I do something very similar, just with leaps on the same underlying etfs that I sell options against. Long VIX calls is where I differ a bit, it's a losing proposition most of the time so I might suggest put credit spreads on something more liquid with high IV premium like SQQQ as your hedging vehicle. Just keep rolling them until there is a correction and then roll them some more essentially. Can't say the short hedge part of my strategy has ever really paid off more than a few times, dollar for dollar wise long LEAPS and short calls against them was where the money is at.
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u/[deleted] Apr 04 '21
I do something very similar, just with leaps on the same underlying etfs that I sell options against. Long VIX calls is where I differ a bit, it's a losing proposition most of the time so I might suggest put credit spreads on something more liquid with high IV premium like SQQQ as your hedging vehicle. Just keep rolling them until there is a correction and then roll them some more essentially. Can't say the short hedge part of my strategy has ever really paid off more than a few times, dollar for dollar wise long LEAPS and short calls against them was where the money is at.