The SPY Ladder Strategy is not contributing much to the account….so far. Hopefully things will improve with experience.
We started the ladder in Feb selling March IC’s. As we approach 21 DTE we close and open new positions 45-50 days out (if available). We have opened 302 positions……600+ trades including closing. So far Schwab is making more money than I am! Commissions are slightly higher than the profits so far.
What am I learning….
- It is really hard not to adjust….which I should not be doing. Adjusting takes incremental investment. The IC’s are each defined risk….and I should let them ride. I have rolled up the untested side on a number of occasions but the end result is narrowing the spread of the body. When the SPY moves in the other direction it doesn’t take long to put the rolled position under pressure.
- Need to establish wider “width” in the IC body. At least 30 delta. Premiums are much more attractive at 20…..always tempting to go narrower.
- Very hard to make money if volatility goes below 15 when establishing a new position. Need to be more disciplined and refrain from new positions with SPY IV at 12-13.
- Positions are carrying unrealized gain of $2,547……which is promising if we can realize a good percent of it.
- Schwab platform isn’t the easiest to work with when rolling spreads….figuring out how much a credit for the untested side so you know how much you can spend rolling up the tested side without incremental investment…time consuming with lots of “fiddling”. If you have suggestion on how to do this better in Schwab feel free to comment! It looks much quicker on TT….I have gotten quicker and now have an IC Roll Layout with two All-in-one boxes open on the right and the positions on the left.
- I started increasing the sizes….initially they were 2 and 3 contracts….now 5 to 8.
- Need to get better with establishing skewed positions…
Graph below shows the daily P/L for the strategy. Table on the right is profit and return. 8% annualized return needs to improve. Would like to get this to a minimum of 20%. Willing to take on higher risk (bigger positions) if the return can be improved.
Hope this is interesting for some of you. No plans to stop yet…….
Options Bistro 