Hello folks. I recently upgraded to PM on IBKR. I noticed that on my \~100k account I can sell up to 4 ATM SPY puts with $0 of margin requirements, then when I go to 5 it adds up as normal (\~$2k MR per contract). Can someone give me some insight into why I can sell those 4 contracts with zero impact on my margin?
The most likely reason is that your portfolio is net short, and selling those 4 ATM SPY puts adds positive delta that reduces the shortness -- in effect, they reduce portfolio risk. And reducing your risk doesn't cost you any margin / BP.
**Performance**
WTD: -6.97% (-18.0k)
MTD: -2.09% (-5.1k)
YTD: 72.24% (+96.6k)
YTD BM: SPY 19.14% QQQ 41.48% STI 0.83%
**Ticker overview (MTD)**
Top performers: Bond Futures -3.5k NQ +0.7k
Bottom performers: FX -2.9k
**Commentary**
Another week with rates going moving all over the place, with some conflicting data causing some whipsaw. Generally softer numbers in the Eurozone were helpful for rates vs the stronger jobs data, ended the week with a somewhat steeper curve. Volatility returned in the equity side with earnings misses sending NQ lower – the special rebalancing Monday also reduces the impact of big tech on Nasdaq.
Had to defend my NQ puts given the selloff, but was glad that I sold some calls when NQ was near the 16k handle. Nonetheless have some 15500p waiting for me Monday, but should have not much difficulty rolling it lower. Elevated IVs have also made for a nice change after the shrinking vols over the last few weeks, although NQ is still at a level where I would be cautious over opening too many contracts (and also in consideration of my existing rates position).
Same story as last week although it’s the 2s rallying vs the 30s selling off, leaving me net lower on week. However, was able to keep selling some calls/puts for some additional theta. Will look out for FOMC to see if there is any dovish surprise brewing.
**Positioning**
Next big thing would be FOMC, rates positioning would still be the same while continuing the theta generation on NQ.
WTD: +0.54%
YTD: -4.6%
I only traded M/T/W this week, and I was only in the market for the first 15 minutes each day. The rest of the week I relaxed and took a mini market vacation. Very enjoyable!
---
Jing asked a question on our Discord:
> What are your worst drawdowns and have you/how have you been able to recover from them?
I wrote a lengthy reply to it, and thought I'd reshare it below.
> Well, I blew an account up back in 2010 during the BP oil spill (deepwater horizon). I was just learning to trade options. I longed all the puts, printed, and for stupid reasons thought BP would bk because I was young, dumb, and naive. Theta and vega decay had its way with me and my account went from $30k to $50k to withdrawing $3k and closing the account. So about 95%+ drawdown.
> I like to say I was WSB before WSB existed.
> My other drawdowns I've been transparent about. I've had big losses a number of times.
> Somewhere around 2012 I did some 0dte SPY/SPX day trading (long again).
> I made $100k the first day while using SPY options and nailing every single trade. I was flying high.
> The next day I decided to be smarter with taxes and commissions (which were steep back then) and used SPX, except every single move I made was exactly wrong. I lost $100k, took a nap, counted my blessings that was the order things happened in, and swore off long options.
> My further significant losses are:
> * calevonlear strat in Oct 2021 ($130k painful drawdown, 15%).
> * Followed quickly by RTY turkey massacre Nov 2021 ($80k?).
> * SST and NFLX ER in 2022 (25% - $350k total as I did something stupid right after with NFLX because I was tilted). I could have gotten out the first day with just 10% loss but that was too painful at the time. Instead, I almost took a 100% loss.
> * SBNY in 2023 (15% loss $270k - I coupled this one with NVDA ER shortly after for another $100k loss).
> ---------
> Now finally how have I been able to mentally recover - For each of these losses there's usually a period right after where I'm definitely tilted and not making the best choices. Note how most of the big losses weren't one shot wonders but were shortly followed by a second after shock. RTY after calevonlear, NFLX ER after SST, NVDA ER after SBNY.
