Selling delta 3-5 ES Puts with 40-57 days left

[Maverick74]

BTW, there is zero volume on those puts today and the open interest is 7 contracts. Mods close this thread please.

 

[tradelosses]

And what's the point in selling 5 month vol? The difference between 40 vol and 50 vol is pennies fwiw. Are you really going to hold these for 5 months? And if not, you'll be giving those pennies back on the way out. I just don't understand these trades.

given the strikes, they will be worthless long before 5 months , so I'l close them before then . Admittedly, it's probably not a great trade.

I'm combining this with shorting SPY to keep the deltas neutral, so there is a pretty wide range of potential profit. The market could fall 5% and I'll come out ahead on both after a few months or so.

I'm using https://www.getvolatility.com to try to find SPY strategies that have high sharpe ratios when held for a short duration (1 week) . It;s easy to get high sharpes when holding for months, but this not take into account path dependence

 

[tradelosses]

BTW, there is zero volume on those puts today and the open interest is 7 contracts. Mods close this thread please.

those are some of mine

 

[Maverick74]

those are some of mine

There was ZERO volume today. Which part of zero was yours.

 

[Maverick74]

BTW, if we were to trade down to 1900 and vol went to 60 those puts go to 45.00. Just sayin...

 

[kcgoogler]

BTW, if we were to trade down to 1900 and vol went to 60 those puts go to 45.00. Just sayin...

Dont worry Mav. Whoever sold them will manage them (wink); roll them out and reduce risk

 

[OptionGuru]

Holy shit ....... Only on ET does it take 5 posts to get the basic details of a trade. Wouldn't 1 post be enough, or are you guys trying to boost your post count?

BTW, there is zero volume on those puts today and the open interest is 7 contracts. Mods close this thread please.

Holy shit .................. A paper trade? I'm outta here.

 

[tradelosses]

BTW, if we were to trade down to 1900 and vol went to 60 those puts go to 45.00. Just sayin...

according to the simulator using august results when the vix did get close to 60, the SPY 190, the contract would get as high as 25, which is still pretty bad

A test with UVXY using similar august parameters also shows large losses

There was ZERO volume today. Which part of zero was yours.

https://imgur.com/qr3tzUn

 

[Maverick74]

according to the simulator using august results when the vix did get close to 60, the SPY 190, the contract would get as high as 25, which is still pretty bad

A test with UVXY using similar august parameters also shows large losses

https://imgur.com/qr3tzUn

Dude, don't use a retail platform to tell you where the put is. I have a spreadsheet with a good pricing model that is accurate. My prices are correct. I have never seen a retail platform give even a remotely accurate answer for simulated prices. The puts are going to 45 dude. And that is what a vol of 60. If we dropped to 1900 fast that vol could be a lot higher. So 45 might even be low balling it. Not to mention the spreads would start getting really wide.

 

[sysdevel99]

Dude, don't use a retail platform to tell you where the put is. I have a spreadsheet with a good pricing model that is accurate. My prices are correct. I have never seen a retail platform give even a remotely accurate answer for simulated prices.

So what you're saying is your spreadsheet that has a single guy looking at it to find potential issues or bugs is more accurate than retail software that has thousands of guys looking at it or live data feeds updating greeks in real time?
Learning something new every day - you may want to sell your knowledge (or spreadsheet) to these retail platform companies - I'm sure they would save a lot of development $$$ and end up with happier customers