I’ve been paper trading @fuzzballl‘s LEAP strategy on paper, for both $SPX and $SPY, and I started one in $SPY live this week. Just one contract to get an idea how it affects margin and NLV over time. Since I’m not trading too much of my regular strategies right now I devoted one account to this trade.
Monday, with 1/21/28 expiration, bought the 675 put, sold the 675/715 call spread, total debit 37.76.
Monday, sold the Tuesday 677 put for 7.00
Monday night, I was assigned stock!
Tuesday, rolled the stock to Thursday’s 677 put, net credit .27
Today, rolled the Thursday 677 to Monday’s 677, net credit .80.
Not a great start, due to this week’s dropping market. But I will be rolling deep ITM puts a day or more before expiration to avoid assignments. Despite this, the account’s value has barely dropped due to the increase in value on the LEAP spread.
I am also testing on paper doing this in reverse, with LEAP long call and selling daily calls. However, the skew is large, so this will take more time to break even. It cost me (virtually) 79.33 to enter the reverse spread, which only cost me 37.66 on the put side. It may benefit from better rolls on the call side but I will wait and see whether it’s ever worth trying with live money.
Options Bistro 