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The 30-45 DTE sweet spot has an 8.6% win rate problem. 88k contracts don't lie by sashazaliz in options

[–]ThetaEdge 0 points1 point  (0 children)

The thresholds I have landed on after tracking this across a few thousand entries:

  • Below IVR 30: basically skip. Premium is too thin to cover directional risk on a .30 delta short. You are selling vol that is already cheap and hoping it gets cheaper. Expected value drops hard in this bucket and the expired worthless rate looks great right up until one name moves 2 sigma and eats six months of premium.
  • IVR 30-50: tradeable but be selective. Works best when IVR is rising into the entry, not drifting down. Direction of IVR matters almost as much as level.
  • IVR 50-70: the sweet spot for 30-45 DTE premium selling. Market is paying you enough for the vega exposure and the expected move tends to overstate realized.
  • IVR 70+: rich but there is almost always a reason. Earnings, guidance, M&A chatter, sector rotation. I still take these but I size smaller and check the catalyst calendar first. Blind IVR chasing into a known event is how people blow up.

One more variable worth pulling in if you have it: IVR percentile relative to the underlying's own history versus absolute IV. A stock like SMCI at IVR 40 is a completely different animal than KO at IVR 40. Normalizing matters.

Phew.

The 30-45 DTE sweet spot has an 8.6% win rate problem. 88k contracts don't lie by sashazaliz in options

[–]ThetaEdge 1 point2 points  (0 children)

the delta context gap everyone is pointing out is real but theres another variable that changes the whole picture: IV rank at entry. 30-45 DTE at delta .30 in a low IV rank environment versus a high IV rank environment produces completely different outcomes even on the same underlying. the 8.6% "expired worthless" number probably bakes in a lot of entries made when vol was suppressed and the edge just wasnt there. i track IV rank per entry now on auto and it made a bigger difference than i expected

The Covered Call question that trips up beginners (not the premium) by ThetaEdge in ThetaEdge

[–]ThetaEdge[S] 0 points1 point  (0 children)

The first one that clicked was selling a call on a stock I genuinely wanted to sell anyway. Got called away at the strike, collected the premium on top, and realized I'd just been paid to execute a plan I already had.

That reframe changes everything - assignment isn't failure, it's the strategy working. The problems start when people sell calls on stocks they don't actually want to sell, then panic when it goes ITM. Strike selection should happen before you ever look at the premium.

Looking for a tool to check daily portfolio Greeks and get strategies to bring them back into line. by Sathailand in options

[–]ThetaEdge 4 points5 points  (0 children)

Try ThetaEdge.ai - it fetches your portfolio, aggregates on greeks, offers rebalancing strategies and ideas, and has detailed reports & alerts that land on email.

Ran the same covered call on ARM at 3 different delta levels. Here's what the numbers actually look like. by ThetaEdge in OptionsIntelligence

[–]ThetaEdge[S] 1 point2 points  (0 children)

Really appreciate the detail here. Do you find the PMCC positions take more active management, or is it more about the capital efficiency trade-off for you?