1 VIX Jun 18 2024 12.0 Put
Daily Archives: Tuesday, June 18, 2024
GME Diagonal Puts
Bought 1 GME Jun 28 2024 19.0 Put / Sold 1 Jun 21 2024 23.0 Put at $0.15 Credit
Bought 1 GME Jul 05 2024 18.0 Put / Sold 1 Jun 21 2024 23.0 Put at $0.16 Credit
Covering the cost of my original buy of Jun 21 2024 10.0 Puts a month ago
Overnight strategy details
#SPX0dte #SPXah I started “#SPXah” hashtag for this. It is basically the same IB/condor trade we have been doing same-day but placed around 9pm Pacific and closed before the next day’s open. I recently discovered that SPX options can be traded from 5:15pm to 6:15am PT, whereas before I thought it was only 3a-6:15a.
(I’m usually post times in ET but using PT time here since that’s where I live)
Overnight moves CAN be large, but lately we’ve been in a period with the market making its moves during market hours and the overnight being fairly calm. I tracked the price of the condors with a 5-pt middle and 30-pt wings from 5:15pm onward. I have seen little decay in the price between 5:15 and midnight, so waiting until 9pm to enter the trade. To exit trade before 5:30am, when data releases typically happen, we can usually only expect .85 t0 1.50 in profit.
The premium does NOT move very much with minor swings. It seems we need at least a 20 point move before we hit a 2-dollar stop level. So in the first two live trades I’ve done, I entered bracket orders to take profits at 1.10 and stop-loss at 2.00. I had one loss and one win.
The chart below shows the 10 days tested, with notes. For two weeks potential profit is +3.76.
You must monitor the /ES chart for movement, but look at the $SPX option chain to determine the centered strikes, looking at the puts and calls that are each closest to .50 delta.
I’m thinking best approach is to make sure the first 4 hours (5:15-9:15pm) have no major market moves from the close. If earnings or something have caused volatility, skip the trade as it is more likely to keep moving overnight. Also, may be best to avoid large events occurring the expiry day, even though test trades on both Jobs and CPI reports worked, because the premium sold was so high that the IV drop made up for the move in the index.
Check out the chart and let me know if you have questions.
SPX Update
Just looking at my oldest position (one spread). Dec 2027 5000/5000/5400. Set the position back on Feb 7th when the market was around 5000. Since then we’ve rallied 10 percent. There was about a month in there where I collected zero premium and had to roll the short put sales down while we were selling off a little. That can be expected. It is nice to see that decent money can be made even when the market is going big against your synthetic short LEAPS.
Here’s the actual numbers:
Cost to open the position: 22500 debit
Cost to close the position: 5400 credit
Loss on LEAPS: 17100
Total daily premium received: 32000
Net gain if closed everything today: 14900
That works out to about 46 cents on the dollar going to profit.
My thoughts: In a flatter market these would make really really good money. Been pretty much straight up the whole time but pretty easy to keep up with the lossses on the LEAPS. Already over halfway to covering max loss and the trade still has 182 weeks to run (130 weeks if I close it a year early).
Decision to make:
1. Do I close now and reset the LEAPS higher to reduce the risk and margin in the daily sales?
I say not yet since a selloff can still help the LEAPS and plenty of time to roll down the daily sales and margin requirements are still not terrible. I can’t confirm but it feels like the higher we go the less short deltas the LEAPS have. It feels like the losses are bigger as the LEAPS initially get out of the money and get closer to max loss. Pretty easy to sell the daily to flatten the delta on the overall position now with the LEAP deltas only being short 26 where they were initially around 50 at the beginning of the trade.
Gonna continue and see how things play out. So far so good.
#fuzzyspxexperiment (so I can find this post in a search LOL)
EDITED: Changed last paragraph from “in the money” to “out of the money”
SPX
This might cool things off a little…selling half the expected move.
Bought to Close SPX Jun 17 2024 5400.0 Puts @ .20 (sold for 12.55)
Sold SPX Jun 20 2024 5460.0 Puts @ 9.20
Options Bistro 