Spy Straddle Experiment - Early Assessment September 9, 2021
SPY Straddle update. It's not going well since SPY has moved $6 over 2 weeks, not $6 in a single day like I was hoping
It's not sustainable :P The good news is, when I roll it, I'm paying a lot less for each option since I'm selling the previous ones at the same time. But in the time that I've started the experiment, SPY has traded between 447 and 453. I'm just not making enough to roll it out a few days and most of the time have been paying a debit to roll.
One thing that I've noticed, the premium on the PUT tanks much faster than the premium on the CALL goes up when the stock is moving up. Today I rolled from 451 to 449 tomorrow when SPY hit 449, for a $10 credit. A few minutes later, SPY was at 449.50 and my CALL went up $11, but the PUT went down $22. One might expect them grow at the same pace that the other is shrinking.
I have another idea on SPY straddle. It would have been best if I had started it back when SPY was at $407 when I started doing it. But to just roll to the same strike price each week. It would be a debit each time, but whether it shoots way up or down, you're paying, I would assume, the same theta each week. Meanwhile your calls or puts are increasing enormously in value. Of course you could see it all go away if it ever gets back to your original strike.
I'd probably like to view historical data on something like that, vs buying a LEAPS straddle, and see if it could be the same amount gain or loss. There's probably a simple way to see it by looking at the greeks on a LEAPS and calculating how much theta per day, as it should be the sum of every week? If that's the case, then it would be the same either way, just not as big of an initial investment. Anyway, just thinking out loud.
According to my spreadsheet, my "gain" is -$471. It's going to have to make a big movement soon! But I'll give it a month. It's all in how I manage it too.