Does anyone have a strong POV and experience doing this? What’s been your strategy / approach in terms of timing and the Greeks? Whet did your P+L look like?
That is a sound idea ! You are not exposed to idiosyncratic risk like normal stock.
That said, most people who “wheel” SPY think they are running a rent-collection business. Sell puts until you get stock, then sell calls until it goes away. Clean and simple. But the reality is you are plugging yourself into the equity risk premium machine and that machine has quirks.
On the put side, you are usually providing liquidity to fund managers who are perpetually long equities and pay up for downside protection. That is where the edge tends to live. The call side is trickier. Everyone and their mother already sells covered calls to juice yield. Supply is heavy, skew is flatter, and upside tends to surprise higher. In other words: short puts have historically paid you, short calls have not.
The real trick is checking the volatility risk premium (VRP). This summer, SPY puts were handing you fat VRP. That is when the wheel looks good. Other times, like early this year or during tariff headlines, VRP was razor thin — and the wheel would have just been catching falling knives.
So the smarter way to answer him is:
– The put side of the wheel is usually your friend, if VRP is there.
– The call side is more questionable; upside in SPY often runs harder than people expect.
Overal, pnl will look great in quiet tapes, miserable in sudden gaps, so timing matters. But it’s a sound idea.
Good luck.
tradetofi on
It is perhaps hard to beat buy and hold SPY from my experience on r/thetagang . It is a safe strategy though. You can beat many regards on WSB that way, which is kind of low bar if you ask me.:)
2 Comments
That is a sound idea ! You are not exposed to idiosyncratic risk like normal stock.
That said, most people who “wheel” SPY think they are running a rent-collection business. Sell puts until you get stock, then sell calls until it goes away. Clean and simple. But the reality is you are plugging yourself into the equity risk premium machine and that machine has quirks.
On the put side, you are usually providing liquidity to fund managers who are perpetually long equities and pay up for downside protection. That is where the edge tends to live. The call side is trickier. Everyone and their mother already sells covered calls to juice yield. Supply is heavy, skew is flatter, and upside tends to surprise higher. In other words: short puts have historically paid you, short calls have not.
The real trick is checking the volatility risk premium (VRP). This summer, SPY puts were handing you fat VRP. That is when the wheel looks good. Other times, like early this year or during tariff headlines, VRP was razor thin — and the wheel would have just been catching falling knives.
So the smarter way to answer him is:
– The put side of the wheel is usually your friend, if VRP is there.
– The call side is more questionable; upside in SPY often runs harder than people expect.
Overal, pnl will look great in quiet tapes, miserable in sudden gaps, so timing matters. But it’s a sound idea.
Good luck.
It is perhaps hard to beat buy and hold SPY from my experience on r/thetagang . It is a safe strategy though. You can beat many regards on WSB that way, which is kind of low bar if you ask me.:)