#SPX0dte Little movement since the open but chain IV has gone from 39% to 56%. Test condors, both wide and tight, have not changed much in value. I will consider trades after press conference starts but likely only take some low risk long shots.
Author Archives: Jeff
SPX 0-dte trades for 4/30/24
#SPX0dte The “Employment Cost Index” report was listed with two bulls on the Econ calendar from Bloomberg that I use, so it wasn’t something I was expecting to move the market this much. Fortunately I have no trade going yet, and will likely wait until after the 10am Consumer Confidence report. The market continues to overreact to every piece of data that *may* affect the Fed’s decision on when to start cutting rates.
SPX 0-dte trades 4/29/24
#SPX0dte Sold to Open $SPX Apr 29th 5080/5110-5115/5145 condors for 14.80, IV 18.84%, at 8:28 ET
Premium and width on 6-delta too meager, so for this day of lower IV I’m choosing the tight condor option. No major economic data scheduled and big events later in the week should mean a quieter Monday.
Economic Calendar 4/29 – 5/3
FOMC decision on Wednesday and Jobs Report Friday
SPX 0-dte trades 4/26/24
#SPX0dte Sold to Open $SPX Apr 26th 5000/5020-5135/5155 condors for 1.40, IV 27.55%, deltas -.08 +.06
SPX 0-dte trades 4/25/24
#SPX0dte Sold to Open $SPX Apr 25th 4920/4940-5050/5070 for 1.45 at 9:41 ET, deltas were -.076 +.08, IV 27.09%
Before the GDP and jobs data released at 8:30, I modeled the 6-delta condor for 1.15 with a 120-pt center. Waiting for the open gave me about the same price, although I decided to push the deltas a bit higher for the premium and go for a 110 gap. Expected move is around 30 so stops are currently at 4970 and 5020.
SPX 0-dte trades 4/24/24
#SPX0dte Sold to Open $SPX 5050/5080-5085/5115 condors for 16.235, IV 21.15%
Switching to 5-wide ATM strategy as 6-deltas have become to narrow again, and $VIX is calming. Going for 10%
SPX 0-dte trades 4/26/24
#SPX0dte Sold to Open $SPX Apr 23rd 4940/4960-5070/5090 condors for 1.20, deltas -.06 +.06, IV 23.38%
SPX 0-dte trades 4/22/24
#SPX1dte Sold to Open $SPX Apr 22nd 4905/4925-5050/5070 condors for 1.30, IV 26.35%, deltas -.07 +.06
Economic Calendar 4/22 – 4/26
SPX 0-dte trades for 4/19/24
#SPX0dte So major dip overnight due to Israel/Iran, but now futures are flat. Had I had a sell order in place I may have gotten a fill on my long put spread. Now we are rallying pretty strongly so I’m going to wait for the open to consider a condor.
SPX 0-dte trades 4/18/24
#SPX0dte Sold to Open $SPX Apr 18th 4940/4960-5095/5115 condors for 1.40, IV 28.51%, deltas -.06 +.06
SPX 0-dte trades 4/17/24
#SPX0dte Sold to Open $SPX Apr 17th 4970/4990-5135/5155 condors for 1.35, IV 30.1%, deltas -.06 +.06
Risk Reversal
#RiskReversal Taking a shot at a bearish trade and that this turns into a meaningful correction.
Sold to open $SPX Apr 22nd 5230/5250 call spreads, delta +.04
Bought to open Apr 22nd 4855/4835 put spreads, delta -.06
Net DEBIT -.10
SPX 0-dte for 4/16/24
#SPX0dte Sold to Open $SPX 4955/4975-5140/5160 condors for 1.30, IV 34%, deltas -.05 +.07
Downside Warning in effect
#VIXindicator Fired at the close with $VIX over 50% higher than its recent low of 12.40 on 3/21. Expect the possibilities of lower levels over the coming days or weeks.
SPX 0-dte trades 4/15/24
#SPX0dte Sold to Open $SPX 5075/5095-5215/5235 condors for 1.45, IV 26.46%, deltas -.07 +.07
Sticking with wide condors until IV gets lower. Tight condors with 10% exit are still a viable trade, just potentially tougher in high IV/high $VIX environment. If it drops and the swings subside I will resume them, or may add them later in day.
Economic Calendar 4/15 – 4/19
REMINDER: Weekly calendar and Earnings chart are available on the menu at top of the page.
