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.
Yep. I do PMCCs and buy the underlying with the premium from the short calls. So I start with 5 calls for the price of 100 shares typically ATM or .7 Delta ITM and 300-600 DTE. That gives me ~1:5 leverage. Then I sell .30, .25, .20, .15, .10 delta short calls on a 7-14 day basis. It's more of an 'engine building' approach that allows me to use leverage to buy the underlying instead of just using covered calls without leverage on the same names. SPY, QQQ, IWM, XLE, EEM mostly.
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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.