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If you want to profit from volatility its better to look at calendars.

I understand the calculation, but the premium is much lower then 20% of SPY on 100$. See picture for premium and strike for spot at that moment. Most of the time it is less then 2%. You will then close the trade when the index changes 0.5%. This will result in small wins..

I use my own software, it looks simplistic but i can do a lot of rules with it..

calculated three years, this is with 25% of premium..

See transactions, a 25% of premium would results in closing the transaction most of the time within a hour. Profits would then be small and losses could be big because of opening gaps

min an max per expiration is in table. There could be multiple trades per expiration. I see i made a mistake :-) both options where puts, i shall recalculate the results

Yes, i used 25% of premium (of complete straddle). What do you mean with 25% of width? Its a straddle, strikes are equal..

Calculated it for the SPX, see results.

Thanks!

IV is key, sell 2 week options when IV is low (or buy cheap options), sell longer dated when IV is high

https://www.lightspeed.com/pricing-fees/options

So do it the other way around, buy the straddles just before the close in this environment :-)

If you're happy with taking profits early please do. My backtests tell me otherwise...

Sometimes i closes positions early to relieve margin. Most of the time i let them expire or buy them back for 5 cent close to expiration. I don't have a profit level, only risk levels..

The point is that taking profits early and don't cut your losses will lower the overall P&L. If you want to manage the position its better to limit your losses and let your profits run..

SPY an to small product for this. The tx costs of SPX is in percentage a lot lower..

When closing earlier for profit your are limiting your profits, you're losses will be the same.. The cheap wings will limit your margin (be careful not to overtrade!!) but still you will have big losses..

I use self written software (java based)

Selling ATM DTE0 straddles a hour before the bell still had a positive P&L: 4.7K in 2022.

On SPX for 2022: Strategy 1 has an max DD of -25202.5 on date 2022-04-29 Result -16203 for the year without transaction costs