Apr‑17‑26 6800 / Mar‑10‑26 6740 Put Diagonal @ 145.65

I’d like to give a short summary of my main trade this year, for general information and discussion. I’ve been running a systematic SPX short‑strangle approach, usually 1DTE or a few days out. My hedge is a longer‑dated strangle a few months out, with strikes roughly 100 points above/below then SPX price. At least one side of the short strangle typically expires worthless, and I aim to roll for a net credit, targeting about $20/day in total net credit.

When an expiring leg goes deep ITM, I try to roll it as close to ATM as possible as long as I can still collect a small credit. The credit from the opposite side helps offset the cost a little. This rolling method naturally builds in mean‑reversion, and it has worked well in this range‑bound market. Occasionally I’ll pay up to roll the hedge up or down – only on the side that has become significantly cheaper after a large move (today that would be rolling down the call hedge). This adjustment pays if SPX reverses and also helps reduce margin. The trade is up 57% YTD on the average carrying risk.

Today, I initially looked to roll down the April 7000 call to 6900 or lower, but ultimately decided to close that side entirely. I did add a few units to the put side. The new put diagonal costs $145, with a breakeven range of 6610 – 6850 and a max profit around $5,500. The structure is currently -2.2 delta, essentially neutral. When rolling, I may lean slightly based on market conditions at that moment. The carrying cost of this diagonal is fully covered by profits accumulated so far.

In another account, I have been trading the SPX double diag (Friday/Monday expiration), 100-200% on every trade in the last few weeks. I think the success has much more to do with the market condition than the strategy itself or the trader, and we need to adjust based on market condition.

I have a few small option positions on other stocks, but for the two accounts I’m now 50% in cash. My sense is that the market is setting up to break out of this range – likely sooner rather than later.

Trade well and be safe.