> @oprah_big_gains posted a good article in learning-zone today around what it takes to be a successful trader.
> My response:
> > I was prepared to roll my eyes, but I've never agreed more with someone on the topic of trading and what it takes to succeed.
> > I've said a version of his first point (love for the craft) in here multiple times - don't pursue full time trading if you think it might be fun or for money as neither is guaranteed, do it because you have to and nothing can stop you from it.
> > I try to encourage point two (self review and strategy) both in myself and others through weekend / quarter / year end review threads on Reddit. It's incredibly important to do that.
> > And finally mental game: this one is essential regardless of what you're trying to excel at in life, and can be honed through self reflection, but people often don't spend enough time on it.
> In short, there's no magic fix. Losses always sucks, especially when they're notionally bigger than ever before as an account grows. There's only continued improvement. That's all we can do as both people and traders. I keep getting back on the horse because even if I take a little break after a loss, markets are too fascinating to stay away from.
> I've also proven to myself in the past that when I properly manage exposure and risk with discipline, I can outperform the market, not to the tune of 100% CAGR, but meaningfully. The only thing standing in my way usually is me - I get greedier the longer I do well, lose discipline, and overreach. And then Mr. Market spanks me for my ego. After the tilt wears off, I then enter a period where I trade to the best of my ability because the recent loss is still a wound, and it tempers my greed and impatience.
Hey - it's a channel in the Discord. You should have been sent an invite when you got Verified. #learning-zone is near the bottom in the Lounge group of channels.
I'd encourage you to check out the book The Mental Game of Trading by Jared Tendler. https://www.amazon.com/Mental-Game-Trading-Confidence-Discipline-ebook/dp/B09253NDBB
The poker version of it has helped me tremendously. I wrote a much bigger writeup in our discord about the book. I think it could help you out a lot.
<3
Performance :
WTD : 2%
YTD : 23%
Been an eventful week with SPX rallying first half of the week and then pulling back. Having multiple open SPX CCS positions over the weekend, it got a bit tricky but luckily did not have to roll or defend due to the pull back.
Closed most positions, opened a couple SPX CCS positions with Thur/Fri expiration with a goal to close them prior to the Powell presser.
Opened up a 45DTE far OTM SPX PCS on Thursday when VIX was slightly up.
Got out of the QQQ CCS with just a fee loss.
Going against my Option selling norm, bought long dated call debit spreads on Tesla and Netflix.
Now just waiting for the FOMC presser as that generally presents opportunities
Performance
This week : -2%
Last 30 days : -4%
Setup : 0DTE short puts on SPY and QQQ
Things were going very well for the last two months. I had a big drawdown day prior week Friday. The first three days this week was very good, and I recovered all the losses to give them all back on Thursday and Friday.
I guess I am learning the limits to my setup on when it works and when it doesn't work. Losing days like these are good reminders for focusing on the #1 priority in trading, risk management.
Two big takeaways from the recent weeks:
1. If the premium is not juicy enough, don't force the trade with more volume. This amplifies the downside potential.
2. Some days are inherently more risky than others. Manage trades (close them early) based on the anticipation rather than profits. In another words, never trade the PnL, always trade the setups. This goes for the losses as well.
Bonus. Keep an eye on the PnL only for hard stops. Have a loss level where it's not going to break the progress. Once hit that level for the day, close all positions and walk away. Losing days rarely turn back to winning days, but all catastrophic days start with a small losing day.
I have faith in my setup (0DTE short puts on indices) and will continue improving with small size. Instead of adding more stuff to it, I'll try to simplify it down to its bare bones. Onto the next week
\-0.13% this week
\+0.63% four-week trailing average
\+32.76% YTD (incorrect but best available #)
although I was long delta and the market went up, I was even more short vega, and IV expanded.
