was only aiming for high R/R, and this one came up.
     
    #12     Aug 3, 2021
  3. destriero

    destriero


    Sep12 follows the expiry line. It's a cheap front spread (terminally), but the haircut is poor. You need 300 SPX to make anything. I am not knocking it, but a long gamma 132 call fly will outperform.

    There is no benefit to paying the vig on those deeps. You can delete the D1 and do better in all vol.
     
    #13     Aug 3, 2021
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  4. destriero

    destriero

    Debit of $35. Req of $1,035. $35 risk to zero. 1:1 upside risk.
     
    #14     Aug 3, 2021
    yc47ib and guru like this.