Nice, yeah lets see what they open at tomorrow. I think overnight theta still crushes these but who knows! Ideally we see 55-60% IV at open tomorrow.
Ok going to review this play now as I am out. Played SPY too and not SPX. From my experience entry, IV, and delta matter a lot on this play and thinking that drop saved me because my puts were not similar to calls like last time as in price and the good old Greeks (mind the theta too aas entries too early or day prior might hit you with that too). Grabbing a 408 put and 416 call would have been a bit better, but I played 407/416 by accident. I also executed the order manually on each one within a few seconds but should have just added a leg and done it all at once to save time. Prob won’t matter a bunch but still like to be precise. We have seen the last 3 times now that we have played this that the best entry time is from 10 to 10:30. Yes many also say IV is highest near close and right at open so watch that and make your call. On TD I saw my IV on both calls and puts trend around 26/27 and at that bottom drop both were over 30. I chose to sell at the bottom because my put covered my call losses and made 20% will do better with correct spread and entry next time but great play today for most. We also saw best exit no later than about 1pm est. please add your experiences here so we can help others.
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I had 4050p and 4210c. Worked great just much earlier than expected. Peak total hit not quite 70%. Unfortunately couldn’t get out then so decided to wait until now to see if IV started to take off and at least for me its been pretty stagnant so I figured not gonna let myself go red on a play like this and took 5%. We will see what happens until 1. As of right now i’d be up a little more but not worth the risk. Would’ve loved to capitalize on the big gains as i’m not sure how this will work out in the future with the expectation of no more rate hikes.
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I went with spy 5/4 422 calls and 399 puts. Each I got for .12c around 10am. I had to do 5/4 because I recently took out the majority of my cash in my brokerage for other purposes not think that would keep me from buying 0dte. It didn’t seem to make a difference when I ran it with 1dte over the weekend. Puts I was able to sell for .26c at around 11:00 and was quite happy with it since I wouldn’t be free to watch for the next few hours. The highest the puts got was .27c so I nailed the exit. Calls dropped down to .09 around that time so I set my sell limit to .12 to to hope to get even. They hit around 12:00. I could have sold them for .13 around 1 I think but was happy with the return. Crazy thing is, at the time I sold my puts for 116% gain, my calls were only down like 14%
So I played this, with a 408p @ .93 and a 413c @ 1.09 - IV was @23% 1dte at time of purchase. The hedge did work well into the morning. IV slowly increased to 67% at 1:30pm. The straddle was down 6%.
Decided to just hold into the announcement, this did work with the call and I successfully sold the call on the green candle for a 9% gain. However during the bouncing of JPOW talking theta kept putting the put farther and farther behind and I gave up on the put when it appeard it was not going to decrese enough. Ended up loosing 9% on the play. I could have held the put until the presser was over and would have not gone green but would have made money on this play. Could also have exited the play in the morning with profit.
Did not play this correctly. However the loss was small and was a good lesson.
The straddle was a good strategy and could have worked out for me if I had been wiser.
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Picked up 4050P and 4210C for 1.00 at the first uptick of IV in the morning from 43% to 44%. I sold the 4050P for 2.55 and the 4210C for .55
Overall very profitable, unfortunatley IV didn’t increase in the same way it has in the past. When I visualize the curves of theta and IV, I think about IV overtaking theta to continue making the contract more and more profitable. This happened when IV rapidly climbed from 43% to 53%.
Unfortunatley it stagnated for 2 hours and did nothing, and theta once again began to eat away at the contracts. That being said i watched the contracts closely until 1pm and they remained profitable until break even all the way up until 12:30.
Hard to say how this play will work as we get into FOMC’s with no rate hike, I forsee the market becoming very data dependant though going forward.
I’m still going to play this in the future but take that profit when it’s on the table again. Waiting until 1pm as of now is not going to work.
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When I look back through my trade earlier, while I was in the play (which was over by noon) I never really saw Iv ov 27 on both my calls or puts. It really just bounced between 26-27 for the brief time I was watching. Not sure how delta would have given my 116% on puts but only a 14% loss on calls all while Iv wasn’t moving to much. Any thoughts or better yet Ni style explanations are appreciated
Just adding to the data points:
I did not straddle, I played calls, 412c picked up yesterday around 1pm EST for .89, IV was around 24%. My thought process was given the IV bump we expected, I’d likely outrun Theta buildup and still profit.
