What kind of IV are you selling and how far OTM (%from underlying price at time when you open the position) typically are you?
thats most defimetly not the case... It was a mindless semi arb,that took a bit of market making skill.. It has completely disaapeared...
How low are your commissions and fees? Do you only use limit orders ? Are combo orders also cheap to trade for you?
Another profitable three weeks. The year-to-date return increased 7.4% since my last post, for a total of 65% YTD, and the Sharpe ratio increased to 2.13. Regarding the IV I'm selling, I like to sell it as high as possible, at least 70%. Concerning the distance from the underlying, I look at the ATR over the duration the option has until expiration. If there are five days to expiration, I want strikes outside of the ATR measured on a five day basis. For commissions and fees, I use Interactive Brokers with tiered commissions.
I'm flat for now. I suspected a market sell-off, so I closed out my positions on Friday, rather than risk a gap down by accepting assignment of the underlying.