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Unfortunately I didn't take a hands off approach today. I had SPY 422s expiring today that I had sold for .14 Friday. This morning, they shot up to .95 when SPY got into the 430s, and I managed to bail out at the worst price for the day.
@jsm32163 it can be a bit unnerving and there have been times where they did go itm they I could have closed off earlier in the day.
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Net net overall though just letting it play out has been good for me. I remember there was one trade back in April I believe that was literally right at the money. The entire day it kept going in and out by 10 points into the close then expired 2 points otm.
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I probably would have had a seizures during the day following that one.Â
Volatile day today! I had strikes 4195, 4200 expiring today. So, they were not in any real danger.
Then I sold 3925 strikes early during the day and 3850 later. Should be enough cushion in case of further falls over the next 2 days!
Hi ERN,
you are more conservative than me. I bought back Mon 4240 and sold Wed 4020/4000.
Sold a 4380 Put for $1.15 this morning for Wed close.
I do notice it is hard to raise the sale price as Index goes up and VIX goes down. At 3600, you need $115 three days a week. At 4400, you need $141 three days a week, but your mind is fixed on the $115.
@navypack I set myself up a little spreadsheet tab that gives me a ânormalâ daily premium target scaled to the current index price for me - just a basic % of index. Next to that I display the latest VIX data. I donât have it automatically choose pricing or strikes but those are two key variables I use in one place.
@nobatmanjokes yep, I do a very similar thing. Need to build the skills to pull down some of the data automatically. Â
Reallizing today's $150 on SPX is not the same as a year ago when reaching to $150 was a bigger delta (more risk).
@navypack if you want to be super lazy and use Google sheets itâs just =googlefinance(âVIXâ) and â.INXâ will get you SPX. Then you can scale the daily ânormalâ premium target to the index. Extra credit for figuring out how to scale it to volatility which becomes more complex for many reasons, including nonlinearity and the fact that VIX is not the same as the two day IV!
@nobatmanjokes Nice! It's a good first approximation. VIX is targeted at a longer horizon: 30 days
Also FYI: google has some additional, more short-term focused vol indexes, including a 9-day vol index: https://www.google.com/finance/quote/VIX9D:INDEXCBOE