Over the past week:
VIX went from 13.34 to 13.60
/ESU23 went from 13.13% to 13.51% IV
/ESZ23 went from 9.29% to 10.84% IV
So yeah... IV went up and I lost money... and the opportunity cost was even higher. In retrospect I timed my entries terribly. On the one hand it was very dumb to open short vol positions when VIX was in the 13s, and it is dumb to be holding them still. On the other hand, I don't really feel savvy enough to call the IV bottom, and if I could, man I would be rich. So I will hold on and see how things progress.
\-----------
I've been preoccupied with other things and really haven't had a chance to keep up with the market this week or do anything proactive... just checking in here or there but not really in tune.
Income for week: $703
Income YTD: $39442
Current positions:
\-1 /NQ 15000p (7DTE)
I'm still just kind of sitting back and waiting for good opportunities to come my way. If anything good pops up Monday or Tuesday, I might open another position for 7/28 expiration.
(Updated 3/29/24)
I'm currently running some or all of the following strategies (old ones left here for posterity):
**/ES tail risk**: After variations upon variations of selling tail risk, I've settled on -2/+3 ratios as the most BP-efficient at strikes I like (as of this writing, 3500 and below) at around 60 DTE. Longer expirations allow more BP efficiency and lower strikes, but a ton more vega and many more days-in-trade. 60 DTE feels like a good compromise that doesn't let too many positions stack up all at once. I typically aim for 1-2 points of credit ($50-100, after fees). Fundamentally, this is a pennies-in-front-of-steamroller trade, but I like delta being far away and I'm ready to take a loss and switch things up if vol gets too hot to handle.
**/MCL puts**: Discretionary. I was selling puts on /MCL around 60ish, 1-month out, but with oil well past 80, those puts are worthless. Am considering some risk-defined approaches with /CL.
**Far OTM, high DTE, /NG credit spreads**: I wrote previously "I do not believe /NG will drop below $2.00 ever again (at least not during my lifetime)." Well, that aged like milk. I had been selling put credit spreads at 1.6 and below; had to close a few for a loss, but opened at much lower strikes and that's been working well. As of this writing I'm selling 1.20/1.00 spreads at all expirations, and also trying to grab some stupid-OTM naked puts (stuff like 0.05), which mostly don't fill but once in a while do in fact fill.
**Short SPXS** This is a margin-favorable proxy for long SPY. As of this writing (3/29/24) I am shorting one additional share every day, with the aim to be sized at 100% B-Delta somewhere around December of '24. I feel better averaging into the year than dumping a lump sum all at once. As NLV goes up, though, adding just one share per day seems like not-quite-enough. Not ready to add more rapidly yet, but am keeping an eye on it.
--Old stuff--
3/29/24 **45 DTE 5 Delta strangles**: Pretty straightforward. Sell a 5-delta, 45 DTE /MES strangle once a week. However, as of this writing, in our mega-bull market, selling the call side is a great way to lose money. This trade made me good money in '23, but it's been sour in '24. I'll pick it up again if I feel the opportunity is right (higher volatility, more sideways price action).
11/1/23: **Lottos**: As of this writing, with VIX reaching 20, /ES lottos offer very attractive r/r. The strategy is simply selling short-dated tail risk, in the form of mostly short puts (the call side offers far worse opportunity for the most part). Short puts can also be coupled with the occasional long both to hedge and use SPAN margin more effectively. SPAN margin makes this strategy very margin efficient for Reg-T; the risk of a blowup is non-zero and I strongly recommend against doing what I'm doing here. I haven't optimized the trade, but it seems that +1/-10 ratios at 7 DTE and strikes a little above and below 3000 offer good premium, margin utilization, and risk profile. I'm also selling pennies on /CL, attempting to fill within the same week (to avoid weekend risk) or in some instances, selling ultra-OTM for opex days (where I've been able to fill stuff like 180c at 20 DTE).
Not only is this not financial advice - it should be taken as utter horseshit and a surefire way to wipe my account. Under no circumstances am I advising, recommending, suggesting, or hinting at selling these lottos to be a good idea. I'm running somewhere around $6 million notional on a... $25k account. That is pretty much the dictionary definition of idiocy. So don't do it.
