r/options
QQQ short downside puts research
Backtesting a strategy of selling next-day 2% and 3% downside puts on QQQ over the last 3 years, showing daily and cumulative PnL.
- Selling downside puts generates consistent premium income if QQQ avoids sharp drops.
- Provides a systematic way to capture volatility risk premium in the Nasdaq 100.
- Exposes the trader to significant downside risk if QQQ experiences a sudden crash.
- Short-dated options carry high gamma risk and can lead to rapid losses during volatility.
hey everyone - just finished a piece of quick research for another trader - if anyone has anything you'd like me to look at for you, drop it below.
here are the prior pieces:
\- https://www.reddit.com/r/options/comments/1u4dgcz/0dte\_spx\_iron\_condor\_study
\- https://www.reddit.com/r/options/comments/1u63m6i/spx\_iron\_fly\_research\_results/
current research question from u/taesty1
I have one I would do myself if I had the data - what's the daily and cumulative PNL (say, last 3 years) of a strategy selling the next-day 2% and 3% downside puts in QQQ and holding it to close? This is two separate strategies, one selling 2% downside and the other selling 3% downside. So if today is June 15th, the strategy would sell the June 16th expiry 2% and 3% downside puts in QQQ, and do it again the next day and on and on.
results:
https://preview.redd.it/7u09c8biyc7h1.png?width=1920&format=png&auto=webp&s=6896a6c97b58c0b9784b12fa548fee47bf398d1a
https://preview.redd.it/p6tjmm3jyc7h1.png?width=1920&format=png&auto=webp&s=cea1c8a197d977f06579c7468e2f9b838d2dd49a
https://preview.redd.it/867rk5qjyc7h1.png?width=1920&format=png&auto=webp&s=ae263d1c9e7a23c78aeaff44feba9d51574eddf3
https://preview.redd.it/iv0u23ckyc7h1.png?width=1920&format=png&auto=webp&s=7cd8c9a2b15491c8553b9115b18b2113c348ff34
https://preview.redd.it/x3lu92skyc7h1.png?width=1920&format=png&auto=webp&s=263abb9521f2efd8525ae340e24b82533562a913
MRMD still sucks.
Ya I think what OP replied is you could figure out the margin requirement based on price of the underlying. Which is correct, but would require back calculating for the price.
This is not interesting without 2022.
lowkey one of the more practical takes i've read on this topic in a while.
My request for research would be to vet / research this idea: Every day at 9:45 am eastern (right after the big move from the US cash open and when premiums are at peak and volatility crush is just starting) sell a 200 point ITM NQ futures put option, and hedge by buying long NQ futures at spot. One contract of each. As long as the option goes deeper ITM, or does not move to ATM, you collect the full premium. If the option does go to ATM but it takes it 5+ hours you will still likely win because the premium collected in the morning selling is > the ATM exit you will need to get flat in the afternoon. The only path to lose is a huge 200 point move very fast, and even then, you may only hit $500 to $1000 dollar loss from the extrinsic differential. I have been collecting Databento premium data to handicap this exact bet, but as one may imagine, the secret sauce is to get the premium data by minute by day for all flavors of strikes, ITM, OTM, ATM etc. So if you happen to already have this or be able to handicap this bet, it would be much appreciated it.
What was starting portfolio size? What was CAGR of each approach?
doesnt matter - pick your choice, it doesn't impact the results.
you can insert any assumptions you want on the capital efficiency frontier: reg t, pm, etc.
What’s the margin requirement used? No idea what the % return is here
you can make whatever assumption you want for that: reg T, PM, etc.
Sure but I’d have to backcheck with the qqq price. I feel like % return or return on capital is more useful to people than just the dollar amount.
totally fair, ill include in the future, it's easy enough. realistically, the margin req and % return marginally matters in this context but i understand the lens you're viewing it from where you likely think it's probably the most important.
no prob, will include in future sets.
In fact, dollar amounts are useless without margin requirements.
honestly this is something more people need to talk about. appreciate you putting it out there.
vs holding 100 shares? interesting with the options is it uses much less capital
(Performance obviously highly variable depending on market conditions)