r/options
Selling SPX Puts on Monday?
Proposes selling SPX puts (60 DTE, 30 Delta) to capitalize on high IV, seeking community feedback on this neutral-to-bullish strategy.
- High implied volatility provides elevated option premiums, enhancing potential returns for sellers.
- Selling at 30 Delta offers a statistical probability of profit around 70%, providing a buffer against minor market dips.
- Short put positions carry unlimited downside risk if the market experiences a significant crash beyond the strike price.
- High IV may persist or increase further if macro uncertainty remains, leading to mark-to-market losses before expiration.
With this peak in IV, I think a good strategy is selling Puts. Probably 60 DTE around 30 Delta to deliver a bit of room to defend in case a bit more down. What is your opinion?
IV can continue to rise and then will collapse, until then you don't know what will happen.
Also, there is an oil shock on the horizon for end of June or early July if we don't get any reasonable amount of molecules from the gulf. Reserves are starting to run low
Selling SPX puts during an implied volatility spike is a classic volatility harvesting play, but there are structural details to consider before putting on a naked 30 delta put at 60 DTE:
- Gamma and Theta dynamics: At 60 DTE, your theta decay is relatively slow compared to the 30 to 45 DTE range. This means you are carrying directional delta risk and vega exposure for longer before decay works in your favor. If the market continues to slide, the increase in IV will inflate your puts faster than theta can offset them.
- Risk management: A 30 delta put has a high probability of being tested if the downside momentum has not fully run its course. If you sell naked SPX puts, the margin requirements can expand rapidly during a market decline. A bull put spread (selling 30 delta, buying 10 delta) limits your tail risk and keeps your margin requirements fixed, allowing you to sleep at night.
- Volatility skew: Check the put-to-call volatility skew. When panic sets in, the skew becomes very steep, meaning far out-of-the-money puts trade at a massive premium. Sometimes selling a 15 delta put and buying a 5 delta put captures more of the bloated IV premium relative to the directional risk than a 30 delta put.
The main advantage of using SPX over SPY is that SPX is cash-settled and European-style, so you do not have to worry about early assignment.
We track options skew, VIX regimes, and macro yield shifts in real-time to help time these entries. You can see our free indicator views and skew models here:
Another post by someone who has never seen a sustained down move
Not a good decision... If SPX continues down you will have a big loss... Under this high IV, it is better to open SPX Best Trades. It is a safer bet! This is a BWB and a Vertical. Basically, a non-directional income strategy.
Would you sell BWB both sides (Batman)?
no. just one side. There's a video that explains: https://www.myoptionsedge.com/the-best-spx-options-strategy
YES
The piece missing from the thread is vega. At 60 DTE a 30 delta SPX put carries a lot of vega, so if your premise is right that IV is near a peak you can still bleed on the vega leg if it keeps climbing before it collapses. The delta room you are buying does not protect the mark to market on a vol spike. If this is really a bet on IV mean reverting, a put credit spread cuts most of that vega and defines the loss, or move shorter dated where theta dominates and vega is a smaller share of the position. Naked 30 delta at 60 DTE is mostly a short directional bet wearing a vol costume. Nothing wrong with selling into rich IV, just size it to the move it can actually take, not to the strike distance.
I have active puts sold on VOO at 620 for June 18th. They had roughly a .05 delta a day or so ago. Your strategy is a little too risky for me. PS- Yes I do like SPX for the tax efficiency but wanted a CSP this time.
60DTE at 30Δ is about 7150 strike. SPX could definitely blow through that in two months.
Easily