If you read my post from Friday, I came into this week with a new twist on my $SPY options strategy. I want to be long gamma, ready for anything. I don’t know which way the market is headed, but I want to be in the game whichever way it goes.
I want to keep the position oscillating around delta neutral. When the market moves and I get too far away from zero delta, then I’ll make an adjustment:
If my P/L on the day is up, then I’ll sell nearest to expiration ATM options to get back to neutral.
If my P/L on the day is down, then I’ll buy long options in a back week to get the position back to neutral.
On expiration days, I’ll roll any ITM options to the next expiration. Unless they can be paired of with another ITM option into a spread, in which case I’ll just close them (for example, if both a long 381 put and a short 379 put are in-the-money with SPY trading at 378, I’ll just close them both as a spread).
Wash, rinse, repeat.
Here’s a short video of me making some intraday adjustments and talking more about this: