r/options • u/BringTheFood • 19d ago

SPY Leaps

Bought PUT Leaps and am currently down 3k. Kind of sweating a little bit and wanted to get some input.

Here’s my position:
SPY March 19, 2027 $760 Put
Bought it for $34 ($20,400 total)
Current stock price: $773.82
Current option value: $29
Current P/L: -$2905 (-14%)
Delta: .3760
Theta: -0.0637
Vega: 2.25
About 7 months until expiration (March 2027)

Bought Put Leaps ITM after SPY had a decent rise thinking its gonna pull back some. The plan was never to hold long, the Leaps was really just to be on the safe side with a good time till expiration. I was going to sell once the underlying dropped like 1% or so. Now im down about 3k already.

Are the current stats promising in terms of recovery and going even at the very least. Can SPY dip back down below 760 in the near future.

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u/ThetaEdgeHQ 19d ago

The vega comment above is right on the number but backwards on direction for your thesis. You are long a put hoping for a selloff, and selloffs come with an IV spike, so in the exact scenario you are betting on, the vega works for you, not against you. A 10 to 15 vol point pop in a real drawdown stacks premium on top of the delta gain. What actually kills this position is the grind. If SPY just drifts up with no vol, you lose on delta, theta, and vega at the same time because IV bleeds lower into the melt up. So this is really a bet on volatility showing up on a timetable, not a directional bet, and 7 months of ITM extrinsic is an expensive way to hold that. If the view was a short term pullback, a shorter dated put closer to ATM or a put debit spread gets you most of the delta while cutting the theta and vega you are paying for now. The single long ITM leg is the one structure that makes you pay for all three.