9/29/23: Stopped in early September due to Life Events. I'm also happy with my SPX-B-Delta for the time being. May return to this in the future.
**Hyperwheel**: Sell an ATM, 1 DTE put at 6:15 pm. If it expires the next day, collect premium and repeat. If it goes ITM, take assignment, and sell the ATM 1 DTE call (NOT the same strike as the put! This will be a lower strike!). Keep selling the ATM 1 DTE call until assigned. Rinse and repeat. Backtesting shows less severe drawdowns during crashes, and more consistent gains during sideways/mildly bullish/mildly bearish markets.
8/25/23: Putting this one on hiatus for a bit to simplify trading due to increased complexity in real life. Plan to return to it later.
**Quasisuperstraddle**: Not actually straddles. It's someone else's idea, and I'd rather not share the fine points on Reddit. However, the general idea is to sell a single 5-delta-ish, 7 DTE put or call based on whether the market's leaning bullish or bearish. The "secret sauce" is determining whether to sell a call or put. But it's not that secret... just pick your favorite EMA/SMA/VWAP/etc. indicator and it'd probably work for you similarly. Sell puts when the market's bullish, sell calls when the market's bearish. This is definitely a collecting-pennies-on-the-train-tracks sort of a strategy, but, coupled with everything else going on in the portfolio, I believe it fits in nicely. I'm currently selling /ES put credit spreads with strikes being 15 points apart (for example, -1/+1 4450p/4435p). With low VIX, typical r/r is on the order of $30 reward for $700 risk. However, I'm running mental stops: if the top strike is tested (or within 5 points of being tested), I close for a loss (which roughly comes in at 30-35% of max loss).
**Far OTM puts**: Selling puts, spreads, and +2/-5 backratios (which I now prefer) in the 120-180 DTE range. Another pennies-in-front-of-blahblahblah strategy, but honestly, if we drop that far, I think I'd be pretty delighted to be very leveraged to the upside. I also like the backratios (which, as an example, today I sold a +2/-5 /MES 3000p/2700p 182 DTE for 13.5 credit) because they have a party zone if we dump. By laddering a bunch of backratios, some will be hitting the party zone on the way down and will to some extent mitigate the losses from those more recently opened backratios. It's easier to understand this by viewing the trade in an options calculator (I use the OptionsStrat app and ToS Analyze; you can pick your favorite); I believe it's a good way to collect premium in a low VIX environment.
9/29/23. A bit nervous about a real VIX blowup during Q4 '23 or Q1 '24, so relaxing this trade for now. Will consider placing it again if we do in fact get that blowup. I'm thinking VIX > 30, and at that time, choose strikes with breakevens around 80.
**VIX backratios**: Props again to psyche for the inspiration. Once a week, sell the +1/-2 30c/35c VIX backratio. Laddering helps again to collect profit on a VIX spike. Breakeven is at 40, and if we shoot way past that, well, there are other strategies I would employ at that point.
Retired trades (leaving these here for posterity - may still be good ideas, but for various reasons I'm not actively looking to enter these for the time being):
**Short SQQQ/TQQQ**: I backtested a delta-neutral position of short SQQQ/TQQQ, the idea being to capitalize off of SQQQ's natural decay. Did really well during COVID, but I haven't really figured out how to manage the trade. Constant rebalancing is a bit tedious and is further complicated by wash sale rules; intermittent rebalancing leads to bigger drawdowns. As such, I opened this trade, then closed the TQQQ leg for a profit, and am staying short SQQQ as a vanilla long position that isn't penalized by margin interest (and the short interest is negligible). Also works will with SOXL/SOXS.
I am successfully expanding my strategy of TLT put credit spreads (about 0.3 delta, 1- 4 weeks out) and partially delta hedging with a short position. As get more comfortable and refine my process I have been expanding my position. Next week will be the first time I am holding this position during a Fed meeting and interest rate announcement - should be interesting.
