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SPX Weekly RangesHere are the past 7 weeks of PVI Volatility Ranges for SPX . The Ranges are computed every weekend from a myriad of data points and ratios (Index, Volatility variations, SKEW, HV, IV, etc...) We compute the ranges on the weekend, along with our roadmap & Game Plan for the week ahead. Some of us enter their first tranche on Sunday nights or early Monday (depending on confirmation from Futures ). We do NOT sell fixed Deltas for our credit spreads, but rather utilize the data driven from our volatility algo for the specific Index (primarily SPX ). The PVI Weekly SPX Credit Spread portfolio is up just over 47% YTD with 20 straight weeks of profits and zero drawdowns. The ranges have been breached 3 times since the start of 2021 (by an amount greater than 10 SPX points). The system is NOT designed or programed to be perfect, it is to provide us with the most competitive SPX weekly Range with the highest VALUE between Premium & Expectancy
SP:SPX
by VeteranWS
4
Rolled: NVDA June 17th 200 Short Call to the 170 Short Call... for a 9.21 credit. Comments: Late post that I was unable to get to yesterday ... . Doing a defensive roll ahead of earnings to reduce directionality in the event it continues on its path downward. I also took off the June 17th 225 short call, which I added in to reduce net delta and reduce cost basis further for an .82 debit, but didn't want to leave it on in the event price rips up, as it could complicate the setup and/or rolling. Total credits collected of 95.25 on a 105-wide inverted. Functionally, I'm long stock at 275, but with a current cost basis of the strike price (275) - total credits collected (95.25) or 179.75, so the short call is currently below my cost basis, which I'm okay with at least temporarily. Post earnings, I'll look to roll out the inverted as a unit, reducing cost basis further (although this trade is getting quite long in the tooth). I've indicated that it's long, not because that is my sentiment as to where the stock goes from here, but because delta/theta is 42.95/34.32.
NASDAQ:NVDALong
by NaughtyPines
TQQQ Wheel of Fortune Modeling Although you can effectively model the P&L of 30 days 'til expiry at-the-money short puts, it's difficult to model "the other stuff" a trader would typically do with a short put that is in the money toward expiry (i.e., take assignment, roll out "as is," roll out for strike improvement, etc.). (At least, I don't have access to that kind of model or can't easily program one without breaking my brain). You can, however, run a small number of occurrences (relatively speaking) to see how the setup would work in practice, so that you can have expectations as to how much the at-the-money 30 day short put pays over time, as well as the frequency of assignment and/or ending up with an in-the-money that has to be managed. You'd naturally have to run this for months to get any decent idea of how the setup would perform over a larger time frame. (Most studies actually look at selling a given strike in expiries of a given duration on a daily basis, which would be a lot of spreadsheet). The basic rules: 1. Sell the at-the-money short put nearest 30 days until expiry. 2. Either close out the short put on approaching worthless (e.g., <.20) or run to expiry if in-the-money. 3. If assigned on any given short put, initially sell the 30 days until expiry call at the strike at which you sold the short put, looking to exit the resulting covered call at a profit.* 4. Since not everyone has "infinite cash," I'll assume a maximal deployment of 5 lots. As you can see by the chart, you can contemplate getting stuck in a particular rung or rungs for a lengthy period of time, reducing cost basis via rolls of the short call until you're able to exit that "leg" profitably or at break even. The ROC becomes almost immediately "less sexy" when that occurs, since that will potentially be "dead buying power" for weeks (and potentially months) at a time. 5. It's probably to one's advantage to have additional rules as to when and when not to pull the trigger on a given rung (i.e., implied volatility rank and 30-day implied), but for the sake of simplicity, I'm not setting out that type of rule here. Pictured here would be the first leg, at the 47 strike in the May 13th expiry, paying 4.25 at the mid, with a resulting cost basis of 47.00 - 4.25 or 42.75 if assigned shares on the 47 short put.** For purposes of the return on capital calculation, I'm operating on the assumption that the short put will be cash secured,*** which means you'll tie up 42.75 of buying power to put this on, with the resulting ROC of 9.94% at max (implying a finish above the short put strike at expiry or the ability to pull off the short put on approaching worthless prior to that). * -- In practice, this isn't what I do when confronted with an in-the-money short put at expiry. I look at (a) taking assignment; (b) rolling out the short put as is to varying durations; and (c) rolling out the short put with strike improvement to varying durations. I then compare and contrast what I would get for each in credit and generally opt for the choice that would result in the largest cost basis reduction. For example, I'm not going to take assignment to sell a call against for less credit than I could get by just rolling the short put out for duration. ** -- It doesn't look like you get much buying power relief on margin anyhow, at least with my broker. The buying power reduction for the 47 short put on margin appears to be 35.26 -- 75% of the short put strike. It's something, but not the typical relief you get on margin, which is about 20% of the short put strike. That being said, 4.25 on buying power effect of 35.26 is 12.05% at max -- a smidge sexier than cash secured. *** -- I can also see a potential additional rule or rules that takes profit between 42.75 (your break even) and 47.00 toward expiry as extrinsic in the 47.00 converges on 0 or potentially rolls out the 47 to a 30 day at-the-money strike when it's in profit. On a practical level, I tend to do this quite a bit, but it's involves rolling from an out-of-the-money strike to an out-of-the-money strike, which continues to leave leave me with room to be wrong.
NASDAQ:TQQQLong
by NaughtyPines
2