#fuzzyspxexperiment

Update to SPX experiment. Here’s the original setups with date entered and cost to enter. All of these costs have already been recovered with daily sale premium. The first position is in one account and the other three are in a different account. I’m tracking those three as a combined P/L.

1. Feb 7th 5000/5000/5400 @ 225.0 debit (Dec 2027 expiration)
2. Feb 7th 5000/5000/5400 @ 283.0 debit (Dec 2028 expiration)
3. Mar 7th 5200/5200/5600 @ 360.0 debit (Dec 2029 expiration)
4. Jun 5th 5400/5400/5800 @ 202.0 debit (Dec 2027 expiration)

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Position 1:

Cost to enter: 22500 debit
Cost to close: 3540 credit (if closed now)

Loss on LEAPS: 18960
Premium received: 41285

Gain overall: 22325

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Positions 2,3,and 4 combined:

Cost to enter: 84500 debit
Cost to close: 47310 credit (if closed now)

Loss on LEAPS: 37190
Premium received: 86765

Gain overall: 49575

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So if looking at it like a business:

Total Revenue: 128050
Total Costs: 56150
Net Gain: 71900

Average of 56 cents per dollar going to profit. Nice improvemnt on that last few weeks.

EDIT: Note: If these positions were all in an IRA type of account requiring full margin the current buying power hit would be 348000. That’s based on 40000 per LEAP bear call spread plus the current 5620 puts being sold against various long LEAP put positions.

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”