If you’ve tuned in to either of my “Expiring Daily” Twitter spaces talks over the past two Mondays, you’ve heard me talking about a trading strategy I’m currently in the process of iterating that involves daily expiring options in the S&P 500 options complex ($SPY and $SPX options, specifically).
A thoughtful listener sent me an email with a bunch of questions about it, and I thought my answers to him might be enlightening to some of you who may be tinkering with strategy construction, particularly with short-dated, high-gamma options.
As I told the emailer, I can answer questions as of my thinking RIGHT NOW. But please know this is a work-in-process, and I’m continually tweaking my entry/exit/adjustment parameters as I learn more.
Here was our conversation: [Read more…]