#SPX1dte First time I’m altering this… SPX IV on tomorrow’s expiration is only 13% (in December, 1-day IV was between 21-33 all month). Historical Vol is running much higher than Implied Vol (daily chart), meaning options are underpriced. Daily ATR(14) is at 44.37, which is far above the 2018 average, even including Febd thru April.
On most days, my strikes will NOT be breached. But intraday swings will produce profitable exit opportunities. And on the days the strikes WILL be breached, profit can be 10x-20x, allowing me plenty of days that can result in losses. Also let’s me sleep easier knowing my losses are capped at the purchase price.
So, I’m developing a system to determine which conditions are best for switching from selling to buying. I believe the volatility levels described above are a sweet spot.
Bought to open $SPX Jan 25th 2570/2590-2675/2695 iron condors for .70.
Exit plan is to sell half (or a third) at first opportunity of swing, then hold the remainder for follow through.
Bought to cover 100 short shares for 42.71, sold short yesterday for 44.71
Sold (technically bought) a Feb. 15 39/40/40/42 call butterfly for .35. This is profitable if WDC goes down. WDC hasn’t been kind to #fallingknife traders as it was a little over 100 almost a year ago, now about 40. I have 100 assigned shares at a cost basis of 68, and have a short April 55 put that has been rolled a couple times. The call butterfly will ease the pain a little if it goes down.
Thanks for the info Jeff.