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15 Comments

  1. Tomaz
    October 25, 2019 @ 12:07 pm

    Great! Thanks for the fantastic research you do. I have yet to find similar website with such good info, back-tests, logical explanations etc..

    Reply

  2. Uri
    November 12, 2019 @ 1:26 pm

    What is 0 DTE?

    SPY short put 0 DTE? it need to have at lest 1 day (1 DTE) to sell it…

    also what do you do, when it finish in the money? (you close with a loss?)

    thanks!

    Reply

    • spintwig.com
      November 13, 2019 @ 4:30 pm

      0 DTE positions are same-day expiration. For example, opening a position Wednesday morning or afternoon with a Wednesday expiration.

      ITM positions that are held till expiration are “bought back” at the closing price (this methodology is the same whether the study is 0 DTE or 45 DTE). Trade P/L and Win/Loss status is calculated after factoring in initial premium received and commission costs.

      Reply

  3. Coop
    April 11, 2020 @ 9:11 pm

    If 10D is the greatest risk/return…then why do you recommend 5D in your Trading Options Efficiently posts?

    Thanks so much for your posts, they’re amazing! Best I’ve found on the inter web.

    Reply

    • spintwig.com
      April 12, 2020 @ 9:50 am

      That’s because this is a completely different trade than what’s used in the Trading Options Efficiently mini series.

      The mini series focuses on a 45 DTE trade. This is on a 0 DTE trade that also experiences materially more timing luck due to the non-100% time-in-market exposure.

      You’re welcome! Appreciate the positive feedback!

      Reply

  4. Tintintrading
    April 13, 2020 @ 7:43 am

    Hi,
    Firstly, your website and data look fantastic, thank you. It is really great reading.
    I have a question on ‘D’ in the above, you state that the 10D @ 50D is best risk-adjusted reward, would you mind expanding on this, do you mean the delta? and if so, what does 10 delta at 50 delta mean? I haven’t seen any other reference to ‘D’ other than talking of delta and I think I have got confused!

    Thank you in advance for your input, really am finding your research very insightful,

    Best,

    Reply

    • spintwig.com
      April 13, 2020 @ 12:48 pm

      Thanks for visiting Tintintrading! Glad to hear the info is helpful.

      Yes, the “D” is shorthand for “delta.” The “10D @ 50D” is a typo – good catch! It should read “10D @ 50% Max Profit or Expiration” I have corrected it 🙂

      Reply

  5. Nicks
    April 20, 2022 @ 3:53 pm

    Most places are now 0 Commissions. Is it possible to see the difference without having to pay for any commissions. I think some of these would be more profitable, esp if you are just utilizing margin as free monies to use the option premiums to buy more $SPY shares continually.

    Reply

    • spintwig.com
      April 23, 2022 @ 7:14 pm

      True, some places have $0 per trade and $0 contract fees. However, for all of 2007-2010 and most of 2010s, fees were $4.99 to $19.99 per trade or more depending on broker, before contract fees. Using $1 throughout is generous since more than half the backtest duration had several multiples higher commission drag.

      Reply

      • Nicks Reply
        April 25, 2022 @ 9:58 pm

        So essentially without commission brokerage fees like most are now, these strategies comparatively to BUY/HOLD $SPY can be quite lucrative. My current strategy through Robinhood due to their easy margin access is to run 0 DTE $SPY CSPs around 10-20 DELTA. I use the instant option premium received (once option is “sold” of course), and then buy fractional $SPY shares. The margin is free to utilize until one of the CSPs is exercised. If exercised, even with the interest rate, a single high delta (~30-50) will make a significant amount of option premium and I won’t be holding the 100 shares for long. As I gain option premiums, Robinhood expands my margin and as my account value from share appreciation expands so does my margin access. Robinhood has really worked out well for what I’m doing.
        Appreciate the backtesting. I look forward to seeing more 0 DTE $SPY backtests when SPDR adds every day expirations soon. CBOE is adding them to $SPX right now. This is one of the easiest and safest option money makers I could think of after trying some other strategies. I don’t mind holding $SPY long term so there is no downside to me. I have about 20+ more yrs in the market before retirement. I can’t wait to see what the next 5yrs will bring.

        Reply

        • spintwig.com
          April 30, 2022 @ 12:05 am

          That strategy sounds profitable *until* you have to buy back the 100 shares of SPY that were called away in order to re-run the strat.

          Suppose SPY is trading at $412.00 and a 30-delta May 2 short call struck at 418 provides $1.90 of premium. We have another 2.5% up day and SPY closes at $422.30. You collected $190 in premium + $600 ( [418 strike – $412 underlying start price] * 100 shares) on the long SPY position. You also invested the $190 of premium in fractional SPY shares at the time or order entry that also grew the same 2.5% to 194.75 for a total profit of $794.75. Great!

          When you go to repeat this trade, you’ll need to repurchase 100 shares of SPY, which are now at $422.30. You received $41,800 after your original shares are called away + $194.75 in existing SPY shares for a total balance of $41,994.75. However, 100 shares of SPY now costs $42,230. You’ll have to contribute an additional $235.25 in order to purchase the necessary 100 shares to run another covered call.

          It’s not technically possible to “blow up” from trading a covered call strat (ignoring downside risk of the underlying); the account balance will indeed go up when shares are called away and a “loss” is observed on the short call. The loss is “felt” when one has to put up the capital to buy back in and repeat the strat.

          I do look forward to running additional backtests once there is ample history of Tues/Thurs expiring SPX options. Stay tuned!

          Reply

          • Nicks Reply
            April 30, 2022 @ 7:51 am

            I greatly appreciate the feedback! Although I’ll have to reread your reply a couple times talking about buying back 100 shares to re-sell a Covered Call. I was “gaining” those shares through a exercised CASH SEC. PUT., then just high DELTA (Covered Call) wheel it until those shares are called away.
            So, essentially the option premium throw outs (gains from the margin stack of “cash” that does not affect my underlying assets) just go into my continual $SPY long term holdings. While CSP being exercised and then a covered call being exercised does affect my underlying base holdings “average/base cost”, as long as it’s moving along at a slow pace, taxes shouldn’t be too terrible. I’ll start to maximize tax savings like IRA/401k/HSA accounts to offset those capital gains YoY.

            I do greatly look forward to more back testing. I had thought about this with $QQQ as well prior to having the high capital but the swings in the last 6 months are getting a bit ridiculous, even for 2.5% (-2.5%) is a high chance so not enough back testing historical points are avail for the current environment.

            Reply

            • spintwig.com
              April 30, 2022 @ 9:23 am

              oof – I completely misread CSP as a CC. Sorry about that!

              Reply

        • Coop
          April 30, 2022 @ 10:44 am

          Very interesting! I’m curious, why 0 DTE as opposed to something longer like 30?

          And this is basically a wheel strategy with margin no? I like wheeling too but the strategy gets tricky when your puts get assigned and the asset tanks. What if you get assigned on SPY then there’s a big marker correction that takes years to recover from—? How much would it have to crash for you to get margin called?

          Reply

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