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I have been trading delta neutral (vol trading) for the better part of a decade
Its not glamorous, you wont find 10% months
but you can target 2% a month, with an unbiased direction on the market, a big win for a whale account, looking for something better than the wheel, which severely caps your upside on corrections (selling capital gains back to the market maker for less than its fair value)
the strategy is simple, put all your cash into SGOV to start
finding theta greater from SGOV is what you now need to go hunt and find, obviously this needs to be taken into account with gamma (theta and gamma go hand in hand, its also called the cost of convexity)
you dont need to blindly pick high IV names and pray a bull market keeps them above your .25 delta purchase price (you already ignored spreads if you did this, ill talk about this later)
so if we are not trading direction, what are we doing? we are trading volatility
Multiple models can indicate rich vs cheap volatility, a lot of this arises from massive fear causing market makers to boost bid/ask on puts, hence IV, and hence the normal put skew you see on a volatility surface plot
there is a way to exploit this. The way market makers prevent you from doing this is widening the spread to obscene levels, anticipating anyone running the wheel will blindly pay the "troll tax" to cross the bridge to profit
The idea is patience, your strategy may look great on paper but get fucked later just by a sharply moving stock causing MMs to panic and widening spreads, novices see this as "oh shit im getting fucked" and immediately buy or sell on their wide bid/ask, you just gave a market maker a fucking martini and bump in the bathroom for him and his friends by doing so
Find a position, dont enter immediately, wait for price to come to you, if you are between the spread of MMs price you are providing liquidity and not taking it, this prevents NY market maker from putting your money up their nose
Exiting or rebalancing back to delta neutral for long term holdings is more important
never hedge with shares, always hedge with shorter term spreads to account for divergence from delta neutral in your longer term strats
if you need to rebalance, never sell a spread without a profit if you can avoid it at all(in calm markets, you are near delta neutral, your spreads are close to the money, and MM spreads are wide)
in this case, hedge with shares, put an order in to get you back to delta neutral, let the hedge of shares do its work until your spread fills at or above profit, sell the share hedge