What to do about potential risk when we trade spx short options

how big is your account? spx options are expensive to execute

 

On SPX? Shorting 300 SPX 3600P is a $10 mil haircut. You're doing nothing to reduce that haircut by buying put cals.

 

No way your delta is negative unless the puts are written to offset the cost of your put calendars (being primary risk) or your short calls (primary risk). I can't imagine a broker that would want your business.

 

Things that make you go hmmmmm

 

Yep, close to ATM and with enough vega..
The put calendars are mostly vega controle, so strikes are much lower...

 

IB is doing my business already more then 10 years. Every year my returns are above 20% with DD below 10% so i must do something right...

 

Current greeks..

 

The Dec 3600P is 6.4 mid at >1D
The Dec/Jan 3700 cal is 3.4 mid.

So sure, I suppose I can see going vega+ by shorting one of the puts to bring the calendar two lot revenue neutral and then covering close to Dec exp. But as the primary trade (short the single) it's dumb.

 

That's basically 100 lot short 3700P out to Dex (theta).

 

Question? Do you do better returns with same or lower DD?