Any ETF with S&P short-put write strategy?

[Q.E.D.]

The symbol "PUT" shorts current, about at-the-money S&P puts, but vs money in TBills, rather than short S&P. Besides, PUT is an index, not an ETF.

As individual, I could initiate spreads, in each of many different monthly expirations, but an ETF would be easier, & likely worth the small mgmt fee.

There are many long S&P vs write calls, but will not work well in down mkt.

 

[newwurldmn]

The symbol "PUT" shorts current, about at-the-money S&P puts, but vs money in TBills, rather than short S&P. Besides, PUT is an index, not an ETF.

As individual, I could initiate spreads, in each of many different monthly expirations, but an ETF would be easier, & likely worth the small mgmt fee.

There are many long S&P vs write calls, but will not work well in down mkt.

PUT and writing calls are the same thing (save for some some nuanced differences which AQR highlighted in a very interesting paper).

To trade yourself, you don't need to initiate many spreads. You just sell a put and buy it back and sell a new put each month. Same as a fund. Your execution costs will be better due to size and you will save a management fee.

 

[Q.E.D.]

Buying a put and writing a call is equal?

I'm not looking to just buy puts on a monthly basis, but only capture the rate between say buying S&P 460 put, & shorting S&P 445 put (basis current pricing,) for say 2, 4, 6, 8 , 12 monthly out.

The return, on balance, would likely be something like 7 - 15% per year. Just looking for relatively low-risk play, to replace some funds in TBills, earning about 5% currently.

 

[newwurldmn]

Buying a put and writing a call is equal?

I'm not looking to just buy puts on a monthly basis, but only capture the rate between say buying S&P 460 put, & shorting S&P 445 put (basis current pricing,) for say 2, 4, 6, 8 , 12 monthly out.

The return, on balance, would likely be something like 7 - 15% per year. Just looking for relatively low-risk play, to replace some funds in TBills, earning about 5% currently.

selling a put and buywriting is equal.
the PUT sells a put.

Trading putspreads is different from mimicking the PUT index. There might be specialty funds that will do something similar but the fees will be high and it will probably be worth your effort to do it yourself.

I would be surprised if this earns 7%/year without leverage (on notionial). With leverage, you have a lot of risk. this has been discussed ad nauseum in the 1000 iron condor threads.

 

[2rosy]

XYLD

 

[Q.E.D.]

Thanks, but XYLD is a covered call ETF. I'm looking for ETF that is short S&P & sells puts against that. Basically short-write, vs buy-write for calls.

If I did it myself, I would not be outright short S&P, but just enter a S&P put spread, so my loss would be limited.

 

[newwurldmn]

Thanks, but XYLD is a covered call ETF. I'm looking for ETF that is short S&P & sells puts against that. Basically short-write, vs buy-write for calls.

If I did it myself, I would not be outright short S&P, but just enter a S&P put spread, so my loss would be limited.

you are talking about three different positions.

short puts
Short putspreads
Short puts, short stock (synth of short call)

 

[traider]

try PUTW

 

[Q.E.D.]

you are talking about three different positions.

short puts
Short putspreads
Short puts, short stock (synth of short call)

Sorry, if not clear; always problematic writing while trading! My goal is put spread if I do it, but I would assume an ETF would be net short S&P vs selling puts. Spread for myself would limit risk. I assume a well-managed ETF would still have tight control on risks.

 

[destriero]

Thanks, but XYLD is a covered call ETF. I'm looking for ETF that is short S&P & sells puts against that. Basically short-write, vs buy-write for calls.

If I did it myself, I would not be outright short S&P, but just enter a S&P put spread, so my loss would be limited.

You're looking for an ETF that shorts SPX calls. Short spot and short puts = short call. It's just the synthetic (arbitrage). I don't think any exist and it would not draw much interest. Generally funds like to structure "long only" or capped structures (no unlimited risk).

It's not feasible as the fund would have to devote a small % of assets to the strategy to allow for variation margin. I can't imagine any listed fund would be allowed to do so.