Going a bit bonkers here with the lack of <45 DTE premium selling setups in the index ETF's, but doing my best to stay mechanical here.

My general cycle is that when VIX drops below 15, I look for (a) setups in index ETF's >90 DTE , as that is when implied volatility begins to return to regularize or return to a general background value; (b) look for long setups in VIX or VIX derivatives; and (c) do earnings plays. When VIX rises meaningfully above 15, I cycle back into <45 DTE index ETF setups.

Sticking to the "script," I'm looking for a fill of this setup at NY open, trading off a bit of profitability of profit percentage for credit nearly equal to one-third the width of the wings. Naturally, going out this far in time isn't that much fun, because it seems like you're waiting an awfully long time before these come to fruition. Nevertheless, it beats leaving your buying power out there unengaged waiting for a volatility pop that may occur tomorrow or three months from now ... .

I'll look to take this off at 50% max profit.


Probability of Profit: 53%
Max Profit: $93/contract
Buying Power Effect/Max Loss: $207/contract
Comment: Cancelled. I can get into a SPY setup any given day, but not into a VXX setup at sub-17.50, so opting to make a VXX short call diagonal my "trade of the day ... ."


A Credit spread with 90d out not my cup of tea. I do sometimes write naked puts that long out if I want the stock though
Not mine really either. Hate going out that far, but I like to keep a certain level of theta on and don't like to put it on "locally" (closer in time) if volatility is going to expand going forward ... . It's pretty darn low here, that VIX.
NaughtyPines NaughtyPines
The other thing I wanted to convey to people is the affordability of these types of setups. Some people are under the mistaken impression that these things are "too pricey," and they can't play things this way due to cost. Naturally, naked is always the way to go if you can from a number of perspectives ... .
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