MikeL 8:52 am on Wednesday, January 28, 2026
Tags: FuzzyLEAPs ( 54 )

SPX

Has anyone tried to model the risk/reward of selling 1 DTE vs. 4 or 7 DTE puts on SPX for #FuzzyLEAPs?
What is better?

walter6871 9:31 am on Wednesday, January 28, 2026

Mike
AI’s 2 cents
https://claude.ai/share/cc78aa7a-2fa7-42e0-a550-83c44842cd5f
- MikeL 9:51 am on Wednesday, January 28, 2026
  
  Thanks! I keep forgetting about AI. 🙂
  
  On the other hand, when applied to a specific scenario, like SPX today, it appears that selling 1 DTE would generate higher premium per day than selling 6 DTE. The reason is simple, IV for Jan 29 is higher than IV for Feb 3.
  
  Plus, when you account for theta decay on 1 DTE, it appears that the risk would be lower for 1 DTE vs.
  6 DTE.
  - Jeff 10:08 am on Wednesday, January 28, 2026
    
    When rolling from one day to the next day, it is generally true that you’ll get the highest premium when rolling from TODAY to one day ahead. Making the one-day rolls further out in time will generate lower premium. I took a screenshot when XSP was at 697, so the options pictured are ATM (about 1p ET today). As you can see, the premium to roll one day ahead gets lower the further out in time you get:
    Roll from TODAY to Tomorrow: 1.34
    Roll from Tomorrow to Friday: .68
    Roll from Friday to Monday: .60
    Roll from Monday to Tuesday: .39
    Roll from Tuesday to Wednesday: .37
    
    This is also true for ITM and OTM, however, the closer to the money you are, the better the premium will be.
    
    But if you want most from rolling daily puts, stick to today’s expiry to tomorrow’s. If you see above, Rolling five times at about 1.30 (6.50) would make a lot more than rolling from today to 5 DTE (3.38).
    - MikeL 10:47 am on Wednesday, January 28, 2026
      
      Thank you, Jeff.
- bikeeagle1 10:22 am on Wednesday, January 28, 2026
  
  @walter6871, great idea using AI!
  
  From your link (as an advantage to selling a few days out in time):
  
  “More time for mean reversion if markets dip temporarily”
  
  That is the main reason why I like 4DTE, but only one put per day. At least as an experiment for now anyway.
bikeeagle1 10:14 am on Wednesday, January 28, 2026

@MikeL

Great question. I imagine that it would be possible to do that, but it is beyond my skills. I simply picked 4 days because I have 4 LEAPs, so I can sell (at most) one per day 4 days out, or 2 @ 2 days out, or 4 @ one day out. I feel like 4 every day is more of a concentrated position, as opposed to having one expire every day.

That may or may not be the highest premium way to do it, but it seems like it should be a little bit smoother. Time will tell I guess. I just have to make sure that I at least meet my target premium per day, multiplied by the number of days out, in order to keep up with worst-case losses on the LEAPs.
fuzzballl 12:07 pm on Wednesday, January 28, 2026

My setup right now as an experiment is a hybrid strategy. Selling some daily and some laddered out over the next week. So far I like the overall feel. I’m comfortable being aggressive daily and it also feels nice knowing that a big down day I’ll still have some positions in play in the coming days.