Upside Warning canceled
#VIXindictor The Upside Warning was canceled today when $VIX intraday spiked above 18.59. We will enter a Downside Warning if we close at these levels.
This was a “secondary” Upside Warning, coming after a previous one with no Downside Warning in between. These are usually weaker, and this one only gave us 30 points of gain for the all-time high on March 28.
SPX 0-dte trades 4/12/24
#SPX0dte Sold to Open $SPX Apr 12th 5140/5170-5175/5195 condors for 19.35, IV 29.07% at 9:49 ET
SPX 7-delta condor
#SPX0dte Sold to Open $SPX Apr 12 5060/5080-5225/5245 condors for 1.55, IV 31.87%, deltas -.07 +.07.
I may also add an ATM condor but for now I’m liking the premium and width being offered on my previous 1-dte strategy.
SPX 0-dte trades 4/11/24
#SPX0dte Sold to Open $SPX Apr 11th 5130/5160-5165/5195 condors for 19.70, IV 27.98%, at 8:47 ET
CPI higher than expected
The consumer price index increased at a faster than expected pace in March, indicating that inflation is staying stubbornly higher and likely keeping the Federal Reserve on hold with interest rates.
The CPI, a broad measure of goods and services costs across the economy, rose 0.4% for the month, putting the 12-month inflation rate at 3.5%. Economists surveyed by Dow Jones had been looking for a 0.3% gain and a 3.4% year-over-year level.
Excluding volatile food and energy components, core CPI also accelerated 0.4% on a monthly basis while rising 3.8% from a year ago, compared to respective estimates for 0.3% and 3.7%.
https://www.cnbc.com/2024/04/10/cpi-inflation-march-2024-consumer-prices-rose-3point5percent-from-a-year-ago-in-march.html
SPX 0-dte
#SPX0dte I am not trading before CPI, but watching a centered test trade going for 23.85. That’s only 6.15 of risk, which is quite tempting.
I will watch movement and consider a trade if volatility starts dropping and SPX calms down.
SPX 0-dte trades 4/9/24
#SPX1dte Sold to Open $SPX Apr 9th 5180/5210-5215/5245 condors for 15.15, IV 16.64%, at 9:28 ET
SPX 0-dte trades 4/8/24
#SPX0dte Sold to Open $SPX Apr 8th 5175/5205-5210/5240 condors for 16.85, IV 20.35%, at 8:25 ET
Economic Calendar 4/8 – 4/12
CPI report is Wednesday morning
SPX 0-dte trades 4/5/24
#SPX0dte Sold to Open $SPX Apr 5th 5130/5160-5165/5185 condors for 20.35, IV 31.03%, at 9:32 ET.
I watched several spreads in pre-market, but IV nor premium really dropped much between jobs report and the open. So I didn’t feel I would get an advantage entering before the open.
March Jobs Report
#Jobs — Gains exceed expectations once again.
Gain of +303,000 non-farm payroll jobs, vs. expected gain of 214K
Unemployment down 0.1% to 3.8%, as expected
U6 unemployment 7.3%, unchanged
Labor force participation up 0.2% to 62.7%
Average hourly earnings up by 0.3%, as expected; +4.1% Y/Y as expected
February jobs revised down by -5K to +270K
January jobs revised up by +27K to +256K
SPX 0-dte trades 4/4/24
#SPX0dte Another over-reaction to data, this time slight rise in weekly jobless claims. Not sure if I’ll place a trade before the open.
SPX o-dte 4/3/24
#SPX0dte Sold to Open $SPX Apr 3rd 5170/5200-5205/5235 condors for 15.85, IV 18.38%, at 8:41 ET
Powell speaks WEDNESDAY 4/3
Added to the economic calendar is Powell speaking Wednesday at 12:10pm ET
SPX 0-dte 4/2/24
#SPX0dte Sold to Open $SPX Apr 2nd 5190/5220-5225/5245 condors for 14.15, IV 15.43%
Futures trending lower after a day with a decent drop, so this is riskier positioning than last week has been. Also would like to be out by 10a ET to avoid in reaction to JOLT jobs report.
SPX 0-dte 4/1/24
#SPX0dte Sold to Open $SPX Apr 1st 5230/5260-5265/5295 for 12.80, IV 14.78%
Economic Calendar 4/1 – 4/5
ADDED to calendar is Powell speaking WEDNESDAY:
JOBS report Friday morning.
