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Clearly since the Iran war started, the vast majority of the time IV has been >>RV, which is sort of the "thetagang dream". (A few mini-TACO events including the 3pm ET hour today, notwithstanding) However, I am not super comfortable with the typical thetagang playbook of 30-45DTE high-premium on typically-hype stocks -- I do that in IRA but not in accounts where the IRS with an LLC is implicitly involved on an annual basis.
I have made \~25k USD in the last 4 weeks (making up for an early-year deficit and then some) while never putting up more than 7k active collateral at any time, and normally less than 4k, mostly by doing the following:
\* Between 9:30 and 10am ET, BTO a 1-contract fly on NDX, 200 or 250 wide, 1DTE, always centered at a strike ending in "00" or "50" and directionally biased at entry by +/-25 NDX points based on my vibe and ML-model output for the day. Close NLT 12-noon ET regardless, and usually by 11:15am ET for profit. (Exception: on FOMC Wednesday I did this 2DTE instead)
\* Then once the NDX fly is closed, STO 1-3 contracts of RUT iron fly, 15 or 20 wide, 0DTE. (Mainly for lower dollar gamma risk since RUT size \~0.1\*NDX) Close NLT 3pm ET regardless, and usually NLT 2pm ET for profit. (Exception: on FOMC Wednesday I did this 1DTE instead, waited until 2:40pm ET, and entered as a fly instead of an iron fly) I have been burned by FOMC in the past, but did reasonably well yesterday.
Automated price alerts have worked well for these particular trades for minimizing tick-watching.
(!!!) The reason why I am posting for feedback: is this sustainable in a mid-VIX regime such as we have now? And is it extensible to the typical geopolitical-quiet/market-on-soma lower-VIX regime?
I have noticed that behavior during the "1DTE afternoons" has been counterintuitive, the reliable fly credit appreciation in the morning does not seem to be in effect after 12-noon ET, even when the price hangs near the short strike. Is this vol expansion because most of the Iran-war action happens overnight (US time)? (This observation is why I close the 1DTE stuff by noon and won't relaunch anything 1DTE for overnight risk until near EOD, if I do -- and I didn't for tonight because mini-TACO semi-wrecked my early entry today, only to the tune of about $800 thus reducing today's profit.)
I know that butterflies >2DTE are primarily a sigma/vega play but <2DTE they empirically tend to be a mixture of delta and theta with a healthy dose of gamma risk (especially late on expiry day). This is why the 1DTE-afternoon behavior is puzzling to me and also why I close the 1DTE-morning trades before noon.