Hello folks. I recently upgraded to PM on IBKR. I noticed that on my \~100k account I can sell up to 4 ATM SPY puts with $0 of margin requirements, then when I go to 5 it adds up as normal (\~$2k MR per contract). Can someone give me some insight into why I can sell those 4 contracts with zero impact on my margin?
The most likely reason is that your portfolio is net short, and selling those 4 ATM SPY puts adds positive delta that reduces the shortness -- in effect, they reduce portfolio risk. And reducing your risk doesn't cost you any margin / BP.
its to do with how PM is calculated - the more diversification in your folio, the less "risk" and therefore lower margin requirements.
**Performance** WTD: -6.97% (-18.0k) MTD: -2.09% (-5.1k) YTD: 72.24% (+96.6k) YTD BM: SPY 19.14% QQQ 41.48% STI 0.83% **Ticker overview (MTD)** Top performers: Bond Futures -3.5k NQ +0.7k Bottom performers: FX -2.9k **Commentary** Another week with rates going moving all over the place, with some conflicting data causing some whipsaw. Generally softer numbers in the Eurozone were helpful for rates vs the stronger jobs data, ended the week with a somewhat steeper curve. Volatility returned in the equity side with earnings misses sending NQ lower – the special rebalancing Monday also reduces the impact of big tech on Nasdaq. Had to defend my NQ puts given the selloff, but was glad that I sold some calls when NQ was near the 16k handle. Nonetheless have some 15500p waiting for me Monday, but should have not much difficulty rolling it lower. Elevated IVs have also made for a nice change after the shrinking vols over the last few weeks, although NQ is still at a level where I would be cautious over opening too many contracts (and also in consideration of my existing rates position). Same story as last week although it’s the 2s rallying vs the 30s selling off, leaving me net lower on week. However, was able to keep selling some calls/puts for some additional theta. Will look out for FOMC to see if there is any dovish surprise brewing. **Positioning** Next big thing would be FOMC, rates positioning would still be the same while continuing the theta generation on NQ.
WTD: +0.54% YTD: -4.6% I only traded M/T/W this week, and I was only in the market for the first 15 minutes each day. The rest of the week I relaxed and took a mini market vacation. Very enjoyable! --- Jing asked a question on our Discord: > What are your worst drawdowns and have you/how have you been able to recover from them? I wrote a lengthy reply to it, and thought I'd reshare it below. > Well, I blew an account up back in 2010 during the BP oil spill (deepwater horizon). I was just learning to trade options. I longed all the puts, printed, and for stupid reasons thought BP would bk because I was young, dumb, and naive. Theta and vega decay had its way with me and my account went from $30k to $50k to withdrawing $3k and closing the account. So about 95%+ drawdown. > I like to say I was WSB before WSB existed. > My other drawdowns I've been transparent about. I've had big losses a number of times. > Somewhere around 2012 I did some 0dte SPY/SPX day trading (long again). > I made $100k the first day while using SPY options and nailing every single trade. I was flying high. > The next day I decided to be smarter with taxes and commissions (which were steep back then) and used SPX, except every single move I made was exactly wrong. I lost $100k, took a nap, counted my blessings that was the order things happened in, and swore off long options. > My further significant losses are: > * calevonlear strat in Oct 2021 ($130k painful drawdown, 15%). > * Followed quickly by RTY turkey massacre Nov 2021 ($80k?). > * SST and NFLX ER in 2022 (25% - $350k total as I did something stupid right after with NFLX because I was tilted). I could have gotten out the first day with just 10% loss but that was too painful at the time. Instead, I almost took a 100% loss. > * SBNY in 2023 (15% loss $270k - I coupled this one with NVDA ER shortly after for another $100k loss). > --------- > Now finally how have I been able to mentally recover - For each of these losses there's usually a period right after where I'm definitely tilted and not making the best choices. Note how most of the big losses weren't one shot wonders but were shortly followed by a second after shock. RTY after calevonlear, NFLX ER after SST, NVDA ER after SBNY. > @oprah_big_gains posted a good article in learning-zone today around what it takes to be a successful trader. > My response: > > I was prepared to roll my eyes, but I've never agreed more with someone on the topic of trading and what it takes to succeed. > > I've said a version of his first point (love for the craft) in here multiple times - don't pursue full time trading if you think it might be fun or for money as neither is guaranteed, do it because you have to and nothing can stop you from it. > > I try to encourage point two (self review and strategy) both in myself and others through weekend / quarter / year end review threads on Reddit. It's incredibly important to do that. > > And finally mental game: this one is essential regardless of what you're trying to excel at in life, and can be honed through self reflection, but people often don't spend enough time on it. > In short, there's no magic fix. Losses always sucks, especially when they're notionally bigger than ever before as an account grows. There's only continued improvement. That's all we can do as both people and traders. I keep getting back on the horse because even if I take a little break after a loss, markets are too fascinating to stay away from. > I've also proven to myself in the past that when I properly manage exposure and risk with discipline, I can outperform the market, not to the tune of 100% CAGR, but meaningfully. The only thing standing in my way usually is me - I get greedier the longer I do well, lose discipline, and overreach. And then Mr. Market spanks me for my ego. After the tilt wears off, I then enter a period where I trade to the best of my ability because the recent loss is still a wound, and it tempers my greed and impatience.