SPX 0-dte 3/28/24
#SPX0dte At 8:38 ET, sold to Open $SPX Mar 26th 5220/5250-5255/5285 condors for 14.50, IV 17.19%
SPX 0-dte 3/27/24
#SPX0dte At 8:42 ET Sold to Open $SPX Mar 27th 5195/5225-5230/5260 condors for 13.35, IV 14.11%
SPX 0-dte 3/26/24
#SPX0dte Sold to Open $SPX Mar 26th 5205/5235-5240/5270 condors for 12.90, IV 14.08%
20-winged test going for 11.05
SPX 0-dte 3/25/24
#SPX0dte At 8:56 ET, sold to Open $SPX Mar 25th 5200/5230-5235/5265 condors for 14.85, IV 14.45%
Upside Warning reinstated
#VIXindicator This fired at the close today. It comes after the last one was canceled on Feb 13th, but with no Downside Warning in the interim. So it may not be as strong, but don’t be surprised at more movement higher.
Economic Calendar 3/25 – 3/29
Friday holiday so shortened week, but also pretty quiet in terms of data releases.
SPX o-dte 3/22/24
#SPX0dte Sold to Open $SPX Mar 22nd 5210/5240-5245/5275 condors for 13.05, IV 15.67%, at 9:36 ET
Premium was dropping rapidly as I tried to sell this.
SPX 0-dte 3/21/24
#SPX0dte At 9:31 ET, sold to Open $SPX 5220/5250-5255/5285 condors for 14.00, IV 16.41%
Premium on this went from 13.75 at open to now 14.20, even though SPX wasn’t moving dramatically.
20-winged test trade going for 11.85
No SPX trade 3/20/24
#SPX0dte Taking the day off to avoid possible volatility from FOMC rate decision.
I am watching a test position:
Sold $SPX Mar 20th 5140/5170-5175/5205 condors for 21.30, IV 31.70% at 9:39 ET
I want to see how much premium drop we can get before the 2pm event.
SPX 0-dte 3/19/24
#SPX0dte Given the 30-point move in the last 4 hours and also IV at over 20%, I’m going to wait for the open.
SPX 0-dte 3/18/24
#SPX0dte Sold to Open $SPX Mar 18th 5125/5155-5160/5190 condors for 15.60, IV 17.7%
20-winged test trade going for 12.75
Earnings 3/18 – 3/22
Economic Calendar 3/18 – 3/22
#FOMC interest rate decision is Wednesday afternoon
SPX 0-dte 3/15/24
#SPX0dte Sold to Open $SPX 5130/5150-5155/5185 condors for 18.00, IV 22%
20-winged test going for 14.00.
SPX 0-dte 3/14/24
#SPX0dte Sold to Open $SPX Mar 14th 5145/5175-5180/5210 condors for 15.25, IV 18.29%
20-winged test going for 12.40
SPX 0-dte 3/13/24
#SPX0dte Sold to Open $SPX Mar 13th 5140/5170-5175/5205 condors for 14.65, IV 16.55%
20-winged test going for 11.95.
SPX 0-dte 3/12/24
#SPX0dte At 6:33a, Sold to Open $SPX Mar 12th 5110/5140-5145/5175 condors for 17.40, IV 23.67%
20-winged test trade went for 13.85
CPI for February
Consumer prices rose 0.4% in February, as expected, and 3.2% from a year ago, vs expected 3.1%
SPX 0-dte 3/11/24
#SPX0dte Sold to Open $SPX Mar 11th 5070/5100-5105/5135 condors for 18.80, IV 23.39%
20-winged test at 14.50
This is high IV and high premium for a day with nothing major scheduled. $VIX is up as well. CPI report tomorrow morning.
Economic Calendar 3/11 – 3/15
CPI report on Tuesday morning
SPX 0dte 3/8/24
#SPX0dte Sold to Open $SPX Mar 8th 5140/5170-5175/5205 condors for 17.35, IV 22.1%
20-point-winged test trade was at 13.65
February Jobs Report
#Jobs — Gains exceed expectations again, but UE rises.
Gain of +275,000 non-farm payroll jobs, vs. expected gain of 198K
Unemployment up 0.2 to 3.9%, vs expected 3.7%
U6 unemployment 7.3%, up by 0.1
Labor force participation unchanged at 62.5%
Average hourly earnings up by 0.1%; 4.3% increase over the year
December jobs revised down by -43K to +290K
January jobs revised down by -124K to 229K
SPX 0-dte 3/7/24
#SPX0dte Sold to Open $SPX Mar 7th 5095/5125-5130/5160 condors for 16.90, IV 19.87%
20-pt winged test trade selling for 13.40
SPX 0-dte 3/6/24
#SPX0dte Sold to Open $SPX 5075/5105-5110/5140 condors for 17.30.
