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All are SPX because they are based on the SPX index.
- The ones expiring on the 3rd Friday of the month are "SPX Jan14'21 3675 PUT"
- The others are SPX/SPXW, for example: "SPX (SPXW) Jan15'21 3675 PUT"
Options expiring on the Friday open are fine. I sell them on Wednesday for 1.5x the target daily premium. Then on Friday at the open, I sell a combination of the Friday SPXW options and the Monday options (this month it's the Tuesday, Jan 19 options due to the MLK holiday). And as we get close to the Friday close, I roll the Jan 15 options into the Jan 19 options.
Staying the course the last couple of days. One day expiration sold for $0.8 yesterday, and due to the big up day sold at $1 instead of my usual $1.2 today. Strikes in the 3675-3695 range both days.
Sold 3735 at close for $1.15, which I think was a 4 delta. Always love up days for overall portfolio, but makes selling puts scarier for me.
@navypack Nice! I did the 1/25 expiration options between 3695 and 3730. I also did a same-day option on Friday with a 3785 expiration early in the morning.
Think that trade above was the 1/22 close....my 1/25 trade around 1 hour before close ran against me at end of day.
Mid day after big drop and VIX spike, I sold Wed (1/27) 3550 Strike for $1.35 with underlying at 3800 (or so) for around 3 delta.
Scary prospect when the current day option was underwater.
I'm in the ballpark of shifting from 1 contact to 2 contracts, so not so bad, but strange to go from 2x leverage one day to 4x leverage the next. Interested in ideas to transition when account value is around 200k.
@navypack a few options (ha!) I have toyed with:
- As the put leverage goes down increase leverage on your long portfolio by buying a Micro ES. Say, 1 per 30-60k of put excess above your target leverage. Smooths out the leverage until you’re ready so you don’t stretch or have as big of overall leverage jumps.
- trade 1 SPX and 1 e-mini put, the XSP is too much work at this scale
- take the jump and hope for the best. You only have to do this a couple of times in your life because at 5>6 puts the leverage jumps aren’t so severe
edit: clarified as 30-60k
@nobatmanjokes Had not thought of #1, and interesting idea. I like option 3, and thinking through impact of going lower delta until leverage gets back down to 3.5.
Yes, only really an issue early in the process of growing taxable portfolio.
@navypack good point that you can adjust delta. Building on that you could do one at your normal level and one somewhat lower, increasing that second one as the leverage comes down.
Wrote the 3670 strike for 1/27.
Also trying the 4-mo VIX call ladder, as found here: https://investps.com/wp-content/uploads/2016/09/PortfolioDiversificationUsingVIXOptions-Final.pdf
Probably not an ideal time to start as the VIX curve is already pretty up there.
Can't really decide between the 4-mo VIX call ladder utilizing 25bps of the portfolio monthly for an average 3% loss per year or doing VXX diagonals with 10% of the portfolio and netting to zero at the end of the year. The ladder of course needs no real cash balance to maintain but you're going to hold a decent cash balance to cover any bad trades anyway so...
@ap42 Thanks for the interesting PDF. I'm partway through it. I'm also thinking of taking some VIX long exposure at the moment. I'm a bit paranoid about the potential ramifications of hedge funds going bankrupt thanks to the GME short squeeze.
@ap42 Thanks for the link. I agree that VIX strategies like that are nice inexpensive hedges against a Feb-2018-style event. Problem right now, as you correctly state: VIX is already very elevated.
Had a Wed (1/27) option that was worthless (3550 Strike), so sold a 1DTE at the 1/26 close with 3730 Strike for $0.50...getting spicy today!
Hope VIX stays high into close for next Put sales and I don't take loss (SPX is at 3742 now).