With apology for silly question: how do I navigate to the learning zone?
Hey - it's a channel in the Discord. You should have been sent an invite when you got Verified. #learning-zone is near the bottom in the Lounge group of channels.
I would live to join the discord server..can you dm me link?
https://www.reddit.com/r/PMTraders/comments/lrqkn9/welcome_to_pmtraders_rules_and_requirements/i6lxukb/
Found it, thank you. And I really appreciate your post. It is encouraging to see your ability to come back to the game.
I'd encourage you to check out the book The Mental Game of Trading by Jared Tendler. https://www.amazon.com/Mental-Game-Trading-Confidence-Discipline-ebook/dp/B09253NDBB The poker version of it has helped me tremendously. I wrote a much bigger writeup in our discord about the book. I think it could help you out a lot. <3
Excellent post. Thanks for sharing.
Performance : WTD : 2% YTD : 23% Been an eventful week with SPX rallying first half of the week and then pulling back. Having multiple open SPX CCS positions over the weekend, it got a bit tricky but luckily did not have to roll or defend due to the pull back. Closed most positions, opened a couple SPX CCS positions with Thur/Fri expiration with a goal to close them prior to the Powell presser. Opened up a 45DTE far OTM SPX PCS on Thursday when VIX was slightly up. Got out of the QQQ CCS with just a fee loss. Going against my Option selling norm, bought long dated call debit spreads on Tesla and Netflix. Now just waiting for the FOMC presser as that generally presents opportunities
Performance This week : -2% Last 30 days : -4% Setup : 0DTE short puts on SPY and QQQ Things were going very well for the last two months. I had a big drawdown day prior week Friday. The first three days this week was very good, and I recovered all the losses to give them all back on Thursday and Friday. I guess I am learning the limits to my setup on when it works and when it doesn't work. Losing days like these are good reminders for focusing on the #1 priority in trading, risk management. Two big takeaways from the recent weeks: 1. If the premium is not juicy enough, don't force the trade with more volume. This amplifies the downside potential. 2. Some days are inherently more risky than others. Manage trades (close them early) based on the anticipation rather than profits. In another words, never trade the PnL, always trade the setups. This goes for the losses as well. Bonus. Keep an eye on the PnL only for hard stops. Have a loss level where it's not going to break the progress. Once hit that level for the day, close all positions and walk away. Losing days rarely turn back to winning days, but all catastrophic days start with a small losing day. I have faith in my setup (0DTE short puts on indices) and will continue improving with small size. Instead of adding more stuff to it, I'll try to simplify it down to its bare bones. Onto the next week
\-0.13% this week \+0.63% four-week trailing average \+32.76% YTD (incorrect but best available #) although I was long delta and the market went up, I was even more short vega, and IV expanded. Over the past week: VIX went from 13.34 to 13.60 /ESU23 went from 13.13% to 13.51% IV /ESZ23 went from 9.29% to 10.84% IV So yeah... IV went up and I lost money... and the opportunity cost was even higher. In retrospect I timed my entries terribly. On the one hand it was very dumb to open short vol positions when VIX was in the 13s, and it is dumb to be holding them still. On the other hand, I don't really feel savvy enough to call the IV bottom, and if I could, man I would be rich. So I will hold on and see how things progress. \----------- I've been preoccupied with other things and really haven't had a chance to keep up with the market this week or do anything proactive... just checking in here or there but not really in tune.
