u/throwaway_uskw ·
Reddit — r/options
· April 12, 2026 at 11:09
· ⬆ 15 pts
· 💬 12 comments
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Working on iterating a semi-systematic SPY put selling strategy to overlay on my multi asset portfolio.
I've backtested this over the last c. 10 years to try and understand risk dynamics better.
Strategy is split across 4 options, maturing 1 week apart starting from 8 weeks to to 11 weeks. It is rolling each option 1 week early.
I have used 15 delta as the standard option to sell, as adjusting to vol environment has shown better results for me vs. fixed strike.
Results are largely positive with a consistent return (even in 2022), and while Covid had a material impact the actual debit incurred was much less (see realised PnL - c. -5% or so).
It is helping me become more comfortable to implement this live, but also trying to understand what can help improve the risk/reward further.
So far, after iterating, rolling early, diversifying across multiple expiries, and splitting notional across multiple options have shown improvements on risk/reward metrics vs. simple iterations.
Are there other things that can help materially improve risk/reward over the long-term? Idea is to run this as a semi-systematic strategy