What is the logic of this trade? There is a premium b/c of higher demand from traders who roll their position to the next month?
Wednesday of the expiration week may be a day where some rolling activity starts - this is a bit of a mystery for me. Generally, when position is open OTM put and call have different values and deltas (put is more expensive and has a higher delta). This makes the whole position delta negative. If SPY moves lower the position gains. If SPY stays flat then time decay will produce a gain. If SPY moves higher then there is a notional loss. However, as the time goes by and SPY pulls back or stays somewhat higher but not by much time decay will produce a gain. My guess is that SPY should stay within +/-2 of the initial price or return to the initial price within position holding period.