Options Trading Research: Selling Naked Put on SPY

Options Trading Research: Selling Naked Put on SPY

In this episode of the options trading research series, Im using CML Trade Machine to do the options trading research.

In this video, we'll look at selling naked put with a Delta of 10 on SPY the past 10 years. We'll also look at the 2007-2009 time frame to see how these did during the 2008 financial crisis bear market.

Since selling puts is bullish neutral strategy, we're only going to open a trade if SPY is above its 200 day simple moving average. We'll also compare the 50sma and 100sma to see which one performed the best of the 3 moving averages.

Once in the trade, I've placed a 300% stop loss order on the naked put to minimize losses during a market crash or correction.

Here's a link to a similar study on IWM selling naked puts the past 10 years:

Thanks for watching.

J. Eric O'Rourke

#SPY #optionstrading #stockmarket

[pvft]

I always wondered how this would do on spy. Seems to be a good consistent strategy.

[byj]

Thanks for your research, but I think the number of trades and profitability is not attractive enough for me to trade it. Lately, I have been trading the SPX 0DTE iron butterfly and exit at $200. The probability is quite good. I would really appreciate your looking into this strategy. For example, though I set my hard stop at breakeven, I seldom let it go that far if the price action and market internals are steadily bullish or bearish.

[chasebethersonton]

I've got one:
SPY Debit spreads with zero or positive theta
(buy 2-3 strikes itm, sell 1 strike otm)

I know you've done some 0 dte... I'd be curious about 3-4 dte too for this.

Thx!

[nikgreen]

👍👍👍Thanks for the good work! Would be interesting to See the following Setup. Sell put 5% otm. Stop loss at 200%. Take profit At 90%, alternatively let it Run till end.. Use contracts with 20 days alternatively 40 days. Thanks

[simplerinvestments]

Great Video Eric!! Thanks for sharing. I have a request. How about this backtest with some higher delta options? I'd like to see it done with some more "meat" on the options. For me, the 10 delta option does have a high probability, but a relatively small credit for the risk. Anyway, keep doing what you're doing. I appreciate what you are doing here and really appreciate your willingness to share!! :-)

[guidosomasca]

Hi really good your backtest software, would u try a backtest on spy sell put delta 10 but Monday to Friday trade or Monday to Wednesday of course only if spy is above 100 ma or 200 ma thanks

[bharatkotecha]

What if you close position at 0.05c ? rather than wait till expiry. Will that add more trades / profits?

[the_DOS]

Subscribed and liked! :). If you can do naked calls 10% delta OTM 30DTE on the SPY I would love to see that.

[karimmahmoud]

Very nice, should we use only the moving average to enter the trade, or there are another indicators to increase the winning probability ?

[maxcapital]

Wow !look at that drawdown so you can get seriously hurt the other 15% of the time scary for large positions how do you allocate capital to a trade like this?

[junxu]

Very nice work! What is the back testing software you used here? Will you do the same test on selling call strategy. This will benefit for covered call seller as well. Thanks!

[alan]

what wee u trying to show?.. confusing!

[frankbonerigo]

can you try a 100sma paired with a 14rsi that is above 59

[varuntalwar]

What software did you use for back testing?