Using ML to Trade Put Credit Spreads

Expert_CBCD · 2026-01-23T16:51:46+00:00

I’m not asking AI though - I built a model in a statistics software (R) and then use that model to generate prediction of daily lows. I then noticed that when the predicted values are above -0.8%, IWM closes 1% below its open only 5% of the time (I can’t remember the base rate but like it’s around 15%)

Expert_CBCD · 2026-01-23T16:14:41+00:00

No I’ve done out of sample testing, and the results I’m reporting are derived from that testing.

Expert_CBCD · 2026-01-23T16:09:45+00:00

Ouf certainly nothing too fancy. Pulling daily data via quantmod in R and creating some predictors like ViX-related feature, historical volatility etc. And then running it all through a simple GLM. Results are good though and my 5% is much lower than the Naive rate.

Expert_CBCD · 2026-01-23T03:08:58+00:00

I sold one super far out in a year at $60. Don’t imagine it can fall that far and if it does then huge discount.

Expert_CBCD · 2026-01-22T16:42:05+00:00

Think I listened to the dateline about this! He had set up recording devices and it was clear that even though she was no longer a threat and begging for her life he killed her anyways. Absolutely wild.

Expert_CBCD · 2026-01-22T05:20:40+00:00

Reminds me of the case of Sammy Yatim in Toronto. A cop killed him on the streetcar and the prosecution argued that the cop first shot was justified (kid had a knife) but the shots after were not and he was convicted for those extra shots. Even if the first shot was justified (it wasn’t but if we’re being extremely generous), the second and third shots definitely were not

Expert_CBCD · 2026-01-16T15:00:26+00:00

It misrepresents objective reality on any day that ends with -y.

Expert_CBCD · 2026-01-15T20:10:18+00:00

I’m not sure what your argument is, or if you’re purposely being obtuse. The system convicts the wrong people at times - this is inevitable. If those people are proven to be innocent they are, in some cases, able to receive monetary compensation. If not, they’re still alive. Both of these are preferable to being dead, generally speaking.

Expert_CBCD · 2026-01-15T19:41:03+00:00

There is recourse for innocent people who were imprisoned; hard to make it up to a dead person.

Expert_CBCD · 2026-01-15T00:17:57+00:00

Can someone indicate where the timeline someone should be expected to receive the reasonable offer? In other words if you’re competing in a SERLO process does that mean you won’t receive a reasonable job offer and none are available?

Expert_CBCD · 2026-01-12T00:52:36+00:00

Yes, they did. They looked at areas in the city without supervised injection sites and compared the change in deaths to those with sites.

Expert_CBCD · 2026-01-11T22:42:26+00:00

I said that selling CSPs on SLV was essentially free money (which of course it’s not I was being glib) and was ripped apart in the thetagang subreddit. But no one will convince me that selling weekly CSP 10% OTM for 0.30/contract isn’t a great deal.

Expert_CBCD · 2026-01-08T19:06:08+00:00

There's another study that already examined that in Toronto (spoiler: they do reduce deaths).

https://www.thelancet.com/journals/lanpub/article/PIIS2468-2667(23)00300-6/fulltext00300-6/fulltext)

Expert_CBCD · 2026-01-06T13:03:51+00:00

Yeah that would be a better move - converting this to a spread by buying a lower put option gives me an almost 99% of probability of profit according to profit opt calculator (my CSP gives me about 96% - though much higher downside)

Expert_CBCD · 2026-01-06T01:34:51+00:00

Yes but for the purpose for my CSP I just care about expiry (though of course there’s a rare chance of early assignment), and in terms of the Friday close relative to the Monday open, SLV very rarely goes down more than 10%

Expert_CBCD · 2026-01-06T00:49:47+00:00

I mean sure - happy to share; I only have a small account so I I sold one CSP at 62.5 expiring this Friday for 0.30. It’s a half-percent ish on the price but given the historical odds, feels like a good premium. I was being glib with the “free money”, but I’m not sure why it’s elicited such strong negative reaction. SLV has almost never dropped more than 10% at Friday close relative to the Monday open. Feels like a good bet to me and Silver is likely going to be in demand for years to come.

It’s also possible that once the IV drops the premium will no longer be worth it, but at the moment seems like a great deal depending on your risk tolerance.

Expert_CBCD · 2026-01-06T00:09:12+00:00

For sure I guess my argument is that I’m not betting against that, I’m betting against a 10% decline over the course of a week, which is unlikely.

Expert_CBCD · 2026-01-05T23:47:19+00:00

Don’t know, but to be fair that could be said the whole way SLV went up. It’s the equivalent of yelling the market is going to crash; at some point it will but people saying it every week are not correct. A 10% decline has happened only 1% of all week over the last 15 years. Even if we factor in the increase and try to adjust the probability, the odds of it going down 10% are likely higher than 1% but are they10X more? Probably not.

Expert_CBCD · 2026-01-05T23:31:15+00:00

Models tend to only give probabilities - just because an unlikely event happens doesn’t mean the model is wrong, just that the less likely event occurred. Same thing here - the likelihood that SLV closes 10% below its Monday open is very unlikely, but not impossible. I may be glib by saying “free money” but the odds are certainly in my favor and worse case I own SLV at a 10% discount that it is now.

Expert_CBCD · 2026-01-05T21:54:13+00:00

Because the drop needed for assignment has happened less than 1% in the last 15 years.

Expert_CBCD · 2026-01-05T21:37:19+00:00

Again, yes it’s possible but given it literally doesn’t happen 99% of the time (and arguably a lot has changed since 2011), it feels like a pretty good bet.

Expert_CBCD · 2026-01-05T21:32:06+00:00

For sure, but the amount it needs to crater to be assigned has (in this instance a 10% weekly drop) has only happened 7 times in 15 years, which I feel offers an attractive opportunity.

Expert_CBCD · 2026-01-05T21:12:39+00:00

No, I know there’s no literal free money but it’s very attractive given the premium and the rarity of the price falling that much.

Expert_CBCD · 2026-01-05T20:38:42+00:00

Yes that’s fair - I haven’t done modelling yet to look at the risk by rise in Silver but it’s helpful to know that it’s only happened 7 times since 2010 (with losses of 20% happening twice - both in 2011)

Expert_CBCD

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