Superfly!

OPEX Fri lookin for a SPY pin 430....

...nope. lost $50.

The bro does a nice job explain how to roll your 0dte credit spreads, applicable to credit spreads of any duration. Pay special attention to delta matching and flipping.

1dte flys have not been working so well, will switch to 0dte credit verts an/or IC's. Typical mo will be to sell into strength on an early move, somewhere near the real-time 2σ limit, $10-wide, 10-lots, looking for a minimum $0.50 credit per side, targeting $800/day net....

something like...

...sold the Oct SPX 4275/4300 calls for 65c, bought back for a nickel. For Tuesday, looking at something like, 4310/4330 call for 60c or better, but will wait til the Tuesday open to see if there is a gap up. I am hesitant to sell put verts while there is the geopoli risk afoot....

cheap flys during earnings iv rush....$10 wide META for $0.00....lol, we'll see....

AMZN

I played the META call fly, 322.75/325/327.5, cost me a quarter, just a few, have til Friday for META to bounce....not lookin good. Tried a MSFT call fly too, but it never filled. Probably best to get in these a day or so b4 the ER....

modeling some alternatives in the 0dte fly space....I call this one The Middle Buster. Basically, an atm wide fly and a correlated straddle.

The 10-lot XSP wide fly is actually a 1 lot SPX atm-centered fly with the same strikes (x10)....any size would work, just needs a ratio of 1 SPX to about 4 or 5 XSP.....it's likely only one of the three trades will lose money, if managed correctly. Or so I think, we'll see....

...Instead of actual straddle, go long put/call at the first otm strike.

paper-trading the idea above. Monday continues to move well. Entry in the first 30-60 min, no later.

The trade looks like the P/L below, except profit is actually 10% of what is shown. Nevertheless, >$1000 profit in < 2hr is nice. I'd be advising myself to take this off in full, if it was real $. But I will ride it out til lunch or later.

The straddle and the fly have somewhat opposing reactions to theta thru the day, so that makes management a little tricky. If there is good profit early on one side of the straddle, might be wise to take that, as theta will aggressively erode any profit from the straddle as the day progresses.

Otoh, the fly will pay better if you wait - so long as price is near the fly midpoint - near in this case means maybe $10 away, +/-.

things change fast into the last third of the day. The fly p/l gets taller but also thinner. I saw $11 net for the fly when SPX was coming above 4,150, I certainly would have closed the whole combo then. But I will hold the papertrade for educational purposes.

Sosnoff trades the SPX atm fly, $30 wings I think. Puts it on at 1dte close and takes it off near the 0dte open. I like the idea of hedging the tails via the straddle, but I'm not sure it's a good idea. In any case, it makes sense to watch the trade into the 2nd third of 0dte, at least, imho...

holding to the end, the fly closed $ $8.70 - it m/l doubled in the last 30 min given a 10-pt dump into the close. I closed the long calls at be and the long puts were a loss. So, after fees, the trade lost money. If I'd taken it all off when I saw the fly netting $8+, the trade would've made a couple hundred bucks...

Meh...one takeaway is it is usually going to make more sense to close earlier as opposed to later. You are fighting a lot of options math by holding into the close. The probability of a clean pin play is very low, so if you see a pin developing, grab that cash b4 it's gone.

Another is re: XSP - pretty low liquidity I guess is what makes the spread so wide, and getting filled at the mid is rare.

Also, I might go even wider with the fly, idk....

Lastly, the straddle is a flaw. Tomorrow, I will do long verts up & down, at much lower cost, to see if that makes better sense.

NEAR the close I entered some XSP Nov1 call flys, 419/420/421, for 8c. I figure Wed morning will be deer in the headlights before the FOMC, not much movement & also could get a pin @ 420.

....ALL worthless bc I held thru the FOMC

you need the hedge verts well inside the shorts strike of the IC. It may make sense to enter the XSP long verts first, @ 1dte, then see what that does for you for IC entry early on 0dte.

@ $10 wide as shown the 3:4 ratio (3 SPX:40 XSP) looks good.

If price attacks one side of the IC, roll it out and keep the hedging long vert.

Look at $15 wide IC wings with $20 long verts.....

This week's action has left gaps to fill everywhere. RUT looks like it could pin 1800 but also I think it looks game to retrace the upper wick of the last candle. The narrow call 0dte fly shown risks $25 to make max $475 on a trip back to $1,825-1,830.

1dte SPX IC for Monday: