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

[i960]

Karen the Supertrader still alive and kicking?

Oh yeah, Karen sure is alive and ticking - and she just got nailed by the SEC. Turns out, unsurprisingly, that no you can't just mindlessly sell deep OTM premium and survive long-term: http://www.elitetrader.com/et/index.php?threads/schadenfreude-warning-karen-the-supertrader.300275/

Now do you folks believe what we've been saying?

 

[ironchef]

Oh yeah, Karen sure is alive and ticking - and she just got nailed by the SEC. Turns out, unsurprisingly, that no you can't just mindlessly sell deep OTM premium and survive long-term: http://www.elitetrader.com/et/index.php?threads/schadenfreude-warning-karen-the-supertrader.300275/

Now do you folks believe what we've been saying?

Yes. Appreciate and enjoyed reading write ups from you, Maverick, newwurldmn, Martinhoul, blueplayer, just to name a few. Very educational.

 

[sss12]

Hey all. First time post..Question concerning selling SPY credit spreads in an high IV/high VIX environment...

I came through Aug '15 and Feb '16 ok by taking my loses at my short strikes on my open spread positions on the put side ( I use TA and some st fundamental and set my strikes accordingly outside the S/R levels on either/both put and call side based on my directional opinion of where the market is not going) and I understand that you don't want vol increasing if you have positions short prem./spreads open.

But what about establishing new credit spread positions in a high but stabilized vol situation ? ie: one would be making the assumption that vol will not rise significantly more. Assuming I stick to my strategy of taking my loss at the short strike if I don't get the directional call correct somewhat right, is it still a feasible trade ? or is the debit spread counterpart the only way to go ? Thanks for the input.

 

[OptionGuru]

Hey all. First time post..Question concerning selling SPY credit spreads in an high IV/high VIX environment...

I came through Aug '15 and Feb '16 ok by taking my loses at my short strikes on my open spread positions on the put side ( I use TA and some st fundamental and set my strikes accordingly outside the S/R levels on either/both put and call side based on my directional opinion of where the market is not going) and I understand that you don't want vol increasing if you have positions short prem./spreads open.

But what about establishing new credit spread positions in a high but stabilized vol situation ? ie: one would be making the assumption that vol will not rise significantly more. Assuming I stick to my strategy of taking my loss at the short strike if I don't get the directional call correct somewhat right, is it still a feasible trade ? or is the debit spread counterpart the only way to go ? Thanks for the input.

Nothing good about picking up SPY pennies in front of the steam roller. Can you give more info on your SPY spreads?

• How far OTM?
• The spread between the strikes?
  
• How long before expiry?
• Credit received?

 

[sss12]

Nothing good about picking up SPY pennies in front of the steam roller. Can you give more info on your SPY spreads?

• How far OTM?
• The spread between the strikes?
  
• How long before expiry?
• Credit received?

No steam roller, they're spreads exited at short strike if original directional opinion not working out. More interested in people's thoughts on spreads in a high(er) IV/vix environment...thanks

 

[OptionGuru]

No steam roller, they're spreads exited at short strike if original directional opinion not working out. More interested in people's thoughts on spreads in a high(er) IV/vix environment...thanks

Exiting at the short strike sounds good in theory ..... but in reality it's too impractical.

Once again could you give more details on your SPY credit spreads?

• How far OTM?
• The spread between the strikes?
  
• How long before expiry?
• Credit received?

 

[sss12]

Exiting at the short strike sounds good in theory ..... but in reality it's too impractical.

Once again could you give more details on your SPY credit spreads?

• How far OTM?
• The spread between the strikes?
  
• How long before expiry?
• Credit received?

Actually, the short strike exit is very practical and has worked well limiting my loss when vix has spike as in August and Feb or when I have just been flat out wrong on my directional trade.

Again, my short strike is outside of the S/R line. If that level is broken I usually do not want to stay in the position for long.

In this low vol environment (maybe ending ? Hence the question..) I've usually opened spreads with delta of short strike 25-30 %, again it depends on the TA and my confidence in the potential outcome.

My question remains...any comments on OPENING credit spreads with this strategy in a high but stablizing vol environment ? Thanks

 

[Maverick74]

Virginia....those puts aren't 5 delta anymore.

 

[sss12]

Virginia....those puts aren't 5 delta anymore.

@Mav74. Do you have a minute to comment on my question in post #33 an #37 ? thanks

 

[i960]

My question remains...any comments on OPENING credit spreads with this strategy in a high but stablizing vol environment ? Thanks

Everything boils down to: do you expect vol to increase or decrease and how is the market currently pricing that. Go from there.