I stopped choosing SPY put spreads by delta alone
For SPY put credit spreads I used to basically pick the short around 20 delta, buy something around 10 delta and call it a day.
Started logging the actual IV of both legs and realized some of the spreads I thought were identical really weren't.
If the 20 delta put is trading at something like 24 IV but the 10 delta put is already at 29 or 30, I’m paying a lot more for that protection than I realized. The credit can look decent while the actual risk reward of the spread is pretty mediocre.
Now I check the difference in IV between the two strikes before opening anything. I noticed it more clearly while looking through the chain on Moon.
I’ve skipped a few spreads because of it even when the delta setup looked perfect.
Do you guys actually look at vertical skew before putting on credit spreads or mostly just delta, premium and width?