The SPY IC Ladder started in Feb has shown significant swings in profit (high of $8,000 to low of $(5,000)…. I would not call it a winning strategy just yet. Annualized return as of Friday was 6%…..not worth the capital at risk. To date I was primarily selling the 45 DTE IC’s (or when they became available) and closing them around 21 DTE. Typically selling body width of 30 and wing width of 10. I stopped selling if the IV dropped below 14 (more recent development). I was rarely achieving the 1/3 value of the wing spread that TT recommend. Currently letting the DTE run lower to see if it helps. I haven’t been doing a lot of “adjustments”…..at the cottage for the summer and the internet connection is a little painful for rolling SPY spreads.
If anyone is interested in the complete list of trades to analyze let me know and I would be happy to share.
Open positions in the bottom table. Would like to see a pull back as current price has pushed a couple of the short calls ITM.