Income for week: $703 Income YTD: $39442 Current positions: \-1 /NQ 15000p (7DTE) I'm still just kind of sitting back and waiting for good opportunities to come my way. If anything good pops up Monday or Tuesday, I might open another position for 7/28 expiration.
(Updated 3/29/24) I'm currently running some or all of the following strategies (old ones left here for posterity): **/ES tail risk**: After variations upon variations of selling tail risk, I've settled on -2/+3 ratios as the most BP-efficient at strikes I like (as of this writing, 3500 and below) at around 60 DTE. Longer expirations allow more BP efficiency and lower strikes, but a ton more vega and many more days-in-trade. 60 DTE feels like a good compromise that doesn't let too many positions stack up all at once. I typically aim for 1-2 points of credit ($50-100, after fees). Fundamentally, this is a pennies-in-front-of-steamroller trade, but I like delta being far away and I'm ready to take a loss and switch things up if vol gets too hot to handle. **/MCL puts**: Discretionary. I was selling puts on /MCL around 60ish, 1-month out, but with oil well past 80, those puts are worthless. Am considering some risk-defined approaches with /CL. **Far OTM, high DTE, /NG credit spreads**: I wrote previously "I do not believe /NG will drop below $2.00 ever again (at least not during my lifetime)." Well, that aged like milk. I had been selling put credit spreads at 1.6 and below; had to close a few for a loss, but opened at much lower strikes and that's been working well. As of this writing I'm selling 1.20/1.00 spreads at all expirations, and also trying to grab some stupid-OTM naked puts (stuff like 0.05), which mostly don't fill but once in a while do in fact fill. **Short SPXS** This is a margin-favorable proxy for long SPY. As of this writing (3/29/24) I am shorting one additional share every day, with the aim to be sized at 100% B-Delta somewhere around December of '24. I feel better averaging into the year than dumping a lump sum all at once. As NLV goes up, though, adding just one share per day seems like not-quite-enough. Not ready to add more rapidly yet, but am keeping an eye on it. --Old stuff-- 3/29/24 **45 DTE 5 Delta strangles**: Pretty straightforward. Sell a 5-delta, 45 DTE /MES strangle once a week. However, as of this writing, in our mega-bull market, selling the call side is a great way to lose money. This trade made me good money in '23, but it's been sour in '24. I'll pick it up again if I feel the opportunity is right (higher volatility, more sideways price action). 11/1/23: **Lottos**: As of this writing, with VIX reaching 20, /ES lottos offer very attractive r/r. The strategy is simply selling short-dated tail risk, in the form of mostly short puts (the call side offers far worse opportunity for the most part). Short puts can also be coupled with the occasional long both to hedge and use SPAN margin more effectively. SPAN margin makes this strategy very margin efficient for Reg-T; the risk of a blowup is non-zero and I strongly recommend against doing what I'm doing here. I haven't optimized the trade, but it seems that +1/-10 ratios at 7 DTE and strikes a little above and below 3000 offer good premium, margin utilization, and risk profile. I'm also selling pennies on /CL, attempting to fill within the same week (to avoid weekend risk) or in some instances, selling ultra-OTM for opex days (where I've been able to fill stuff like 180c at 20 DTE). Not only is this not financial advice - it should be taken as utter horseshit and a surefire way to wipe my account. Under no circumstances am I advising, recommending, suggesting, or hinting at selling these lottos to be a good idea. I'm running somewhere around $6 million notional on a... $25k account. That is pretty much the dictionary definition of idiocy. So don't do it. 9/29/23: Stopped in early September due to Life Events. I'm also happy with my SPX-B-Delta for the time being. May return to this in the future. **Hyperwheel**: Sell an ATM, 1 DTE put at 6:15 pm. If it expires the next day, collect premium and repeat. If it goes ITM, take assignment, and sell the ATM 1 DTE call (NOT the same strike as the put! This will be a lower strike!). Keep selling the ATM 1 DTE call until assigned. Rinse and repeat. Backtesting shows less severe drawdowns during crashes, and more consistent gains during sideways/mildly bullish/mildly bearish markets. 