It worked out well, morning sell was able to cover my CB and a nice profit to boot, sold most of my contracts for +80% before 10:30am, except for 1. Let that one run till just before 1pm and sold for +60%.
I did this play again yesterday and again worked out well. I bought spy 447c and 424p for 6/15 exp both for avg of .12 between 9:30 and 10. IV at calls at open was 22.24 and puts IV was 29.2. I missed my best sell time which was at about 11:30. My calls had gone up to .20 while my puts had only dropped to .11. I ended up selling my calls for .16 and my puts for .10. Not as much profit as last 2 times but I’ll take. I hold a 1 runner for both just to see what IV was like at 1:00. Calls IV got to 23.51 and puts IV 31.97 but my calls were down to .14 and puts were still at .10, which was a break even for me. Still really like this play due to its seemingly low risk and high reward. One lesson learned is if I get to 30% total return, take it no matter what time it is. Waiting till close to 1 was a mistake
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I plan on trying this again on weds. After looking through the past 6 option prices on rate days, I plan on targeting 1dte on both puts and calls ranging between about .20-.30 cb. I’ve only gone back 6 rate days as of yet because it looks like those weren’t available to buy until after 11/2/22. Im doing this because on all 6 days both calls and puts made at least 33%, which is were I will set my sell limits. I can’t watch the markets much anymore so I tried to find the bare minimum I can realistically expect. Will update with data when I’m done. Probably tomorrow night.
Think I will join in again tomorrow as well. A bit nervous because I held too long last time and got my ass handed to me but the play still did work great. Just not like the first couple times due to the uncertainty. Hopefully IV gets high with the question of any future rate hikes since 25 is pretty much guaranteed
Will IV be lower positioning today vs the morning or does theta overrule that thought process?
could buy in EOD before close to avoid most of the theta decay
but best to buy in the morning im assuming incase the market gaps up or down overnight
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I had written a note down and looked the day before at close but must have thrown it away. Wrote about it up top and never followed up on it but i’m 99% sure the ones I watched (price of $1.00ish) opened lower. Big risk cause you never know where spx will open up and I believe it was pretty flat that day. Could ask Ryndir but I think safest to wait a bit after open. I thought around 10 was when we saw things start
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You will have to pay for the luxury of holding overnight which defeats the play especially if nothing moves overnight. And overnight movement the day before is rare
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Very good info! I’m assuming this can be played with SPY as SPX is not offered on RH?
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So, its my bad on dragging my feet on this. I thought id have more info sunday and then life happened, and then one rabbit hole lead to another. I was originally trying to find what is the relationship between strikes that benefit most from IV increase, whether it be 0dte, 1dte ect. My thought process was that I should be looking for options were Vega is as close to theta as possible. I was going on, if an option has a theta to vega ratio of close to .5 (theta/vega) then IV should overtake vega if we are selling by 1pm. Unfortunately I could not find the info i needed and divulged back to " Ill just look at every strike price history and see which option opening price did the best" Turns out it depends on the experation. Before I go further, I am working off only the last 5-6 rate days and so do not yolo on this unless you are a degenerate, in which case good luck and save some for counciling after you lose it all. So here we go. If you are playing 0DTE then the .09-14c options at open are your best bet.
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ruff, I know, I doing my best. The green is the strike and option price that performed the best (yes I went through every relevant strike price) The yellow is something of interest to me. Mainely because theta doesnt matter if the option price is .01c. The option will only only go to 0, meaning volume matters and IV has a better chance of overtaking it. DO NOT DO THIS! Ill play this with fuck it money tomorrow and report back. Next is the 1DTE…
As Far as 1dte it does look like the between 20-30ish opening costs do better and are more consistent with 30%+ gains than the 0dte although 0dte make can be more profitable (but I strongly suggest taking 20-30% total gains whe nyou see them.) As far as stike goes on the 1DTE goes, you should be looking for calls/puts between .20-34c. With calls, if you see more than 1 strike in this range, go with the more expensive ( if 1 call option price is .2 and the other .23, go with .23). The opposite seems to be trure with poots. Go with the cheapest put in that range (one is .33 and the next strike is .24, go with .24c) Yes again ruff format, good luck reading it and tomorrow
