UPDATE: THIS THREAD IS NOW INACTIVE
Today, Theta Gang on Valhalla has evolved. Thank you to everyone that participated, commented, liked my efforts, and helped build out this thread. I know it’s made some people here check out what Theta Gang is all about, and has also made people some money.
The next phase of these efforts has just been released for everyone to use, and it has a bunch of improvements over what this thread offered.
While this thread was only offering data for weekly plays, you can now use the command for further dated expiries. While this thread was only updated at the beginning of the week, you can now use this command and day of the week (updated around ~10am daily). While this thread was locked to stocks currently trading between $5 to $25, you can now use the command to set your own upper and lower limits.
All around, this is a great improvement and I hope you all enjoy using the command. It also means this thread serves no purpose anymore.
Thank you again to all the followers of this thread and thank you to Conqueror for implementing this as a feature, free to use for all, into Mimir.
ORIGINAL POST
Hello and welcome to the Wheel Strategy Weekly Thread.
What is this?
If you are unfamiliar with the wheel strategy, it is basically selling cash-secured puts and collecting premiums until you get assigned, and then selling covered calls and collecting premiums until your shares are assigned. By doing this, the goal is to generate some passive income. Here’s an article further explaining the Wheel Strategy. You MUST be able to cover the cost of owning 100 shares of the company at the strike price you decide on, hence the “cash-secured” part of Cash-Secured Put).
This thread will analyze tickers and show, at the time of each post, a table of what currently is the most profitable CSP you could choose at your desired risk tolerance level. This weekly thread will serve as a tool to help you decide which tickers you may want to look at when you are looking at entering the first stage of the wheel - the CSP stage. The goal for you should be to understand what your risk tolerance is and refer to this table to help you pick a stock to maximize income with the wheel strategy.
How does it work?
I’ve coded a program using IBKR’s TWS API that collects a snapshot of options chains at the beginning of each week. I collect the current price, strike, last bid price, and delta. From there, I calculate the expected income as a percentage if you sold a CSP at the last bid price. Then, I build a table where each row represents the delta from -0.00 to -0.99 and the ticker with the highest expected income amount gets placed in that row.
Methodology
I have selected stocks with a current price greater than $5 and less than $25. Why? Because stocks less than $5 are generally not worth your time to wheel - they’re full of penny stocks and garbage with low volume. Stocks over $25 may be too prohibitive, as you will be locking up up to $2,500 for strikes that expensive, so I put the upper cap there. Also, it takes quite a bit of time for my program to run, so I really needed to place some restrictions on the tickers that are being run.
I have only included stocks that have weekly options expiries. This tool is meant to be run each week, at the beginning of the week, for options that expire at the end of that week.
Delta
In options, delta can be thought of as your chances of being assigned, or your risk tolerance level. For puts, delta ranges from 0 to -1, where 0 means there’s no chance your puts will be assigned (extremely safe) and -1 means your puts WILL be assigned (extremely risky). An option with a delta of -0.50 means there is a 50/50 chance that the option will end up at least one cent ITM. Typically, options with a delta between -0.50 and -1 are currently ITM, and options with a delta between 0 and -0.50 are currently OTM.
The table is sorted by delta, with the “safest” options at the top and the most risky at the bottom. This means there are 100 rows, where each row is 1% more “risky” than the one above it.
Future improvements, Disclaimer and Limitations
It currently takes my program between 20 minutes and 30 minutes to run completely lol. It’s definitely not very quick. TWS API may not be the BEST solution out there, but it’s free and has done the job. I need to pay if I want to collect data faster. If you have any suggestions of APIs out there that can grab entire options chains with greeks, that’s both fast and free, please let me know.
The current iteration of my program only includes weekly options that expire the same week. A lot of research suggests that picking expires 30-45 days out may be more worthwhile, and I would like to explore that. This would open the data up to more tickers, since there are more tickers that offer monthly expiries but not weekly ones.
Please note that the values in the table are determined completely by math and do not include considerations such as current world events, news, earnings reports, or anything else. If you are not familiar in the companies shown here, do your research! In the wheel strategy, you MUST be comfortable to own 100 shares of whichever company you are selling puts for, since you will eventually be assigned and you must be prepared for that.
Also note that the data I am gathering is not real-time. By the time I post each weekly thread, the data is instantly outdated. This tool should be used as a guide to help you pick your next CSP, but should not be used to decide for you.
I am also a cheap fucko who doesn’t pay for real-time data, so the table is even more so outdated by the time I post.
Feedback
Please feel free to offer suggestions for improvements to me.
Special thanks to @internetkings and @Kryptek for the suggestions and guidance along the way to develop this tool. The first weekly update will be coming along shortly.