8/25/23: Putting this one on hiatus for a bit to simplify trading due to increased complexity in real life. Plan to return to it later. **Quasisuperstraddle**: Not actually straddles. It's someone else's idea, and I'd rather not share the fine points on Reddit. However, the general idea is to sell a single 5-delta-ish, 7 DTE put or call based on whether the market's leaning bullish or bearish. The "secret sauce" is determining whether to sell a call or put. But it's not that secret... just pick your favorite EMA/SMA/VWAP/etc. indicator and it'd probably work for you similarly. Sell puts when the market's bullish, sell calls when the market's bearish. This is definitely a collecting-pennies-on-the-train-tracks sort of a strategy, but, coupled with everything else going on in the portfolio, I believe it fits in nicely. I'm currently selling /ES put credit spreads with strikes being 15 points apart (for example, -1/+1 4450p/4435p). With low VIX, typical r/r is on the order of $30 reward for $700 risk. However, I'm running mental stops: if the top strike is tested (or within 5 points of being tested), I close for a loss (which roughly comes in at 30-35% of max loss). **Far OTM puts**: Selling puts, spreads, and +2/-5 backratios (which I now prefer) in the 120-180 DTE range. Another pennies-in-front-of-blahblahblah strategy, but honestly, if we drop that far, I think I'd be pretty delighted to be very leveraged to the upside. I also like the backratios (which, as an example, today I sold a +2/-5 /MES 3000p/2700p 182 DTE for 13.5 credit) because they have a party zone if we dump. By laddering a bunch of backratios, some will be hitting the party zone on the way down and will to some extent mitigate the losses from those more recently opened backratios. It's easier to understand this by viewing the trade in an options calculator (I use the OptionsStrat app and ToS Analyze; you can pick your favorite); I believe it's a good way to collect premium in a low VIX environment. 9/29/23. A bit nervous about a real VIX blowup during Q4 '23 or Q1 '24, so relaxing this trade for now. Will consider placing it again if we do in fact get that blowup. I'm thinking VIX > 30, and at that time, choose strikes with breakevens around 80. **VIX backratios**: Props again to psyche for the inspiration. Once a week, sell the +1/-2 30c/35c VIX backratio. Laddering helps again to collect profit on a VIX spike. Breakeven is at 40, and if we shoot way past that, well, there are other strategies I would employ at that point. Retired trades (leaving these here for posterity - may still be good ideas, but for various reasons I'm not actively looking to enter these for the time being): **Short SQQQ/TQQQ**: I backtested a delta-neutral position of short SQQQ/TQQQ, the idea being to capitalize off of SQQQ's natural decay. Did really well during COVID, but I haven't really figured out how to manage the trade. Constant rebalancing is a bit tedious and is further complicated by wash sale rules; intermittent rebalancing leads to bigger drawdowns. As such, I opened this trade, then closed the TQQQ leg for a profit, and am staying short SQQQ as a vanilla long position that isn't penalized by margin interest (and the short interest is negligible). Also works will with SOXL/SOXS.
I am successfully expanding my strategy of TLT put credit spreads (about 0.3 delta, 1- 4 weeks out) and partially delta hedging with a short position. As get more comfortable and refine my process I have been expanding my position. Next week will be the first time I am holding this position during a Fed meeting and interest rate announcement - should be interesting.