5 Comments

  1. Madison Ruppert
    January 23, 2021 @ 4:17 pm

    I would love to see this study repeated with a shorter duration (7DTE, for example) given your other study on 50D 7DTE short puts outperforming the S&P on a risk-adjusted and total return basis. I’m wondering if that strategy was turned into a wheel strategy if it would also underperform as seen in the above study.

    Thank you for your hard work!

    Reply

    • spintwig.com
      January 23, 2021 @ 4:39 pm

      I can add that to the list – thanks for the suggestion!

      Reply

  2. Wall Street Will Hate You for Knowing This - Crazy Finances
    January 29, 2021 @ 9:50 pm

    […] perseverance. Additionally, I don’t recommend doing this strategy on a broad index as simply buying and holding SPY would actually outperform the wheel strategy. Instead, pick a stock that you believe has long-term growth aspects and perform the strategy on […]

    Reply

  3. Tim
    February 3, 2021 @ 10:14 am

    Hey, came across your posts on /r/thetagang as well as ERN. Love the backtests.

    I was wondering, how would wheeling SPY compare to wheeling a subset basket of S&P components – my curiosity is with the highest vol components.

    Component vol individually would be higher than SPY, would it be possible to structure the basket such that it has roughly the same diversified exposure of SPY whilst maintaining the benefit of higher premiums through the individual components higher vol?

    Reply

    • spintwig.com
      February 3, 2021 @ 7:35 pm

      Hi Tim!

      It depends how that subset basket is comprised. The more diversified the basket, the closer it’ll perform with SPY (minus the increased friction costs – contract fees, slippage – from trading a smaller amount of capital on a greater count of underlying).

      If we turn the dial toward a concentration of only high-IV underlying, I anticipate uncompensated risk with lower risk-adjusted returns; the frequency and severity of realized losses exceeding the increased premium.

      Reply

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