Internet issues delayed me… when I first entered this it was going for 18.00. Very irritating.
This is a touchy day… Market is trending higher, and Powell will testify before Congress starting at 10am. We also have JOLT jobs report coming. Going for 10% only.
SPX 0-dte 3/5/24
#SPX0dte Sold to Open $SPX Mar 5th 5080/5110-5115/5145 condors for 15.00, IV 16.64%
SPX 0-dte 3/4/24
#SPX0dte Sold to Open $SPX Mar 4th 5095/5125-5130/5160 condors for 12.70, IV 14.57%
That’s lowest premium I’ve seen yet, I guess because IV is low and no economic events today, other than FOMC member Harker speaking at 11am ET.
Earnings 3/4 – 3/8
Economic Calendar 3/4 – 3/8
Jobs report is Friday
SPX 0-dte 3/1/24
#SPX0dte Sold to Open $SPX Mar 1st 5070/5100-5105/5125 condors for 16.90, IV 20.14%
SPX 0-dte trades 2/29/24
#SPX0dte After the open, sold to open $SPX Feb 29th 5065/5095/5125 Iron Butterflys for 18.00, IV 20.93%
Small accounts: 5060/5090-5095/5125 condors for 16.35.
SPX 0-dte trades 2/28/24
#SPX0dte Sold to Open $SPX 5040/5070/5100 Iron Butterflys for 15.95, IV 16.34%
Small accounts: 5035/5065-5070/5100 for 13.90.
Overnight test: IC centered at 5075-5080 sold for 15.50, was up to 16.75 earlier but is now in profit since SPX has risen closer to the center.
SPX 0-dte trades 2/27/24
#SPX0dte Sold to Open $SPX Feb 27th 5045/5075/5105 Iron Butterflys for 16.55, IV 16.57%
Small accounts: 5040/5070-5075/5105 condors for 14.65.
NOTE: I placed similar PAPER positions at the close last night (the IB was 5 points lower), and since we are little changed from yesterday’s close, the IB gained 1.50 on the IC about 1.75. My day could be over before the open had these been my real trades. I’m going to be testing night-before paper trades for future consideration.
SPX trades 2/26/24
#SPX0dte Sold to Open $SPX 5060/5090/5120 Iron Butteflys for 16.20, IV 16.3%
Small accounts: 5055/5085-5090/5120 condors for 14.35.
Economic Calendar 2/26 – 3/1
Q4 GDP on Wednesday morning.
Some key inflation data on Thursday morning.
SPX 0-dte
#SPX0dte Sold to Open $SPX Feb 22nd 5020/5050/5080 Iron Butterflys for 18.70, IV 21.45%
Small accounts: 5020/5050-5055/5085 condors for 16.85
Waited until after weekly jobs data, but still some economic data coming after the open. I leaned a few points bullish on this, but with the strong overnight trend this one could be a bit touchy if the strength continues after the open.
SPX 0-dte study
#SPX0dte I did a mini-study today to back test WAITING UNTIL EXPIRATION . I went from April 5, 2021, which was the first day we breached SPX 4000, to 2/13/24. I tested the IB with 30-pt wings. Premium taken in of $16 each day.
Total trading days:721
Total wins: 276, $2,370
Total losses: 445, -$5,147
So, definitely not looking beneficial over long term to wait until the close. I suspected this, but wanted to make sure. If we increased premium to $17 or $18 we’d get closer to even but I still think it would be a loss.
SPX 0-dte 2/21/24
#SPX0dte Sold to Open $SPX Feb 21st 4930/4960/4990 #IronButterfly for 18.95, IV 20.1%
Small accounts: 4925/4955-4960/4990 condors for 17.40
Sold a bit earlier than normal so risking premarket moves, with intention of benefitting from premarket volatility drop.
SPX 0-dte 2/20/24
#SPX0dte Sold to Open $SPX Feb 20th 4960/4990/5020 #IronButterfly for 16.85, IV 18.6%
Small accounts: 4960/4990-4995/5025 condors for 14.85.
Earnings 2/19 – 2/23
Economic Calendar 2/19 – 2/23
