Jeff 5:37 am on Thursday, September 19, 2024
Tags: spx0dte ( 421 )

SPX 0-dte trades for 9/19/24

#SPX0dte Sold to Open $SPX Sept 19th 5580/5600-5750/5770 condors for 1.90, IV 25.40%, deltas -.10, +.06

Jeff 5:39 am on Thursday, September 19, 2024

This was one of the most lopsided skews in premium I’ve seen for this trade. Call premium is quite elevated and put premium anemic. This is why I went so aggressive on the put delta. The 8:30am data resulted in no price movement, and since there was a huge overnight move higher we may be a bit range bound today. That’s my take, it could be wildly incorrect.
- Jeff 6:37 am on Thursday, September 19, 2024
  
  Now that we have opened, and are at about the same level on the Futures (/ES) chart as when I opened the trade, it seems the deltas were just OFF in pre-market. Now they are -.03 +.11. Again, this is with /ES at about the same level when deltas were -.10 +.06. This puts me much too close on call side and far on the put side. I don’t remember experiencing this before; I hope it’s an anomaly and not some new problem with SPX premarket deltas.
Jeff 7:28 am on Thursday, September 19, 2024

Sold 5675/5705-5710/5740 condors for 18.80, IV 26.47%.

Looks like I caught the beginning of a spike higher; hopefully limited
- Jeff 7:33 am on Thursday, September 19, 2024
  
  So… NOT limited. Stop hit on 5750/5770 call side, will get out.
  - Jeff 7:42 am on Thursday, September 19, 2024
    
    Stopped 5750/5770 call spread for 1.45. Still .45 profit on trade. I’m glad I recognized the disparity in deltas this morning… although I compensated on put side I should have done so on call side too. Lesson learned.
- Jeff 8:09 am on Thursday, September 19, 2024
  
  Sold 5635/5615 put spreads for .70, delta -.08, IV 26.19%. Getting some more premium from put side since my initial sale earlier was so anemic.
- Jeff 8:49 am on Thursday, September 19, 2024
  
  Closed tight condor for 16.80, about 10%

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