SPX calls closed for -5% loss.
SPX puts closed for 45% and 50% profit.
The play went almost exactly as expected lol, but it was really tough to stomach being down 35% at 10:30. This didn’t happen the last two fomc’s.
We still saw the massive IV climb from 59% to 85%, it may even get all the way to 90%.
This play is 100% still a go in the future, but entries will need to be better timed to maximize profits. I’ll be watching VIX and watching IV more closely to get the best entry.
exited puts for 36%. calls for 5%. Got out shortly after you cause my puts hit 50% then dropped to 30ish immediately so thought figured green is green. Overall good play! I’m sure theres some more tweaking to be done and researched to find optimal entries
always scary to go in heavy but maybe next time if the same happens just average down. I suppose it depends on how transparent the fed is at the current time but I can’t imagine anytime soon that IV won’t still be pumping on fomc days
For this I went $10 higher and lower than current price. Bought 408/388 at 9:36 for .14. If I sold now at 1pm, the .14 call went to .17 and the put went .14 to .19. Overall about 25% to 30% gain so will go in heavier next time.
Right before I closed both sides shot up another 5% and I made $4 off of $15… It was closer to a 42% true profit but stupid fee/commissions dropped me to 27% profit. This would have been a lot more profit if I used a bigger port since the margins are crap working with only $20 bucks. Solid play, thank you!
OK to add to my review. The best time I saw was entry around 10am and exit at 1pm. That is when the IV was highest and profit was up on both the puts and calls. Since then, the profits have dropped a bit but still are hovering around .03 or .04 per each contract. This may change of course on how SPY moved but if I play next time, I will prob follow these enter/exit times.
Agreed, next time i’ll probably take a 1/4th of the position at open just incase IV climbs immediatley (happened the last two fomc’s,) and then be prepared with the rest at the opportune time.
Exiting at 1pm is definitely the move. IV continued to increase to 96%, but the value of contracts actually dropped a bit.
This was great, thank you! Got out with around 24% profit. For my own two cents, on the positions I took, the calls hit their high about 10:35am and the puts hit their high around 1:10pm. The 0.10 had very little movement, I had more luck with .50 and 1.00 this time. I’ll be interested to see how things look for next time. Thanks again
This play worked so well that it was on my list things to look back through. I know we are still almost 3 weeks away but I got bored. Anyway, I pulled historic option prices going back to jan 2021 and played around till I found calls and puts that were between .10 and .13 at open on Fed Rate day. One thing I noticed is, if there was one option that was .10 at open and one that was .13 at open, always go with the more expensive one. It had better return. Same with if one was .09 at open and next strike was .14, go with .14. All that said this looks like a very profitable play. Better than the algo pump actually. I have no way of knowing when the highest option price actually happens and the format is rough but here is the results.
With FOMC on the horizon this Wedensday, I wanted to make an update on this play and what i’m planning on to do. There is still a lot of uncertainty in the markets, we are 100% getting another 25bps hike, but as per usual, the uncertainty lies with jpow’s speech.
For this reason i’m quite positive we will see the same massive IV increase in 0DTE SPX and SPY options leading up to the news drop.
For this FOMC, instead of buying at open i’ll be closely watching the VIX and IV and waiting for it to start climbing. In TOS we can see the IV level in the options chain on the far right:
Last FOMC, we opened at 60% IV and floated there for an entire 45 minutes. The position I bought at open was down 30% because the VIX crushed in the AM, but 4 hours later the position was sold for 45% profit. If I had waited until IV actually started increasing it would’ve been a 90-100% profit play.
So i’ll be closely watching that IV in TOS and waiting for it to tick up 1-2% before buying. Also watching VIX.
I’m only going to be buying whichever SPX contracts are valued at 1.00 when it’s time to buy. I do plan on going pretty heavy this time around, the play has hit 3 times so i’m confident in it. Same as last time, the time to SELL is at 1pm, or one hour before the report drops.
A couple people played SPY last time and it looked like it worked well too. I like SPX because contracts cost the same but i’m getting more leverage. Anyways looking forward to IV harvesting again and printing that money without trying to play the volatility later in the day.
Just noting here for future. At close (goes till 4:15 but noted at 4:00):
SPX 4035/4040P bid/ask is .90/1.00 and 1.10/1.20
SPX 4195/4200C bid/ask is 1.15/1.25 and .85/.90
24% IV on the puts
21% IV on the calls
Just want to see what these open up at tomorrow. Would imagine buying before only works on the assumption spx opens flat but just curious. I plan to follow the lesson from last time and wait a bit till 10/10:30 and see how the volatility is going.
Looking forward to tomorrow.