As stated in the first article for the GTC Sample Portfolio, we’re keeping our quantitative processes private, but will share the moves we make on an actual portfolio. And please note our risk statement.
So looking over the process this morning? We’re making two small trades. The approach has me to the stage, where I can take a small stab, at possibly having a bearish bent. Maybe. We might increase the sizing later … we might not. We’ll have to see.
We are buying 16 shares of the ETF SH at $13.54
And simultaneously selling one (1) SPY August 25 478 Call naked for $0.35 ($33.858). 25 DTE, with an expected range of $468.50 and the IV at $13.7%. The IVR on SPY is only at 3.8 at the moment with the VIX around 13.87. It’s a higher probability bet, but as we said, we’re keeping it small.
In the next few days, I hope to update the page containing the grid, results and metrics as I observe the markets …
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